Articles by Phil Joubert

The Problem with Percentiles

September 12, 2013 | Phil Joubert

The Problem with Percentiles Percentiles (or, more accurately, quantiles) are deeply embedded in the psyche of actuaries, statisticians and similar beasts. They are referred to implicitly in the Solvency 2 directive (Article 100, Value at Risk) without explanation. They are so ingrained that we normally use them without thinking, which I was ... [Read more...]

An R package for Smith-Wilson yield curves

June 19, 2013 | Phil Joubert

Yield Curve fitting - the Smith-Wilson method Yield Curve fitting - the Smith-Wilson method This article illustrates the R package SmithWilsonYieldCurve, and provides some additional background on yield curve fitting. The method implemented in the package fits a curve to interest rate market data such that the observed prices of ... [Read more...]

Integrating Documentation and Calculation

April 30, 2013 | Phil Joubert

Integrating Documentation and Calculation Integrating Documentation and Calculation This post is a first in that I've authored it using RStudio. I would guess most people who work in computational finance or quantitative risk are at least familiar with R. Unfortunately R as it existed until two years ago was borderline ... [Read more...]

Solvency 2 WordCloud

September 21, 2011 | Phil Joubert

Slow day at PSY headquarters: Click see wordleWe grabbed the Solvency II directive text from the EC website (© European Union, and ran it through a couple of lines of R code to draw up wordcount frequencies. Then we plotted the text in Wordle [Read more...]

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