Rmetrics Workshop on R in Finance and Insurance, Paris 2014

June 28, 2014
By

(This article was first published on Thierry Moudiki's blog » R, and kindly contributed to R-bloggers)

Here are the slides of the talk that I gave yesterday with Prof. Frédéric Planchet at the 8th Rmetrics workshop in Insurance and Finance :

 

http://www.ressources-actuarielles.net/C1256F13006585B2/0/39B54166464089AFC12572B0003D88C2/$FILE/Rmetrics.pdf?OpenElement

 

Image

The R codes can found here :

  • For ESG

http://www.ressources-actuarielles.net/EXT/ISFA/fp-isfa.nsf/34a14c286dfb0903c1256ffd00502d73/a5e99e9abf5d3674c125772f00600f6c/$FILE/examplesESG.R

  • For ESGtoolkit

http://www.ressources-actuarielles.net/EXT/ISFA/fp-isfa.nsf/34a14c286dfb0903c1256ffd00502d73/a5e99e9abf5d3674c125772f00600f6c/$FILE/examplesESGtoolkit.R

I also submitted (a bit late, maybe) a Shiny app for the  Shiny App contest (which is the example @ page 55 of the slides).

https://contest.shinyapps.io/ShinyALMapp/

The username is : contest.

The password : rmetrics.

However, in my opinion, my app is veerry slow. This is due to the way that I dealt with global/local variables. In the first section,  ‘Simulation’, I make projections of the portfolio assets, let’s call the associated R variables : S.CAC and S.SP. In server.R, the plot is obtained with  output$plotSimulation. In the second section, ‘Portfolio’, I had to duplicate the code for the simulation (veerry annoying… here’s the bottleneck), because S.CAC and S.SP could’nt be seen in the scope of output$plotPortfolio defined in server.R.

I didn’t have the time to investigate more by now. But If somebody knows how to deal with this in Shiny, I’ll be happy to hear !

To leave a comment for the author, please follow the link and comment on their blog: Thierry Moudiki's blog » R.

R-bloggers.com offers daily e-mail updates about R news and tutorials on topics such as: Data science, Big Data, R jobs, visualization (ggplot2, Boxplots, maps, animation), programming (RStudio, Sweave, LaTeX, SQL, Eclipse, git, hadoop, Web Scraping) statistics (regression, PCA, time series, trading) and more...



If you got this far, why not subscribe for updates from the site? Choose your flavor: e-mail, twitter, RSS, or facebook...

Comments are closed.

Sponsors

Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)