Introduction to Financial Analytics using R

Course Instructor/s

EduEdgePro Pvt Ltd & Moody’s Analytics

Credit Value : Full

Programme & Semester : B.Com. – Specialization in Financial Analytics Semester – 4

Pre-requisite : Financial markets

Learning Objectives / Outcomes

  • Learn how to use R to read and write financial datasets
  • Learn how to read and import data for various asset classes in R
  • Learn how to analyze various financial datasets in R
  • Learn how to run simulations in R
  • Understand and perform Statistical analysis on financial datasets in R
  • Learn and Build Pricing Analytics in R
  • Learn and Build Risk and Portfolio Analytics in R
  • Learn how to build and optimize Portfolios in R

Introduction to Financial Analytics using R

Detailed Curriculum

Reading and writing data in R
  • R Basics for finance data
  • Accessing financial datasets
  • Importing financial data
  • Working with Asset classes – Equities, FX, Rates
  • Working with fundamental data in R
Analyzing financial datasets
  • Basic constructs for financial data analysis using R
  • Building Financial Indicators using R
  • Code Writing and R code Debugger
  • Simulations using R
  • Matrices, Vectors, Frames and Subset
  • Financial Graphs in R
Performing Statistical Analysis in R
  • Statistical distributions and summarization of financial time series
  • Regression Methods for financial datasets using R
  • CAPM and beta estimation
  • Multiple Regression and applications
  • Volatility Modeling and Forecasting
  • Applications to Index Tracking
  • Applications to Hedging
Pricing Analytics
  • Equity Analytics
  • Fixed income Analytics
  • Derivatives Analytics
  • Implied Volatility smiles, Volatility surfaces, Black-Scholes pricing
  • Parameter Estimation
Risk and Portfolio Analytics in R
  • Building VaR Models
  • Portfolio Construction and Methods
  • Efficient Frontier Construction
  • Portfolio Optimization
  • Portfolio Performance Attribution
  • Portfolio Strategies and Backtesting

Textbook and Core Reference:

Certified Program in Financial Analytics using R - Moody’s Analytics and EduEdgePro

Additional References:

  • Packt Publishing – Introduction to R for Quantitative Finance
  • Bennet and Hugen - Financial Analytics with R
  • Bernhard Pfaff - Financial Risk Modelling and Portfolio Optimization with R