1 / 15

Visualizing Cross Risk Factors: Leveraging R and Excel for Effective Scenario Analysis

This project aimed to visually present cross risk factors and scenario information using 2D and 3D plots. The goal was to automate data input and output processes, overlay scenario graphs, and identify "hot spots" where severity tends to be high or low. Leveraging R within Excel, I demonstrated how to enhance the analytical process, including error checking and data manipulation. The project highlights how to summarize results with clear visualizations and correlations, helping better understand critical financial scenarios and their implications.

argus
Download Presentation

Visualizing Cross Risk Factors: Leveraging R and Excel for Effective Scenario Analysis

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Visualizing pattern from cross risk factors scenario information

  2. About me… • Sai-Ming(Simon) Law • Majored in Math at KSU, Georgia • 2nd Year, Master’s in Applied Statistics • Passed: Exam P and FM • Interned w/ Pacific Life Insurance Co. (Summer 2012)

  3. About the project I worked on… Goals: • Visually present cross risk factors scenario information • 2D & 3D plots • Automate the input /output process • Overlay scenario graphs with associated severity of outcomes • Outline pattern, “hot spots” in the scenarios where severity tends to be high or low (EC)

  4. About this talk… • How to use R from within Excel • How to automate the input/output process

  5. How to use R from within Excel

  6. How to use R from within Excel • Install RExcel • http://homepage.univie.ac.at/erich.neuwirth/php/rcomwiki/doku.php?id=wiki:how_to_install • Enable Macro and Developer Ribbon • Go to  C:\Program Files (x86)\RExcel\xls • Run the Macro, RExcelAddinAutoInstall • Check References, RExcelVBAlib, in a Macro Window

  7. How to use R from within Excel • About macros in Excel • a series of commands and functions that are stored in a Microsoft Visual Basic module • can be run whenever you need to perform the task. • Video Demostration • http://rcom.univie.ac.at/RExcelDemo/

  8. How to automate the input/output process Goals: • Visually present cross risk factor scenario information • 2D & 3D plots • Automate the input /output process • Overlay scenario graphs with associated severity of outcomes • Outline pattern, “hot spots” in the scenarios where severity tends to be high or low (EC)

  9. How to automate the input/output process Tasks: • Read in Scenario Information ( a big data set) • Excel Visual Basic Application • Error Checking • Manipulate the data • R • Apply bucketing algorithm • Summarize data • Create Plot • Transport plots • R  Excel

  10. PL: SWAP 10Y x EQUITY S&P x CREDIT • Scenario frequency findings • Correlation • Edges • Clusters

  11. PL: SWAP 10Y x EQUITY S&P x CREDIT • Outcome severity findings • Dark (losses) vs. light (gains) • Credit & interest rates have highest impact • PL’s “perfect storm” scenario

  12. PL: SWAP 10Y x EQUITY S&P x CREDIT Frequency vs. Severity • “Blind spots” • Frequency clusters are trivial spots in severity

  13. IIP: SWAP 10Y x SWAP 1Yx CREDIT Frequency vs. Severity • SWAP rates have high correlation • Credit dominates

  14. Special Thanks… • Dr. Feldman • Benson Chen

  15. Q & A …

More Related