SFRA Knowledge Transfer Workshop - Professor Eric Zivot

Financial Risk Models with R: Factor Models for Asset Returns and Interest Rate Models

This workshop was held on 15 March 2011.

Workshop Overview

The workshop focused on two core areas of financial analysis and provide examples in the statistical programming language R. In Part I, the subject was factor models for asset returns and Eric provided insights into the development of risk management systems based on factor models. In Part II, Eric surveyed some of the statistical techniques available for interest rate modelling.

The workshop offered a fast-track introduction to R for those who are new to this powerful open-source statistical programming language.

Workshop Programme

  • Introduction to Financial Modelling with R

  • I. Factor Models for Asset Returns
    - Introduction
    - Macroeconomic, Fundamental and Statistical Factor Models
    - Risk management based on factor models
  • II. Interest Rate Models
    - Models for the term structure
    - Spline Interpolation
    - Nelson-Siegel Functions and the Diebold-Li dynamic model
    - Parametric estimation of interest rate models

Workshop Leader

ERIC ZIVOT is the Robert Richards Chaired Professor of Economics at the University of Washington, Seattle. His areas of expertise include financial econometrics, time series analysis and statistical programming for the analysis of econometric data. He is the author of "Modeling Financial Time Series with S-Plus" (Springer 2006) and is one of the world's foremost authorities on econometric modelling in S and R. In addition to his distinguished academic career, Eric is a research consultant to BlackRock, where he has developed and implemented a leading-edge risk management system for funds of hedge funds.

About Financial Analysis with R

R is a powerful open-source software environment for statistical analysis that is rapidly gaining in popularity among financial analysts and is the tool of choice for the research community. It may be freely downloaded from the internet. Being open source, all the code can be inspected. Participants in this workshop will be able to obtain the R code and reproduce examples on their own laptop computers.

Some Reasons to Attend

  • Hear a world-leading expert on financial econometrics and computational finance
  • Improve your knowledge of factor models for asset returns and interest rate models
  • See actual examples developed in the powerful open-source R language
  • Get a hands-on introduction to R and take away the code

Workshop Prerequisites

The workshop is mainly aimed at participants with a quantitative analysis background, e.g. some knowledge of statistics, econometrics or financial mathematics. No prior knowledge of R is required.

Terms and Conditions of Workshop

Review our terms and conditions here.

Fees and Registration

Fees are per person and are quoted and payable in £. The fee will include lunch and refreshments onsite on the day of the workshop.

  • Attendee from non-SFRA Member Organisation - £500
  • Attendee from SFRA Member Organisation - £450
  • Full-time Academic or Postgraduate Student - £225

[A limited number of places will be made available to full-time academics or students, at the discretion of the SFRA.]


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