Visualizing pattern from cross risk factors scenario information
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Transcript of Visualizing pattern from cross risk factors scenario information
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Visualizing pattern from
cross risk factors scenario information
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About me…
Sai-Ming(Simon) LawMajored in Math at KSU, Georgia2nd Year, Master’s in Applied StatisticsPassed: Exam P and FMInterned w/ Pacific Life Insurance Co.
(Summer 2012)
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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)
About the project I worked on…
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About this talk…
How to use R from within Excel
How to automate the input/output process
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How to use R from within Excel
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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
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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/
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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)
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How to automate the input/output process
Tasks:1. Read in Scenario Information ( a big data set)
Excel Visual Basic Application Error Checking
2. Manipulate the data R
3. Apply bucketing algorithm4. Summarize data5. Create Plot6. Transport plots
R Excel
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PL: SWAP 10Y x EQUITY S&P x CREDIT
Scenario frequency findings
Correlation
Edges
Clusters
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Outcome severity findings Dark (losses)
vs. light (gains)
Credit & interest rates have highest impact
PL’s “perfect storm” scenario
PL: SWAP 10Y x EQUITY S&P x CREDIT
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PL: SWAP 10Y x EQUITY S&P x CREDIT Frequency vs. Severity
“Blind spots” Frequency clusters are trivial spots in severity
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IIP: SWAP 10Y x SWAP 1Y x CREDIT Frequency vs. Severity
Credit dominates SWAP rates have high correlation
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Special Thanks…
Dr. Feldman
Benson Chen
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Q & A …