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Debt sustainability ratio in retail banking

A heuristic approach to assessing default risk in debt repayment of retail exposures is a rather straightforward debt sustainability ratio. Read on as a HTML independent file.

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Posted in Economics, R-stats
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Gauging credit losses

Loss rates on loans are explained by a number of drivers that for a single loan can be summarized as read it as an independent html file (with R code).

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Posted in Economics, R-stats
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Predicting duration before credit default of borrowers based on loan-installment-to-income ratio

This post is a short demonstration of a simple regression analysis based on a mock data set (dat) that consists of loan-installment-to-income ratios of 28 borrowers (LIIR) and the number of months before default (Months). I want to revise the basic steps for regression analysis in R and would like to show practitioners

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Posted in Economics, R-stats
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L’ottimizzazione di portafoglio con il modello media-varianza di Markowitz in R

Introduzione Il modello media-varianza di Markowitz (MV), presentato nel suo celebre articolo del 19521, sebbene abbia ha trovato ampissimo spazio nella ricerca in campo accademico non ha conosciuto una diffusione altrettanto profonda e ampia nel campo pratico visto dalla prospettiva delle imprese di investimento. Una possibile ragione di tale scarsa

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Style for short reports

Another memo for myself. Go for less than 750 words in shorter reports. Here pdf version. Concise but interesting title of shorter report Rodolfo Vanzini 18 maggio 2017 If to Starbuck the apparition of the Squid was a thing of portents, to Queequeg it was quite a different object. “When you

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Posted in R-stats, Whitepapers

Style for reports

A memo for myself: aim for max 1,500 words (fewer is better, though). Download pdf version here. Concise but interesting title Rodolfo Vanzini 18 maggio 2017 If to Starbuck the apparition of the Squid was a thing of portents, to Queequeg it was quite a different object. “When you see him

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Posted in R-stats, Whitepapers

The ECB yield curve with rmarkdown and R (Italian)

La Curva dei Rendimenti per Scadenze Rodolfo Vanzini 20 aprile 2017 La curva dei rendimenti per scadenze La curva dei rendimenti per scadenze (o più semplicemente curva dei tassi) rappresenta graficamente la relazione esistente tra rendimenti di titoli obbligazionari emessi da uno specifico (lo Stato, ad esempio) o da più

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Mean-variance optimization on R

Mean-variance optimization (MVO), epitomized by Nobel prize winner prof. Markowitz, has conquered a pivotal place in academic works. Not as much as in asset managers strategies. An asset manager’s approach to investment management is somewhat different from the statistical and mathematical view of securities needed to feed an MVO model. Furthermore,

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