R for Risk Management & Machine Learning
Course by David Ardia University of Neuchâtel
From Monday 1 April until Wednesday 3 April 2019 - 9:00-12:00 - 14:00-16:00
Classroom 1711 (17th century building) - 01/04/2019 & 03/04/2019 Classroom 220 - 02/04/2019
This 3-day course for doctoral students is designed to provide an overview of R and its applications to quantitative risk management and machine learning problems. Day 1 is a crash course in R, covering the essential language's features. Day 2 is an application to market risk with a focus on volatility and copula models. Day 3 proposes an overview of basic machine learning techniques available in R.