Название: Risk Analytics: From Concept to Deployment, 2nd Edition
Автор: Edward H K Ng
Издательство: World Scientific Publishing
Год: 2022
Страниц: 243
Язык: английский
Формат: pdf (true)
Размер: 10.1 MB

This book is written to empower risk professionals to turn analytics and models into deployable solutions with minimal IT intervention. Corporations, especially financial institutions, must show evidence of having quantified credit, market and operational risks. They have databases but automating the process to translate data into risk parameters remains a desire.

Modelling is done using software with output codes not readily processed by databases. With increasing acceptance of open-source languages, database vendors have seen the value of integrating modelling capabilities into their products. Nevertheless, deploying solutions to automate processes remains a challenge. While not comprehensive in dealing with all facets of risks, the author aims to develop risk professionals who will be able to do just that.

This book is written for risk management professionals, bankers, compliance officers, as well as modelers and students who are interested in risk analytics. Readers will no doubt benefit tremendously in understanding the framework and processes involved in data warehousing and management, and the deployment of coding languages such as R, Python and SQL. Beyond just theories and concepts, readers will learn how to create solutions that can support planning and automated decision-making.

R is certainly good enough for standalone analytics and modeling. RStudio is a widely used interface for coding. Vendors like Microsoft and Oracle have, however, grasped the value of embedding the language into their databases to facilitate deployment. The Chapter 4 is devoted to describing R in a database. A separate one will focus on using R in Microsoft Excel which is best suited for Online Analytical Programming (OLAP) supporting the slicing and dicing of data for real-time planning and strategizing. Embedding R directly into SQL is a big step even if the execution of the codes can be better designed.

In most business environments, Microsoft Excel or spreadsheet equivalents have been widely used for this purpose. With R now embedded as a free add-in, Excel is a useful tool for risk analytics that are not time critical. Basic Excel R Toolkit (BERT): This is a free Excel add-in that can be downloaded from https://bert-toolkit.com/. It should be automatically incorporated into a supported version of Excel else the usual adding and activation of an add-in has to be carried out. If BERT is successfully added, a new tab Add-ins should appear on the ribbon and clicking that will lead to a drop down. A click on the BERT Console opens another window for R coding.