Introductory Course 2003

S-PLUS Essentials for Finance

at ETH Zurich, October 14-16, 2003


Dr. Bernhard Brabec (Insightful AG)

Course Description

S-PLUS Essentials for Finance is a hands-on training course that covers a broad spectrum of topics from importing data to fitting statistical models. At the conclusion of the course the student will have a working knowledge of the syntax of the S-PLUS language. Both traditional and trellis graphs will be explored. In addition to function writing in the context of graphing and statistics, the course will introduce the basic concepts of time series using tools from the Finance Metrics module for S-Plus 6.1.

Course Objectives

Upon completing the S-PLUS Essentials for Finance, participants will know how S-PLUS can be used to:
  • Create scatter plots, histograms, boxplots, quantile-quantile plots
  • Create Trellis graphs
  • Fit and evaluate linear models
  • Write vectorized command-line expressions
  • Retrieve data from S-PLUS data structures
  • Write and debug basic functions
  • Create data structures suitable for time series models
  • Perform basic time series analysis

Target Audience

  • Academic: Admitted MAS Finance students, selected Ph.D. students and faculty members of the University of Zurich and ETH Zurich
  • Financial Industry: Risk managers, quants, actuaries in banking, insurance and general corporations, as well as RM experts in supervisory authorities. A basic knowledge of elementary probability and statistics is presupposed.

Course Content

  • Day 1: Concepts
    • Introduction to the Graphical User Interface
    • Graphical tools to assess normality
    • Exporting graphics
    • Command line syntax, object orientation
    • Data import and export
    • Data structures
  • Day 2: Programming and Vectorization
    • More data structures
    • Functions and operators
    • Command-line graphics
    • Writing functions with style
    • Debugging and trouble shooting
    • Take advantage of vectorization
  • Day 3: Time Series Analysis
    • Data structures for time series
    • Time series concepts
    • Last words: Managing your S-Plus session

Date, Location and Daily Schedule

October 14-16, 2003, in ETH main building
  • 09.00 - 10.00: HG D 7.1 (lecture)
  • 10.00 - 12.00: HG E 26.3 (PC room)
  • 13.30 - 15.00: HG D 7.1 (lecture)
  • 15.00 - 17.00: HG E 26.3 (PC room)
with appropriate coffee breaks.


The course consists of both lecture and hands-on instruction. Desktop PC's will be shared by academics during the practical sessions, representatives from the financial industry will have one for single use. Training manuals will also be provided during the course. These materials will be yours to keep.

Course Fee and Registration

  • Industry delegates: CHF 2,000 + 7.6% VAT
    Please contact Ms. Eveline Häner for registration.
    Early bird discount: 10% for registrations until August 30th, 2003.
  • MAS Finance students: Free of charge.
    Please contact Aline Strolz for registration.
  • Ph.D. students and faculty members of University/ETH Zurich: Free of charge, but limited availability.
    Please contact Aline Strolz to sign up for the waiting list.


Prof. Dr. Uwe Schmock

About the Lecturer

Dr. Bernhard Brabec Dr. Bernhard Brabec
(Insightful AG)

Bernhard Brabec studied computer science and applied statistics at the ETH Zurich. In April 2002 he joined Insightful as senior consultant and is now product manager for financial applications in central Europe. He has taught several S-Plus Essentials courses and developed customized S-Plus applications for the finance industry. Furthermore he is a member of the European Insightful technical support team. As part of his Ph.D. thesis he has developed a decision support system for avalanche hazard management that is currently in use at the Swiss Federal Institute of Snow and Avalanche Research (SLF) Davos.
Academic Degrees
  • Masters Degree in Computer Science (1993), ETH Zurich
  • Certificate of Post-Graduate Course for Applied Statistics (1997), Seminar for Statistics, ETH Zurich
  • Ph.D. in Technical Sciences (2001), Computer Science Department, ETH Zurich

Additional Courses
  • Summer School on Artificial Intelligence (1994), German Society for Computer Science
  • Computer assisted Image Analysis and Measurement (1995), University of Copenhagen
  • Modern Regression and Classification (1997), ETH Zurich
  • Statistical Survival Analysis (1998), ETH Zurich
  • Extreme Value Statistics (2000), University of Berne
  • Geostatistics (2001), SLF Davos

Professional Memberships
  • Association of Computing Machineries ACM
  • Schweizer Informatiker Gesellschaft SI
  • Swiss Group for Artificial Intelligence SGAICO
  • Swiss Statistical Association SSS
  • International Biometric Society IBS/ROeS

  • German (mother tongue)
  • English (written and spoken fluently)
  • Italian (basic knowledge)

[RiskLab] [ETH Finance Group] [Department of Banking and Finance] [NCCR-FINRISK] [CCFZ]