Introductory Course 2004

S-PLUS Essentials for Finance

at ETH Zurich, October 12-14, 2004


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 6.2 S+FinMetrics.

Course Objectives

Upon completing the S-PLUS Essentials for Finance, participants will know how S-PLUS can be used to:
  • Importing and exporting data
  • Create scatter plots, histograms, boxplots, quantile-quantile plots
  • Create multivariate Trellis graphs
  • Write vectorized command-line expressions
  • Fit and evaluate linear models
  • 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 and have an overview of the capabilities of S+Finmetrics

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 and Introduction
    • 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
    • Trellis graphics
    • Writing functions with style
    • Debugging and trouble shooting
  • Day 3: Time Series Analysis
    • Data structures for time series
    • Time series concepts
    • Introduction and overview of S+Finmetrics
    • Last words: Managing your S-Plus session

Date, Location and Daily Schedule

October 12-14, 2004, in ETH main building, Rämistrasse 101, 8092 Zürich
  • 09.00 - 10.00: HG D 7.1 (lecture)
  • 10.00 - 12.00: HG E 27 (PC room)
  • 13.30 - 15.00: HG D 7.1 (lecture)
  • 15.00 - 17.00: HG E 27 (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 = CHF 2,152
    Please contact Ms. Eveline Häner for registration.
    Early bird discount: 10% for registrations until August 30, 2004.

  • MAS Finance students: Free of charge.
    Please contact Ms. Aline Strolz for registration.
    Deadline for registration October 6, 2004.

  • Ph.D. students and faculty members of University/ETH Zürich: Free of charge, but limited availability.
    Please contact Ms. Aline Strolz to sign up for the waiting list.
    Deadline for registration October 6, 2004.


PD Dr. Erich Walter Farkas and Ms. Aline Strolz

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 is currently teaching all S-Plus Essentials courses for Insightful in Central Europe. He developed customized business analytic applications for the finance industry based on S-PLUS, S+Finmetrics and S-PLUS Server. Furthermore he is a member of the European Insightful technical support team. As part of his Ph.D. thesis at the Institute for Information Systems at ETH Zurich he has developed a decision support system for avalanche hazard management.
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
  • Modern Regression and Classification (1997), ETH Zurich
  • Statistical Survival Analysis (1998), ETH Zurich
  • Extreme Value Statistics (2000), University of Berne
  • Geostatistics (2001), SLF Davos
  • Survival Analysis, Terry Thernau (2002), Insightful
  • The 1st Zurich Workshop on Quantitative Risk Management, Prof. Alexander McNeil and Prof. Rüdiger Frey (2002), ETH Zurich
  • Statistical Data Mining, Brian Ripley (2003), Insightful
  • Analyzing large datasets, Stephen Kaluzny (2003), Insightful
  • Adavanced Programming Methods in S-PLUS, Tim Hesterberg (2004), Insightful
  • Bootstrap Methods and Permutation Tests, Tim Hesterberg (2004), Insightful

Professional Memberships
  • Association of Computing Machineries ACM
  • Schweizer Informatiker Gesellschaft SI
  • Swiss Statistical Association SSS and SSS-BI
  • International Biometric Society IBS/ROeS
  • Informatik Alumni ETH

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

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