Introductory Course 2005

S-PLUS Essentials for Finance

at ETH Zurich, October 18-20, 2005


Stefan Denzler (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 18-20, 2005, in ETH main building, Rämistrasse 101, 8092 Zürich 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, 2005.

  • MAS Finance students: Free of charge.
    Please contact Ms. Aline Strolz for registration.
    Deadline for registration October 13, 2005.

  • 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 13, 2005.


PD Dr. Erich Walter Farkas and Ms. Aline Strolz

About the Lecturer

Stefan Denzler, Insightful AG

Stefan Denzler holds a degree in Data Analysis and Process Design and received his Masters of Advanced Studies in Finance diploma from the ETH and the University of Zurich. He joined Insightful Central Europe as a statistical consultant for finance in May 2005. He is currently involved in the development and the implementation of a risk modelling platform for risk based capital calculations based on S-PLUS, S+FinMetrics and S-PLUS Server for a global insurer. As part of his master thesis in collaboration with the Financial and Risk Modelling Group of Converium Ltd, he has developed a credit risk model that quantitatively links default probabilities (i.e. expected default frequencies, EDFs, of Moody’s KMV) to actual credits spreads observed on the market for corporate bonds.
Academic Degrees
  • Dipl. Ing. FH in Data Analysis and Process Design (2002), Department of Mathematics and Physics, Zurich University of Applied Sciences (ZHW) Winterthur
  • Masters of Advanced Studies in Finance (2005), Department of Mathematics, Swiss Federal Institute of Technology Zurich (ETH) / Faculty of Business Administration, Swiss Banking Institute, University of Zurich

Professional Memberships
  • Swiss Engineering STV
  • Swiss Statistical Society SSS
  • International Statistical Institute (ISI), Bernoulli Society for Mathematical Statistics and Probability
  • Institute of Mathematical Statistics

  • German (mother tongue)
  • English (advanced level, written and spoken fluently)
  • French (good)

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