Publications by Yas Suttakulpiboon
Fixed Income, Duration, Convexity and Immunization
Fixed Income, Duration, Convexity and Immunization Fixed Income and Insurance Company Fixed income securities are financial instruments that provide a fixed stream of income over a specified period. In the insurance industry, fixed income securities play a vital role in managing long-term liabilities and ensuring stable cash flows. Insurance comp...
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Volatility Forecasting Part 2
Outline Extended ARIMA and GARCH Models For each model, I will discuss: Motivation The Model Estimation, Interpretation & Diagnostics Some Applications Extended ARIMA and GARCH ARIMAX GARCHX and GARCH with Different Distributions Exponential GARCH gjrGARCH APARCH Some Good To Know Stuff Why Extended ARIMA and GARCH Models? We need to capture ...
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Volatility Forecasting Part 1
Outline Introduction to Volatility Modelling Exploring Financial Time Series Autoregressive Integrated Moving Average (ARIMA) Modelling Generalized Autoregressive Conditional Heteroscedasticity (GARCH) Modelling Comparison of ARIMA and GARCH Models Advanced Topics in Volatility Modelling Conclusion and Future Directions Introduction to Volatility...
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Credit Risk Modelling Using Machine Learning with R Part 2
Agenda More PD Models Using caret Package in R LGD Modelling Using Beta Regression What about corporate default probability? Actual Default Probability Regression / Machine Learning Type Models Risk Neutral Default Probability Extracting firm’s default probability from bond spread Extracting firm’s default risk from stock price Extracting ...
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Credit Risk 1
Definition of Credit Risk Credit risk refers to the potential loss that a lender or investor may face due to the failure of a borrower to fulfill their financial obligations. It is the risk that the borrower will default on their debt or fail to make timely interest or principal payments as agreed.1 Credit Risk vs Default Risk vs Counterparty Ris...
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