factorAnalytics

Improve the factorAnalytics package

Summary: The purpose of this project is to improve the useability, reliability, features, and documentation of the factorAnalytics package.

Description: TBD

Related work: TBD

Potential tasks:

1. Scenario analysis
2. Multi-country risk modeling to account for currency effects
3. Hierarchal models to map country and sector models to global models
4. Active risk factor models (benchmark relative models)
5. Dynamic graphics visualization

Skills required:

Applicants should have:

• Familiarity with using the factorAnalytics package.
• Proficiency with R and some experience in developing in R.
• Knowing or comfort in quickly learning tools such as svn, Roxygen2 and LaTeX
• Those with demonstrable experience with finance-related packages will be preferred.
• A background in computer science or engineering with graduate training in finance is ideal.

Test:

A successful applicant will:

• Discuss the proposed package functionality.
• Write development timeline for code implementation, documentation and testing.
• Provide a complete code example of a function with documentation that demonstrates familiarity with the tools listed above.
• Identify any personal commitments that conflicts for their time during summer 2014.

Mentor: Eric Zivot ([@](mailto:ezivot {at} uw {dot} edu))