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Writer's pictureACTUS FRF

“The rActus interface for financial modeling and simulation in R based on the ACTUS standards.”

Updated: Apr 23, 2020

Prof. Dr. Wolfgang Breymann, Head of Research Area,

Zurich University of Applied Sciences


Abstract:

We developed an R interface to use the ACTUS Algorithmic Contract Type Unified Standard.

The interface gives access to the most important contract types. The user can access

individual contracts and define a risk factor environment. The cash flow stream encoded

in the contract can be visualized. In addition, portfolios of contracts can be imported,

and a superstructure of accounts for the analysis can be defined.

The user can also carry out stress tests and Monte Carlo simulations.

In addition, a shiny app has been created that simulates a toy model of a financial systems

that allow the user a simple liquidity stress test.


 

Watch the zoom recording using following Zoom-Link



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