Events - Seminars

Managing Risk with Extreme Value Theory and Copulas: A MATLAB Financial Case Study

Seminar Overview

In this case study, MathWorks staff will demonstrate how you can develop market risk models applying extreme value theory and copulas and then deploy those models as applications.

Finance professionals worldwide use MATLAB and other MathWorks tools to design and deploy quantitative models to solve a wide array of problems.

Attend this free seminar to find out how you and your colleagues can apply MATLAB to your financial application development process.

Thank you for your interest in MathWorks Seminars. There are no dates currently scheduled for this Seminar. For more information on our seminars and products contact MathWorks sales or please visit:

Who Should Attend

Existing and prospective MATLAB users involved in financial services research, data analysis, and modeling - including those in the following roles:

Risk Analysts
Quantitative Analysts
Analytical Researchers
Actuaries
Economists
Risk and Portfolio Managers

Seminar Highlights

After a brief introduction to MATLAB, attendees will see how MATLAB supports an end-to-end process, from initial prototyping and model development to final deployment to the end user.

This new case study highlights how the MATLAB platform dramatically improves model development and deployment time, reducing both cost and time-to-market.

Part one of the case study highlights the development of a Value-at-Risk (VaR) measure in MATLAB.We will cover topics including GARCH volatility modeling, Extreme Value Theory (EVT), and copula methods of Monte Carlo simulation.

Part two of the case highlights MATLAB deployment tools. The demonstration will show how components of a risk management model can be embedded in business applications such as Excel add-ins, COM, .NET, and Java applications.

Agenda
8:30	Registration and Continental Breakfast
9:00	Developing Risk Models Using MATLAB Database connectivity GARCH volatility modeling Extreme Value Theory (EVT) Copula methods of Monte Carlo simulation
10:10	Break
10:25	Deploying Risk Models Using MATLAB Deployment Products Excel connectivity Excel add-ins, COM, .NET, and Java applications
11:45	Questions and Answers