Recorded Webinar: Market Risk Using GARCH, Extreme Value Theory, and Copulas with MATLAB
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This recorded demonstration models the market risk of a hypothetical global equity index portfolio with a Monte Carlo simulation technique using a student's t-copula and Extreme Value Theory (EVT).In addition to the use of EVT and copulas, the webinar also highlights a number of application areas of interest to financial clients, such as:
- Database connectivity via the Visual Query Builder GUI
- Econometric time series analysis
- GARCH volatility modeling
- Nonlinear constrained optimization
- Monte Carlo simulation
- 2-D and 3-D graphical analysis
- Statistical curve fitting
- Cell evaluation and code publishing
Product Focus
- MATLAB®
- Database Toolbox™
- Optimization Toolbox™
- Econometrics Toolbox™ (formerly GARCH Toolbox)
- Statistics Toolbox™
This webinar was recorded on 21 Jul 2005
Duration: 69 Minutes