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updated 3 months ago

Risk.m by Saeed Nazari

Risk Evaluation in MATLAB (risk)

Risk.m

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updated 11 months ago

Semideviation by Abdulaziz Alhouti

Estimates the downside and upside deviations (finance, investment, statistics)

[LowerSTD UpperSTD]=semistd(x)

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updated almost 2 years ago

Mining Economics with MATLAB by David Willingham

Simulates a distribution of Net Present Values of a mine via a forecasting model for Iron Ore Prices (commodities, mining, economics)

FitNPV(NPV)

cashflow(data,NTrials,SYear)

discounting(data,capex,NTrials,sales,discFactorY,salesb)

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updated 2 years ago

Parametric Value At Risk by David Willingham

Computes the Parametric Value at Risk for a given Portfolio (var, value at risk, parametric value at r...)

computeParametricVaR(returns,confidence_level,plot_flag)

exampleparvar.m

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updated 2 years ago

stockRisk by mono

Assesses risk of stock index by applying extreme value modeling theory. (stock market, risk, negative return)

[Rt_MLE,Rt_Lower,Rt_Upper]=stockRisk(dailyReturn,studyPer...

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updated 2 years ago

KMV Credit Risk Model - Probability of Default - Default Risk by Haidar Haidar

Calculate probability of default based on Moody’s KMV. firms equity follows European call optition (risk, probability of defaul..., merton method)

KMV_MODEL.m

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updated almost 3 years ago

RISK by Joren Heit

This is a digitalized version of the famous RISK board game. (risk, game, gui)

AddBtn(button, ~, game, patch, Buffer)

Attack(button, ~, game, player)

ClickFcn(handle, ~, board)

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updated almost 4 years ago

Energy Trading & Risk Management with MATLAB Webinar Case Study by Ameya Deoras

MATLAB code for the generation asset risk analysis case study (energy trading, risk, market risk)

Calibrating Simulating Natural Gas Spot Prices

Modeling Simulating Hourly Electricity

Modeling Simulating Hourly Temperature

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updated 4 years ago

FinMetrics by Vitaly Kuznetsov

Open source/open architecture quantitative portfolio management environment. (finance, investments, portfolio management)

fm(varargin)

Asset

AssetUniverse

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updated 5 years ago

PortVaR by Flavio Bazzana

VaR for portfolio stocks (finance, modeling, analysis)

(1./sqrt(2*pi)).*exp(-0.5.*x.^2);

-2/sqrt(2)*erfinv(1-2*p);

-sdvp(fix(l-l*p));

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updated almost 6 years ago

Cornish-Fisher VaR by Tal Shir

Returns the Cornish-Fisher Expansion Valut at Risk. (Up to 4th moment) (value at risk, finance, risk)

CFVAR=CFvar(Rt,alpha)

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updated 6 years ago

VaR vs CVaR in Risk Management and Optimization by Gaia Serraino

Case studies on VaR and CVaR optimization (optimization, var optimization, cvar optimization)

solve_PortRebStrat.m

solve_RiskControl_VaR.m

solve_VaR_vs_Prob.m

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updated 8 years ago

Robinson-Schensted Correspondence by Mark Sterling

Standard young tableaux computed for a permutation (young, tableaux, robinson)

Q=rsQ(pa);

[P,Q]=risk(x)

[P,pa]=rsP(x);

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updated 9 years ago

Risk Simulation by Imran Banderker

A simulation of the risk game. (games, risk, simulation)

myrisk(attackers,defenders)

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updated almost 10 years ago

RiskII by Paul de Wit

Play the Risk board game. (games, board, game)

RiskII(varargin)

diceplot(varargin)

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updated 10 years ago

Omega by Nabeel Azar

Computes the omega value of a portfolio. (finance, modeling, analysis)

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updated almost 11 years ago

Risk by Paul de Wit

Determines if the offensive or defensive dice win for a popular board game. (games, dices, probability)

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updated 16 years ago

riskcalc by Anatoly Ivanov

Risk Calculator (finance, modeling, analysis)

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