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updated almost 3 years ago

Volatility Loss Functions and VaR Conditional, Indepedence and Regulatory BackTests by Alexandros Gabrielsen

Volatility Loss Functions and VaR Conditional, Indepedence and Regulatory BackTests (volatility loss funct..., var, valueatrisk)

VaRLR(fdata, VaR, alpha, position, options)

results =VFLF(st, ht, options)

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updated 3 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 almost 6 years ago

CVaR optimization by Manthos Vogiatzoglou

The file provides scripts and functions to estimate the optimal portfolio by minimizing CVaR (finance, modeling, analysis)

[fval,w]=CVaROptimization(ScenRets, R0, VaR0, beta, UB, ...

CVaR_fmincon.m

CVaR_fmincon_variousR0.m

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