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)

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

MATLAB code for the generation asset risk analysis case study (market risk, electricity, cashflow at risk)

Calibrating Simulating Natural Gas Spot Prices

Modeling Simulating Hourly Electricity

Modeling Simulating Hourly Temperature

CVaR optimization by Manthos Vogiatzoglou

The file provides scripts and functions to estimate the optimal portfolio by minimizing CVaR (analysis, conditional value at ..., market risk)

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

CVaR_fmincon.m

CVaR_fmincon_variousR0.m