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)

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

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,studyPerio...

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

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)

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

FinMetrics by Vitaly Kuznetsov

Open source/open architecture quantitative portfolio management environment. (trading, portfolio management, risk)

fm(varargin)

Asset

AssetUniverse

PortVaR by Flavio Bazzana

VaR for portfolio stocks (risk, value at risk, portvar)

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

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

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

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)

VaR vs CVaR in Risk Management and Optimization by Gaia Serraino

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

solve_PortRebStrat.m

solve_RiskControl_VaR.m

solve_VaR_vs_Prob.m

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);

Risk Simulation by Imran Banderker

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

myrisk(attackers,defenders)

RiskII by Paul de Wit

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

RiskII(varargin)

diceplot(varargin)

Omega by Nabeel Azar

Computes the omega value of a portfolio. (risk, sharpe, analysis)

omega(returns,targets)

Risk by Paul de Wit

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

Risk.m

riskcalc by Anatoly Ivanov

Risk Calculator (analysis, risk, finance)