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updated almost 2 years ago

Christian Pass (view profile)

Performs various time series analysis operations

updated 2 years ago

David Willingham (view profile)

Simulates a distribution of Net Present Values of a mine via a forecasting model for Iron Ore Prices

FitNPV(NPV)

cashflow(data,NTrials,SYear)

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

updated 2 years ago

David Willingham (view profile)

Computes the Parametric Value at Risk for a given Portfolio

computeParametricVaR(returns,confidence_level,plot_flag)

exampleparvar.m

updated 2 years ago

David Willingham (view profile)

Calculates Historical Value at Risk for a given portfolio of returns

computeHistoricalVaR(returns,confidence_level,plot_flag)

examplehistvar.m

updated 2 years ago

Ali Najjar (view profile)

Estimating VaR

varargout...

updated 2 years ago

Ali Najjar (view profile)

Estimating Value at Risk of portfolio by using Exponentially Weighted Moving Average

varargout=ewmaestimatevar(P1,P2,s,lambda,cl,w)

y=ewmacovariance(R1,R2,n,s,lambda)

y=ewmavariance(R,n,s,lambda)

updated 2 years ago

Ali Najjar (view profile)

Estimation value at risk by using Variance-Covariance Method.

varargout=vcVaR(P1,P2,s,w,cl)

updated 3 years ago

Ali Najjar (view profile)

fitparp estimate the parameters of specified GARCH marginals models (garch, gjr, var)

varargout=fitparp(spec,r,s)

updated 3 years ago

Ali Najjar (view profile)

is modified of fitModel function in the Dynamic Copula 3.0 (garch, fitparp, gjr)

fitModelpp(spec, data, solver)

updated 3 years ago

Ali Najjar (view profile)

This function estimate VaR of portfolio composed of two stocks return (var, finance, garch)

varargout=copula111cGarch111VaR(r,parameters,sigmaone,sig...

updated almost 6 years ago

Flavio Bazzana (view profile)

VaR for portfolio stocks

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

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

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

updated almost 6 years ago

Attilio Meucci (view profile)

Software for quantitative portfolio and risk management

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