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

Historical Value At Risk by David Willingham

Calculates Historical Value at Risk for a given portfolio of returns (historical value at r..., var, value at risk)

computeHistoricalVaR(returns,confidence_level,plot_flag)

examplehistvar.m

Estimation value at risk by using Conditional Copula-GARCH by Ali Najjar

Estimating VaR (conditional copula ga..., var, guassian copula)

varargout...

Estimation value at risk by using Exponentially Weighted Moving Averagege by Ali Najjar

Estimating Value at Risk of portfolio by using Exponentially Weighted Moving Average (ewma, statistics, exponentially weighte...)

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

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

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

vcVaR Function by Ali Najjar

Estimation value at risk by using Variance-Covariance Method. (value at risk, var, variancecovariance)

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

fitparp function by Ali Najjar

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

varargout=fitparp(spec,r,s)

fitModelpp function by Ali Najjar

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

fitModelpp(spec, data, solver)

Estimation value at risk by using Conditional Copula-GARCH by Ali Najjar

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

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

In sample Value at Risk and backtesting with the Pearson type IV distribution by Stavros Stavroyiannis

Garch(1,1) model with Pearson type IV distribution innovations and Value at Risk backtesting (christoffersen, finance, garch)

results=varinPIV(data)

In sample value at risk and backtesting by Stavros Stavroyiannis

Garch model with Gaussian distribution and Value at Risk in sample backtesting. (kupiec, finance, garch)

results=varin(data)

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));

Risk and Asset Allocation by Attilio Meucci

Software for quantitative portfolio and risk management (value at risk, modeling, analysis)

...

Addition(x,y);

Adendotd(dense, d, sparAd, Ablk, blkstart)

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)