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updated 10 months ago

Large Inverse Cholesky by Aravindh Krishnamoorthy

Computes the coefficient matrices of Structured Vector Autoregressive Model (structured vector aut..., svar, var)

lic(X, K)

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updated 11 months ago

Speeding Up Algorithms: When Parallel Computing and GPUs do and don't accelerate by Michael Weidman

Files and slides from the presentation of the same name. (finance, gpu, parallel)

calcProbRuin(EquitySAVal)

calcValuePayoutAndFees_GPU( ...

calcValuePayoutAndFees_VEC( ...

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updated 1 year ago

Yahoo Finance Time Series Analysis Tool by Christian Pass

Performs various time series analysis operations (data export, finance, gui)

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updated 1 year ago

vardump.m Dump variables into a string by Ronald

Dump variables into one string (similar to var_dump from PHP) (variables, disp, output)

vardump(varargin)

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updated almost 2 years ago

Hurst Exponent Estimation by Vilen Abramov

the code uses R/S analysis to derive Hurst exponent (hurst, finance, var)

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updated almost 2 years ago

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

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updated almost 2 years ago

Historical Value At Risk by David Willingham

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

computeHistoricalVaR(returns,confidence_level,plot_flag)

examplehistvar.m

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updated almost 2 years ago

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

Estimating VaR (finance, garch, guassian copula)

varargout...

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updated almost 2 years ago

cell2vars: Transform cell to vars by Renwen Lin

cell2vars: Transform cell's columns' to variables in workplace (data export, measurement, data import)

cell2vars(cellvar, newvarname)

cell2vars_d.m

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updated almost 2 years ago

Student VaR / CVaR by Kienitz Wetterau FinModelling

Student VaR and CVaR against Gaussian risk figures (var, cvar, student)

FMinusOne( x,n )

InverseCDF4(x)

NCVaR(x)

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updated almost 2 years ago

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 (value at risk, var, exponentially weighte...)

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

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

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

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updated almost 2 years ago

Efficient Frontier using different risk return measures by Saurabh Yadav

Code for finding optimal portfolios and plotting efficient frontier for diff. risk return measures (efficient frontier, portfolio optimizatio..., var)

Sharpe( weights )

mnvarratio( weights )

Efficient_frontiers.m

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updated 2 years ago

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)

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updated 2 years ago

EWMA St.Dev. by Lorenzo Brancali

This code calculates the Exponentially Weighted Moving Average Standard Deviation (ewma, standard deviation, finance)

Y=EWMASTD(X,d)

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updated almost 3 years ago

Credit Risk Modeling with MATLAB by Ameya Deoras

These are the supporting MATLAB files for the MathWorks webinar of the same name. (credit risk, transition matrices, var)

...

Credit_Rating(newData)

GetMigrationFtsCell(id,date,numRating)

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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

fitparp function by Ali Najjar

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

varargout=fitparp(spec,r,s)

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updated 3 years ago

fitModelpp function by Ali Najjar

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

fitModelpp(spec, data, solver)

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updated 3 years ago

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

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

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

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updated 5 years ago

PortVaR by Flavio Bazzana

VaR for portfolio stocks (finance, modeling, analysis)

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

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

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

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updated 5 years ago

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)

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updated 6 years ago

NaN Suite by Jan Gläscher

Descriptive Statistics for N-D matrices ignoring NaNs. (statistics, probability, nan)

nanmax.m

nanmean.m

nanmedian.m

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updated almost 9 years ago

6-pulse STATCOM by mehdi nouri

Compensate the VAR in the power system. (compensator, 6pulse, statcom)

mehdi

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updated almost 13 years ago

writevar by Randy Poe

Read an array or structure and create a script that can recreate it. (structures, cell arrays, write)

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