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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 2 years ago

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

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updated almost 5 years ago

Dynamic Copula Toolbox 2.0 by Manthos Vogiatzoglou

functions to estimates various copula models via MLE (copula garch, copula vines, gaussian copula graph...)

CopulaSpec=setCopulaLLinputs(dimension)

CopulaSpec=setCopulaVineLLinputs(dimension)

CopulaToolboxTutorial

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