Credit Risk Modeling with MATLAB by Ameya Deoras

These are the supporting MATLAB files for the MathWorks webinar of the same name. (treebagger, bond, var)

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Credit_Rating(newData)

GetMigrationFtsCell(id,date,numRating)

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

CVaR optimization by Manthos Vogiatzoglou

The file provides scripts and functions to estimate the optimal portfolio by minimizing CVaR (analysis, conditional value at ..., market risk)

[fval,w]=CVaROptimization(ScenRets, R0, VaR0, beta, UB, LB...

CVaR_fmincon.m

CVaR_fmincon_variousR0.m