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Risk manager for mutual funds

version (44.7 KB) by Mario Santos
Calculates risk metrics using RiskMetrics 1996 paper by J.P. Morgan methodology

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Updated 05 May 2015

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It serves as a tool for calculating risk metrics for a portfolio made of single positions in mutual funds.
Positions are composed by aggregating the operations recorded in "Operations" sheet.

Market data is obtained from by using the next function:

getTableFromWeb_mod from Sven Koerner

Using the RiskMetrics algorithm for forecasting volatilities and correlations by EWMA method, it gives data of:

- Volatility sets.
- Correlation matrix.
- Undiversified Value at Risk.
- Diversified Value at Risk.
- Marginal VaR.
- Component VaR.

All these calculations are given for 1 day and 1 month horizon, using about 130 days of recent quotes and lambda values of 0.94 and 0.97 respectively.

In addition, it shows the global position of the portfolio and the VaR calculated by simple historical simulation.

I will be pleased to answer any usability question and any suggestion at

Cite As

Mario Santos (2021). Risk manager for mutual funds (, MATLAB Central File Exchange. Retrieved .

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MATLAB Release Compatibility
Created with R2014b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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