Risk analysis with Matlab

By Murray Bourne, 23 Aug 2007

An article from MATLAB, Modeling Market Risk Using Extreme Value Theory and Copulas, is a neat example of mathematical modeling.

Using a global equity index portfolio as an example, this article shows how MATLAB, Statistics Toolbox, and Optimization Toolbox enable you to apply this combined approach to evaluate a popular risk metric known as value-at-risk (VaR).

Math classrooms should involve the kind of activities that we see in this article:

  • Using authentic data
  • Modeling (describing real events using mathematical equations)
  • Calculating something that is useful in the real world (in this case, financial risk management)
  • Using math software to do the grunt work

Unfortunately, the recorded Webinar of this topic is nmo longer available.

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