Measuring Market Risk Matlab toolbox

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The ‘Measuring Market Risk’ (MMR) toolbox enables you to carry out a large number of market risk measurement tasks, including:

· Displays of quantile-quantile (QQ) and mean excess function (mef) plots for exploratory data analysis.

· Estimation of Value at Risk (VaR) and Expected Tail Loss (ETL) using parametric methods, under a variety of alternative distributional assumptions (e.g., normal, lognormal, t, log-t, extreme-value, etc.).

· Estimation of VaR and ETL using non-parametric methods (e.g., historical simulation VaR and ETL, bootstrapped VaR and ETL, estimation of VaR and ETL using principal components, etc.).

· Estimation of VaR and ETL using position-level data and/or portfolio-level data.

· Estimation of confidence intervals for VaR and ETL.

· Extreme-value VaR and ETL analysis.

· Estimation of options VaR and ETL

· Estimation of incremental VaR/ETL, and estimation of hot spots (or risk decomposition) of portfolios.

· Simulation of VaR/ETL for complex positions (e.g., options, fixed-interest, insurance, pensions, etc.).

· Estimating of VaR and ETL using binomial methods.

· Backtesting of market risk models.

Measuring Market Risk (MMR) toolbox

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2007-2-11 07:27:00 上传

[分享]Measuring Market Risk (MMR) Matlab toolbox by Kevin Dowd
需要: 10 个论坛币  [购买]

[此贴子已经被作者于2007-2-13 4:25:48编辑过]

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关键词：market risk Measuring toolbox MATLAB market toolbox MATLAB Risk market Measuring

非常感谢

感谢，这本书电子版的我有，就是缺这个了。

楼上的朋友，能把Measuring Market Risk的电子版给我发一份吗？

太谢谢了!

书在此：https://bbs.pinggu.org/thread-143340-1-1.html

谢谢楼主提供！！！

好东西，就是钱不够了

灰常感谢！！

顶啊啊啊啊

书的电子版我下了，但只有两个金币了，哪位好心人把这个matlab toolbox穿给我呗，邮箱sui1126@163.com

谢啦