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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