Value At Risk

ARMAX-GARCH Toolbox (Estimation, Forecasting, Simulation and Value-at-Risk Applications)The ARMAX-GARCH Toolbox estimates, forecasts and simulates a large variety of ARMA and GARCH models with different distributions and for any order of AR(n), MA(m), ARCH (p) and GARCH (q) effects as well as it... Platforms: Matlab

This file contains three m-file which estimate the Value at Risk (VaR) of portfolio composed of two stocks price by using Exponentially Weighted Moving Average.the main function is 'ewmaestimatevar'. For estimating VaR you should use this function. This function also sketch related diagram. at... Platforms: Matlab

There are two issues with the Pearson type IV distribution: (I) the complex gamma function entering the normalization constant in the probability density function (pdf) and (II) the complex Gauss hypergeometric function entering the cumulative distribution function (cdf). For the complex gamma... Platforms: Matlab

SmartFolio is the most powerful asset allocation software aimed at all types of investors and investment professionals. It contains state-of-the-art portfolio optimization and risk management techniques, based on latest achievements in portfolio theory. The software combines highly advanced and... Platforms: Windows

I wrote this code because I wanted to incorporate a new distribution in the model, not availiable in Matlab or OxMetrics. In this sample the input is a return series, it uses a Garch(1,1) model with a constant in mean in the returns, and calculates the maximum likelihood estimator (mle) for the... Platforms: Matlab

Statmetrics is a free cross-platform software application providing an integrated solution for analysis and modelling of financial markets. Statmetrics combines innovative quantitative finance technology's with the traditional technical and econometric analysis methods. Statmetrics can be... Platforms: Windows, Mac, *nix, Java,Other

Value-at-Risk calculation for portfolio stocks using variance-covariance, historical and MonteCarlo methods. Portfolio can be larger as you want including either the risk factor (stock index, currency, etc.) Platforms: Matlab

The code is explained in the article: Okunev, Pavel, "Fast Computation of the Economic Capital, the Value at Risk and the Greeks of a Loan Portfolio in the Gaussian Factor Model" (July 1, 2005). http://ssrn.com/abstract=758505 This implements one factor Gaussian model. [pd]=pdgs(L,w,p,LL,N) L =... Platforms: Matlab

This function implemented by function 'copula111cGarch111VaR' and other related functions that will estimate the value at risk of portfolio.The marginal model are GARCH(1,1),GJR(1,1),AR(1)-GARCH(1,1)and AR(1)-GJR(1,1)the parameters and standard deviation of models will used for estimation of... Platforms: Matlab

SmartFolio is a state-of-the-art asset management software for investment professionals and private investors. It contains advanced portfolio optimization and risk management techniques, based on the latest achievements in portfolio theory. The software combines highly advanced and innovative... Platforms: Windows

IMterrupt controls and blocks access to Instant Messaging and peer to peer services that put your family at risk from internet hazards. Free trial version available - sets up in less than a minute. Blocks all popular services: MSN Messenger, Yahoo Messenger, ICQ, AIM, Skype, eMule, iTunes, and... Platforms: Windows

Effective tracking and ongoing review of Active Directory changes is essential for preventing security breaches and compliance issues, because unauthorized, unwanted, and malicious changes in Active Directory can put organizations at risk of losing control of security. NetWrix SCOM Management... Platforms: Windows

Online Web-based applications are increasingly at risk from professional hackers who target such applications in order to commit data theft or fraud. The D-Guard Web Application Firewall is a powerful security tool for Web applications and Web sites. D-Guard Web Application Firewall is designed... Platforms: Windows

Online Web-based applications are increasingly at risk from professional hackers who target such applications in order to commit data theft or fraud. The D-Guard Web Application Firewall is a powerful security tool for Web applications and Web sites. D-Guard Web Application Firewall is designed... Platforms: Windows

If your system starts randomly with out any command and dumps the physical memory in the beginning and giving errors then sure that your system is at risk. It is a blue screen physical memory dump error and the error may emerge due to many reasons. At times, there may be inner conflict for the... Platforms: Windows

Ten demos, most of which are shown at The MathWork's financial modeling seminars. All of the demos are in their own folders, which contain the code, and a ReadMe file that explains what the demos do and gives directions on how to run it. The ReadMe also mentions which Toolboxes are needed for... Platforms: Matlab

The code caculates the time-harmonic scattered field value at point 'cart'due to a PEC ball with radius R centered at the origin. The incident wave is E_x=exp(-ikz) (E_y=E_z=0).The formulation is based on H.C. van de Hulst, P123 'light scattering by small particles', Dover, 1981 Platforms: Matlab

BeanCounter enables stockmarket data analysis and performance evaluation. Ever wondered what happened to your portfolio on a day the market moved 500 points? Ever wondered what your portfolio returned over the last (odd and arbitrary) period? Ever wondered what the Value-at-Risk (VaR) was? Ever... Platforms: *nix

Finance::BeanCounter is a Perl module for stock portfolio performance functions. Finance::BeanCounter provides functions to download, store and analyse stock market data. Downloads are available of current (or rather: 15 or 20 minute-delayed) price and company data as well as of historical... Platforms: *nix

The Toolbox forecasts the volatility of a (mxn) vector of data and from a variety of in-built / non-in-built GARCH models with various distributions, as well as the univariate RiskMetrics. The toolbox also estimates a number of Volatility Forecast Loss Functions and if selected Value-at-Risk for... Platforms: Matlab