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Quantitative Finance

Investment Management, Risk Management, Algorithmic Trading, Econometric Modeling, Pricing and Insurance

Results for: Back Testing

Navigating FRTB: Standardized vs Internal Models – and the Role of Scriptable Risk Engines

The Fundamental Review of the Trading Book (FRTB) is reshaping how banks measure and manage market risk. Beyond replacing Value at Risk (VaR) with Expected Shortfall (ES) to better capture tail risk… read more >>

MATLAB Portfolio Backtesting – A new app now on GitHub!

The following blog was written by Sara Galante, Senior Finance Application Engineer at Mathworks. 
MathWorks has a new application to implement backtesting strategies available on GitHub. This custom… read more >>