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Quantitative Finance

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

結果: Back Testing

Systemic Risk Modeling with MATLAB: Tools and Techniques for Central Banks

著者 Ciara McGahey,

Systemic risk modeling is essential for central banks as financial systems grow more interconnected and vulnerable to sudden shocks. From market implied indicators to climate stress testing and… 続きを読む >>

カテゴリ: 
Back Testing,
Econometrics,
Options and Derivatives,
Risk Management,
Time Series

Credit and Market Risk Management: From Risk Modeling to Regulatory Compliance

著者 Ciara McGahey,

In this technical session, Valerio Sperandeo, Senior Application Engineer, demonstrated how MATLAB can support financial institutions in building robust, transparent, and scalable risk models aligned… 続きを読む >>

カテゴリ: 
Back Testing,
Data Management,
ModelOps,
New Features,
Risk Management

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

著者 Ciara McGahey,

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… 続きを読む >>

カテゴリ: 
Back Testing,
Risk Management

MATLAB Portfolio Backtesting – A new app now on GitHub!

著者 David Willingham,

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… 続きを読む >>

カテゴリ: 
Asset Management,
Back Testing,
New Features