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Description: Simple VaR Calculator provides:
- Evaluation of return distribution of single asset or portfolio of assets
- Volatility forecasts using moving average and exponential algorithm
- Value at Risk of single asset or portfolio measurement using parametric and historical simulation.
- Historical data can be obtained from simple text file or MS Excel using Matlab Excel Links. -Simple VaR Calculator provides:- Evaluation of return distribution of single asset or portfolio of assets- Volatility forecasts using moving average and exponential algorithm- Value at Risk of single asset or portfolio measurement using parametric and historical simulation .- Historical data can be obtained from simple text file or MS Excel using Matlab Excel Links.
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Size: 19456 |
Author: 白洋 |
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Description: 计算VaR的，多种方法，功能比较强大，可以学习后替换成自己需要的-VaR calculation, and a number of ways, more powerful function, can be replaced after learning their needs
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Size: 222208 |
Author: chengwei |
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Description: 词法分析程序，包括双缓冲区的实现等等
内有输入源程序的样例-<html> Lexical analysis procedures, including double-buffer requirement to achieve and so the source of the form: program main: int var a: int var b: int /* calculate a, b th power, that pow (a, b)*/(var sum: int var i: int sum = 0 i = 0 if i
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Size: 3072 |
Author: Beaug |
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Description: 该程序运用于计算多维外汇在险价值程序，还包括后向性检验等内容，值得学习借鉴-Multi-dimensional foreign exchange used to calculate the value at risk program
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Size: 278528 |
Author: 黎辉 |
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Description: 用蒙特卡洛模拟来迭代1000次以后，计算10天后的VaR,特色就是对里面的方差和均值进行差分。里面有详细步骤和方法。-Using monte carlo simulation to iteration after 1000 times, calculate the VaR after 10 days,the characteristic of model is that calculating the the variance and mean 不by difference.There are detailed steps and methods
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Size: 164864 |
Author: 陈凯 |
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Description: 使用历史模拟法、正态分布法、cornish-fisher展开式法求VaR和CVaR-Apply HS\Normal\cornish-fisher methods to calculate VaR and CVaR
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Size: 1024 |
Author: ivy luo |
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Description: 《金融数量分析（第三版）》计算某一给定的资产组合的风险价值VaR，转换价格返回和形象化的历史回报。-Compute Value at Risk for a given portfolio，Convert price series to return series and visualize historical returns
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Size: 1420288 |
Author: 伊伊 |
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Description: garch-copula-VaR模型用于计算投资组合风险-garch-copula-VaR model is used to calculate portfolio risk
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Size: 104448 |
Author: lieyu |
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Description: var计算算法,可用于计算var中的参数识别，脉冲响应等。(Var calculation algorithm, can be used to calculate the parameters of VaR identification, pulse response, etc..)
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Size: 1024 |
Author: pitayazz
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Description: calculate historical simulation of VaR
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Size: 1024 |
Author: 贝贝徐
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Description: 用EWMA（garch（1，1））模型进行计算，rolling window的形式(use the method of rolling window size equals to 250, adopt EWMA model which also calls Garch(1,1) to calculate the Value at Risk)
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Size: 1024 |
Author: fiona777
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Description: 实验名称:投资组合分析
实验性质：综合性和研究探索性
实验目的：熟练运用投资组合工具箱，学会构造有效前沿组合的方法，掌握最优投资组合的计算方法；给出投资组合VaR 的值。
实验任务：选择股票并从万得下载数据，计算证券的预期收益率、标准差和协方差，设定一组约束条件，构造最优投资组合并计算该组合的Var值。
实验设备：计算机
实验软件：Matlab2013 Wind数据库
选择一组股票作为投资标的，构造投资组合，通过估计收益率均值、计算方差、协方差，计算该投资组合权重、在险价值、画出有效前沿。(Experimental Name: Portfolio Analysis
Experimental nature: comprehensiveness and research exploration
The purpose of the experiment is to skillfully use the portfolio toolbox, learn to construct effective frontier portfolio method, grasp the best investment portfolio calculation method, and give the value of portfolio VaR.
Experimental tasks: select stock and download data from Wan De, calculate the expected return, standard deviation and covariance of securities, set up a set of constraints, construct the optimal portfolio and calculate the Var value of the portfolio.
Experimental equipment: computer
Experimental software: Matlab2013 Wind database
A group of stocks is selected as investment target, and a portfolio is constructed. By estimating the mean value, variance and covariance of the yield, we calculate the portfolio weight, value at risk and draw effective frontier.)
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Size: 6060032 |
Author: waffle
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Description: 计算风险价值，历史模拟法，蒙特卡罗模拟法等等(Calculate the value of risk, historical simulation, monte carlo simulation, etc)
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Size: 1024 |
Author: 娜鲁娃 |
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