Risk management professionals need to reduce model development time and develop and deploy transparent, stable, and easily upgradable applications.
Learn how to use MATLAB® to develop risk control models, scale models based on application size, test according to regulatory requirements, and perform stress testing under various scenarios:
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The existing code examples show you how to quickly develop risk control applications for credit risk, market risk, counterparty risk, and more.
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Provide examples of application development, including instructional videos and professional technical articles.
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Selected excellent models developed in the MATLAB user community for user reference.
Get all the code model examples mentioned below
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Market Risk
CVaR portfolio optimization workflow.
Integrating liquidity risk and market risk risk control models.
Using MATLAB to quantify and monitor market risk.
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Required MATLAB Products
MATLAB®
Optimization ToolboxTM
Financial ToolboxTM
Statistics and Machine Learning ToolboxTM
Operational Risk
Using copulas to simulate correlated random variables.
Density of multidimensional Archimedean copulas.
Modeling operational risk.
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Required Products
MATLAB
Statistics and Machine Learning Toolbox
Credit Risk
Predicting the probability of company default.
KMV credit risk model – calculation of default probability.
Instructional video: Using MATLAB to predict company default probability.
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Required Products
MATLAB
Statistics and Machine Learning Toolbox
Optimization Toolbox
Financial Toolbox
Liquidity Risk
Portfolio optimization.
Integrating liquidity risk and market risk risk control models.
Using MATLAB to effectively integrate portfolio management with trading.
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Required Products
MATLAB
Statistics and Machine Learning Toolbox
Optimization Toolbox
Financial Toolbox
Systemic Risk
Using graph theory and Markov chains to study risk contagion (demo example).
Using the IRIS toolbox for macroeconomic modeling and forecasting.
Using graph theory and Markov chains to study risk contagion (technical article).
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Required Products
MATLAB
Statistics and Machine Learning Toolbox
Parallel Computing Toolbox
Counterparty Risk
Counterparty credit risk and CVA.
Monte Carlo simulation and pricing of financial derivatives.
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Required Products
MATLAB
Statistics and Machine Learning Toolbox
Optimization Toolbox
Financial Toolbox
Financial Instruments ToolboxTM
Economic Capital
Predicting corporate loan default rates: stress testing.
Cumulative distribution function of CDO asset loss in Gaussian factor model.
Basel Accord compliance requirements and risk management analysis: calculation of economic capital.
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Required Products
MATLAB
Statistics and Machine Learning Toolbox
Optimization Toolbox
Financial Toolbox
Fraud Prevention, Compliance, and Legal Compliance
Benford’s Law toolbox.
Monitoring systemic fraud through automated data analysis in MATLAB.
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Required Products
MATLAB
Statistics and Machine Learning Toolbox
Stress Testing
Using the Black-Litterman model and related techniques for stress testing.
Using MATLAB for macro stress testing.
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Required Products
MATLAB
Statistics and Machine Learning Toolbox
Optimization Toolbox
Econometrics ToolboxTM
Datafeed ToolboxTM
Risk Assessment/Smart Beta
Multi-factor model (code sharing).
Using MATLAB to build portfolios: Smart Beta.
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Required Products
MATLAB
Statistics and Machine Learning Toolbox
Optimization Toolbox
Financial Toolbox
Datafeed Toolbox
Commodity Risk
Valuation of natural gas contracts.
Code sharing: Using Monte Carlo methods to simulate the curves of spot and forward contracts for commodities.
Using MATLAB for the valuation of natural gas contracts.
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Required Products
MATLAB
Statistics and Machine Learning Toolbox
Optimization Toolbox
Financial Toolbox
Financial Instruments Toolbox
Get the code model examples mentioned in the text
Click “Read the Original”