6 Financial Risks Modeled in MATLAB
By MathWorks Staff
Learn how you can use MATLAB to model all quantifiable risks and service multiple compliance regimes with agility, reproducibility, and robust model governance.
-
Credit and Counterparty Risk: Correlated Defaults with Copulas
Simulate correlated counterparty defaults using a multifactor copula model.
-
-
Counterparty Credit Risk and CVA
Compute the unilateral credit value (valuation) adjustment (CVA) for a bank holding a portfolio of interest rate swaps with several counterparties.
-
Market and Liquidity Risk: An Integrated Example
Compute, stress-test, and manage liquidity risk, funding risk, and market risk in fully general multi-asset class portfolios.
-
Operational Risk: Systematic Fraud Detection
Process heterogeneous data, construct and identify indicators for potential fraud, and train machine learning models to identify fraud candidates.
-
Systemic Risk
Describe, visualize, and model risk contagion, with graph theory and Markov Chain Monte-Carlo.
Published 2017
