Tutorial for VaR, ES and/or Credit Risk? (Novice in MatLab)

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Joacim
Joacim 2014-2-20
回答： Max Wyse 2024-12-17
Hello Matlab Central, my first question here.
I'm currently writing a student paper which will involve calculating Market Risk and Credit Risk for a simulated portfolio. I think I have pretty good understanding about the risk measures in theory but my problem is that I've been recommended to use Matlab for the calculations to get the advantage to learn this program as well during this work.
Assuming normality makes it pretty easy, but we all know that this is not the often the real case. So my problem is firstly doing these calculations on a bivariate problem (later multivariate) since I'm a novice in Matlab. So my question is if anyone have any link to a tutorial linking to my described situation. It doesn't have to be a complete instruction on how to do it, maybe just an introduction to things concerning this, somewhere for me to start reading and learning more.
I found this during my search which is as stated pretty advanced, but I can learn from it atleast: http://www.mathworks.se/help/econ/examples/using-extreme-value-theory-and-copulas-to-evaluate-market-risk.html
Thanks in advance for any help!
Best wishes, Joacim

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回答（1 个）

Max Wyse
Max Wyse 2024-12-17
The Risk Management Toolbox™ has several VaR/ES-related examples that might be useful. I'm not sure what 'bivariate problem' is supposed to mean here, but if you are refering to a Normal VaR estimation scenario with a portfolio composed of multiple assets, then this example might be what you are looking for.

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