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VaR_Calculate
- 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
lexic
- 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:
Matlab-code-for-VaR
- 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
VaR
- 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
var_cvar
- 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
calculate-Var
- 《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
Copula111gGarch111VaR
- 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
vare
- 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..)
CVaROptimization.m
- calculate historical simulation of VaR
VaR-EWMA& Historical simulation
- 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)
Solution2
- 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)
matlab
- 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