On this page, we provide Matlab functions for the implementation of the risk measurement methods presented in our financial risk management book. These functions can particularly be used to reproduce the results of the included case studies.
The package is structured as follows:
A more detailed overview of the function package can be found in [Overview]. Instructions concerning their use are included within these functions and can be accessed through the standard Matlab commands “help” and “doc”. The function code is kept relatively simple, therefore, it might be useful for the illustration of selected methods within the frame of exercises or case studies.
The function package is provided under the BSD-license. It can thus be freely used and changed. Nevertheless, we do not take any responsibility for bugs or resulting damage. If you find mistakes or have helpful suggestions, we would be pleased about an email to markus.huggenberger uni-mannheim.de
Download latest version (21.03.2018)
We thank Jan Bauer for his valuable support in documenting the codes and preparing the examples.