A New MATLAB-based Toolbox for Mutual Funds

S. Papadamou and G. Stephanides (Greece)


Software tools, Computational Economics, MATLAB,VaR


This paper introduces a new MATLAB-based toolbox for Computer Aided mutual fund risk evaluation. In the age of computerized trading, financial services companies and independent investors must quickly investigate fund investment style and market risk. The "Fund Risk" toolbox is a financial information system that includes a set of functions based on value at risk (VaR) and expected tail loss (ETL) methodology for graphical presentation of risk forecasts, evaluation of different risk models and identification of fund investment style. The sample of historical data can be divided to estimation rolling window and the back-testing period. MATLAB's vast built-in mathematical and financial functionality along with the fact that is both an interpreted and compiled programming language make this toolbox a useful educational tool that can easily be extendable by adding new complicated risk models with minimum programming effort.

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