A framework for financial systemic risk valuation and analysis.
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Updated
Jan 5, 2023 - MATLAB
A framework for financial systemic risk valuation and analysis.
A framework for estimating Basel IV capital requirements.
Subset simulation is a method of estimating low probability events. Here I adapt SS to perform well with correlated inputs.
All Matlab algorithms published by Open Source Modelling in one place.
Implementation of the Smith & Wilson algorithm for interpolation and/or extrapolation of missing interest rates in JavaScript.
Resampling procedure for weakly dependent stationary observations.
Optimizing bets on political elections
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