Market Risk -- MATLAB

AthleteScholar · October 16th, 2004, 5:14 pm

Hi, I'm thinking about to build a Market Risk Management System (involving thousands of assets everyday) Prototype by using MATLAB (Tried Excel/VBA before, but it's too slow and time consuming). I was told that MATLAB is a better solution. And I've found out this book by Keven Dowd -- Measuring Market Risk, which is based on MATLAB. Any comments are welcome!!! Thank you!!!

WilmottBookshop · October 18th, 2004, 7:26 am

Available through the Wilmott bookshopSuzanne

AthleteScholar · October 20th, 2004, 10:08 pm

So, no one has read this book? Anyone? Thanks!!

ganesha · November 4th, 2004, 4:01 am

Hi J,I have just read only some chapters of the book. I have not tried the to implement them yet and therefore my comment on this would be general only.However, I must say that I found the book as very useful, and a good reference for those who are really implement VAR models in their daily works.We will try to implement them and discuss about the solutions offered.Will defitely get back to you or share with you when we encounter problem or anything interesting.I do not expect the book to offer the solution to every problem and to be error free. Cheers,Giojer

AthleteScholar · March 27th, 2005, 3:22 am

Hi ganesha,Did you get a chance to explore the book more? I haven't bought it yet. I am using MatLab 7, and the toolboxes were written in the older version of MatLab, so I'm afraid that it might not be a good idea. I've just found out that the 2nd Edition of the book is coming out in July 2005. Does anyone know if the MatLab toolboxes will be written in new version? I should wait for this one I guess.Thank you for your inputs as always!!