MatRisk
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Matrisk is a simple market risk tool which computes several risk measures:
- Normal VaR and Conditional VaR.
- VaR through mixtures of normals.
- VaR using Extreme Value Theory.
- Regret values for all VaR methodologies
- Risk measures are calculated with different time horizons (1, 5 and 10 days).
- It has an Excel interface with a computational engine written in Java.
