What is MatRisk?

MatRisk is a simple market risk tool for computing value at risk and expected shortfall measures for different time horizons.

The calculation of the measures is performed using a parametric approach. The application covers the Gaussian approach, the Gaussian mixture distribution and the use of extreme value theory for modeling the excesses over threshold.

The application counts with an excel interface and a computational engine implemented in java.


  • Estimation of market risk measures for different time horizons.
  • Maximum likelihood estimation of the parameters of the parametric distributions.
  • Calculation and visual representation of the mean excess for defining the threshold in the extreme value distribution approach.
  • Visual representation of time series.

See MatRisk