Finance
The Mathematics of VaR
A mathematical derivation of the Portfolio VaR highlighting the assumptions taken at each step
Common Questions about the Normal Distribution
Includes explanations of the z-scores, the confidence intervals and levels and the 68-95-99.7 rule
3D & Contour Plots of the Bivariate Normal Distribution​
An analysis of the structure of the contours and the conditional distributions​
Loan Prepayments
How does an increase in the loan repayments affect the banks' future interest income and assets?
Different Correlation Structures in Copulas
Comparisons between the Gaussian, Student t, Frank, Gumbel and Clayton copulas
Portfolio VaR in 8 Steps
Step-by-step worked example of the Portfolio Value-At-Risk in Excel
Computing the Portfolio VaR using Copulas
Modelling the marginals and the correlation structure with a copula in order to find the VaR figure
Loan Prepayment
Calculating the Prepayment Rate, Prepayment Rate Curves, Interest Lost resulting from an increase in repayments or a decrease in the interest rates
VaR Variance-Covariance Method Calculator
An application whose inputs are stock names and quantity, and computes the value, distribution and VaR