계산 금융

추천 예제

Model the United States Economy

Use a vector error-correction model as a linear alternative to the Smets-Wouters DSGE macroeconomic model.

(Econometrics Toolbox)

Hedge Options Using Reinforcement Learning Toolbox

Outperform the traditional BSM approach using an optimal option hedging policy.

(Financial Toolbox)

Use Deep Learning to Approximate Barrier Option Prices with Heston Model

Use Deep Learning Toolbox™ to train a network and obtain predictions on barrier option prices with a Heston model.

(Deep Learning Toolbox)

Backtest Strategies Using Deep Learning

Construct trading strategies using a deep learning model and then backtest the strategies using the Financial Toolbox™ backtesting framework. The example uses Deep Learning Toolbox™ to train a predictive model from a set of time series and demonstrates the steps necessary to convert the model output into trading signals. It builds a variety of trading strategies that backtest the signal data over a 5-year period.

(Deep Learning Toolbox)

Interpret and Stress-Test Deep Learning Networks for Probability of Default

Train a credit risk for probability of default (PD) prediction using a deep neural network. The example also shows how to use the locally interpretable model-agnostic explanations (LIME) and Shapley values interpretability techniques to understand the predictions of the model. In addition, the example analyzes model predictions for out-of-sample values and performs a stress-testing analysis.

(Deep Learning Toolbox)

Incorporate Macroeconomic Scenario Projections in Loan Portfolio ECL Calculations

Generate macroeconomic scenarios and perform expected credit loss (ECL) calculations for a portfolio of loans. The workflow in this example shows important computational steps required to estimate provisions for credit losses following regulations such as IFRS 9 (Risk Management Toolbox) or CECL (Risk Management Toolbox). In practice, the determination of loan provisions is a much more involved operational program requiring the collaboration of multiple departments in an institution. The goal of this example is to show useful computational tools that can support this process.

(Risk Management Toolbox)

비디오

Database Explorer 앱으로 관계형 데이터 액세스 및 탐색
이 비디오에서는 SQL에 대한 지식이 없어도 Database Explorer 앱을 사용하여 관계형 데이터를 탐색하고, MATLAB으로 데이터를 가져와 분석하며, 재현 가능한 분석 결과를 만드는 방법을 보여줍니다.

Binning Explorer 앱을 활용한 신용 평점표 모델링
이 비디오는 Risk Management Toolbox의 Binning Explorer와 Financial Toolbox의 내장 함수를 사용하여 신용 평점표 모델링을 처음부터 끝까지 수행하는 방법을 보여줍니다.

Econometric Modeler 앱을 사용하여 ARIMA 모델 생성하기
이 비디오는 Econometric Modeler 앱을 사용하여 시계열 분석을 위한 계절성 ARIMA 모델을 만드는 방법을 보여줍니다.