managing risk with extreme value theory and copulas : a … · 2006-05-26 · models using matlab...
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Managing Risk with ExtremeManaging Risk with Extreme
Value Theory and Copulas :Value Theory and Copulas :
A MATLAB Financial CaseA MATLAB Financial Case
StudyStudy
Financial Products GroupFinancial Products Group
Eugene McGoldrick & Rick Baker
Financial Products Development
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$0
$100
$200
$300
1998 1999 2000 2001 2002 2003 2004 2005
The MathWorks Today2005 - continued MATLAB - Simulink growth
� 2005 Revenue - $350M
� 16% total revenue growth
� 1,300 employees - 38%in product development
� 1,000,000 current users -in 175 countries
Earth’s topography on an equidistant cylindrical projection, created with the
MATLAB® Mapping Toolbox
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Business ChallengesBusiness Challenges
� Development time
� Computational speed
� Deployment time
Lost opportunity or added riskLost opportunity or added risk
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OverviewOverview
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Excel L
ink
Typical Process Flow
MATLAB
Financial
Fin
an
cia
l
Deri
vati
ves
GA
RC
H
Statistics
Fix
ed
-
Inc
om
e
OptimizationData
base
Data
feed B
uild
er
Fo
r E
xcel
Bu
ild
er
for
.Net
MATLAB
Compiler
Rep
ort
Gen
era
tor
Data
Analysis &
Visualization
Data
Analysis &
Visualization
DataData
Financial
Modeling
Financial
ModelingReportsReports
Deploy
Applications
Deploy
Applications
Bu
ild
er
Fo
r Java
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The Power of MATLABThe Power of MATLAB
MATLAB is both
An Application Development Environment: Models developed in MATLAB by financial professionals are translated into components using the MATLAB Compiler and distributed as stand-alone applications or quickly integrated into new or existing legacy applications by Information Technology Engineers
A Computational Environment:
Financial professional develop complex financialmodels using MATLAB and its family of toolboxes
and
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The Case Study
� Extreme Value Theory and Copula
modeling with MATLAB
� Generating supporting
documentation from
MATLAB
� Deploying to desktop applications
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MATLAB Presentation
Managing Risk with Extreme Value Theory and CopulasManaging Risk with Extreme Value Theory and Copulas
Rick BakerRick Baker
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Products used to develop the model
� MATLAB
� Statistics Toolbox
� Optimization Toolbox
� GARCH Toolbox
� Database Toolbox
MATLAB
FinancialG
AR
CH
Statistics OptimizationData
base
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Interaction with Excel … Excel LinkInteraction with Excel … Excel Link
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Excel Link
� Excel is the front end
� Excel Link is the communication layerbetween the MATLAB and Excel
� MATLAB is the computational/graphics engine
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MATLAB – Excel Link ApplicationE
xcel L
ink
MATLAB
FinancialG
AR
CH
Statistics OptimizationData
base
� MATLAB connects to the database
� Numerical algorithms are written and executed inMATLAB
� Excellent test environment for future models that willbe deployed onto the desktop.
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Deploying the model/algorithmDeploying the model/algorithm
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Academic
Research
Quantitative
Research
Analytic
Prototyping and
Application
Development
Analytic
Prototyping
Investment
Professionals:
Analysts, Traders,
Portfolio Managers
Finance
Professionals:
Accountants,
Financial Analysts
Actuaries
Model Development ProcessModel Development Process
� Learning curve
� Deployment
� FunctionalityApplicationSpecific Software
� Limited functionality� Ease of use
� Deployment
Excel
Excel, C/C++,VB
WeaknessStrength
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MATLAB Prototype to ProductionMATLAB Prototype to Production
Academic
Research
Quantitative
Research
Analytic
Prototyping and
Application
Development
Analytic
Prototyping
Requests
MATLABMATLAB
Investment
Professionals:
Analysts, Traders,
Portfolio
Managers.
Finance
Professionals:
Accountants,
Financial Analysts,
Actuaries
MATLAB prototype to production system
… single command at the command line
Traditional prototype to production system port
… development timeline : 2 weeks ~ 6+ months
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The MATLAB CompilerThe MATLAB Compiler
• Works with C/C++ compilers (Microsoft Visual Studio)
• Creates executables, components, or libraries
• Supports the entire MATLAB language (OOP’s, JAVA, EVAL, ActiveX)
• Deploy applications at no cost
Your
MATLAB
App
Your
MATLAB
Functions
Integrate into other
environments
Deploy as a
standalone
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Compiler architecture … 3 Components
• Executable, Component orLibrary
• Component Technology File(CTF)
• CTF file contains all supportingm files, mex files, java files, MATfiles, etc. that are needed toallow application to run.
• Enables customers to protecttheir IP due to new encryptionmodel used in building the CTFarchive.
• MATLAB ComponentRuntime (MCR)
MathWorks
supplied MCR
CTF
Archive
EXE, COM, or Lib
Components
built by the
compiler
(usually 300KB)
Deployed
once onto
the desktop
(100 MEG)
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C/CC/C++ Shared Objects++ Shared Objects
WebWebStand-aloneStand-alone
Excel
COM
Deploying with MATLABDeploying with MATLAB
.Net
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Deployed
Application/Algorithm
Application/Component Deployment from MATLAB
• Taking a thin slice of Toolbox functionality that is relevant for the
Application/Algorithm and packaging it up to support the Standalone
Application/Component
User Developed
GUI’s,
Algorithms,
And
Graphics
Financial
Financial
Derivatives
GARCH
Statistics
Fixed-Income
OptimizationDatabase
Datafeed
Application/Algorithm in MATLAB
MATLAB Compiler
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Standalone Applications
� Single commandat commandprompt (mcc)
� Build fullapplications inMATLAB
� Deploy todesktop …royalty free
MATLAB
MATLAB
CompilerMATLAB Application
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Deploying to Excel … Excel Add-ins
� Component and VBA code generated byExcel Builder
� “Black Box” model deployed to desktop,algorithms are protected.
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Deploying with COM
� Deploy componentsto any COM compliantlanguage
– C
– C++
– VB
MATLAB
Bu
ild
er
for .N
et
MATLAB
Compiler
MATLAB Algorithm
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Deploying to .Net
� Develop componentsthat can be used with.Net languages
– VB.Net
– C#
MATLAB
Bu
ild
er
for .N
et
MATLAB
Compiler
MATLAB Algorithm
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Deploying to Java (Beta)
� Generate Javaclasses fromMATLAB.
� SeamlessIntegration intoJAVA applications
MATLAB
MATLAB
Compiler
Bu
ild
er
Fo
r J
ava
MATLAB Algorithm
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Web Applications … .Net/COM
� MATLAB generated .Net and COM components can bedeployed to the web via Active Server Pages (ASP)
MATLAB .NET
Component
Microsoft IIS
Web Server
MATLAB COM
Component
MATLAB Component Runtime (MCR)
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Web Applications … Java
� MATLAB generated Java components can bedeployed to the web using JAVA Server Pages (JSP)
MATLAB JAVA
Component
MATLAB Component Runtime (MCR)
Apache Web
Server
Tomcat Servlet
Engine
JAVA Servlet
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ReportingReporting
• Documents for compliance and modelverification
• Generating custom daily/nightly reports
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Compliance and Model VerificationCompliance and Model Verification
� Documentation of code– Display code and comments
– Headings, links, and fonts
– Graphics
– Multi –output formats
• HTML, XML, Word, LaTex, PowerPoint
� Create dependency reports– Understand parent/child relationships
� Performance reports– Recommendations for improvements
– Check unused variables
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Custom Report GenerationCustom Report Generation
Create � Template based report design– Develop report outline
– Reusable templates
� Scripting features– Chapters
– Text, tables, links, graphs, code, etc
� Multiple output formats– HTML
– XML
– RTF
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Wrap UpWrap Up
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Business Tools on the Desktop MATLAB Tools
- Excel
- Word
- Browsers
- Live Market Data
- Databases
• Oracle
• Microsoft Access
• Microsoft SQLServer
• Sybase SQLServer
• ….
- Excel Link & Data Import Tool
- Publisher, copy figure
- Publisher and Report Generator
- Datafeed Toolbox
- Database Toolbox
• ODBC & JDBC
• …
MATLAB for Business ApplicationsMATLAB for Business Applications
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Benefits of MATLABBenefits of MATLAB
• Interactive environment
• An extensive library of viewable code that can beused “as is” or modified to incorporate businessmodels
• Matrix based — handle and manipulate large datasets
• First rate graphics engine
• A considerably shorter application developmentprocess resulting in rapid delivery of model to theend user desktop
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The MATLAB AdvantageThe MATLAB Advantage
• Develop models faster
• Run large scale simulations
• Reduces the costs of model integration
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Representative CustomersRepresentative Customers
• Federal Reserve Bank
• Goldman Sachs
• J.P. Morgan Chase
• State Street
• Salomon Smith Barney
• Merrill Lynch
• Ernst & Young
• Deloitte & Touche
• Lehman Brothers
• Putnam Investments
• Prudential Securities
• Bank of America
• Freddie Mac
• Fannie Mae
• Moody’s Investors
• Scudder Investment
• Price WaterhouseCoopers
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Insurance and Energy Trading CompaniesInsurance and Energy Trading Companies
• Allstate Insurance
• American RE
• AXA
• Element RE
• John Hancock
• Kemper RE
• Liberty Mutual
• New York Life
• Zurich RE
• Williams Energy
• Reliant Energy
• TXU
• Mirant
• ExxonMobil
• Entergy Koch
• Constellation PowerSource
• Sempra Energy
• Allegheny Energy
• Dominion Energy
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Representative US Business SchoolsRepresentative US Business Schools
• University of Chicago, GSB
• University of Pennsylvania, Wharton
• Stanford University
• Cornell University (Johnson)
• Sloan School (MIT)
• Carnegie Mellon University (Tepper)
• Duke University (Fuqua)
• Harvard Business School
• Northwestern University (Kellogg)
• University of Michigan (Ross)
• University of California at Berkeley (Haas)
• NYU (Stern)
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Support and Community
![Page 38: Managing Risk with Extreme Value Theory and Copulas : A … · 2006-05-26 · models using MATLAB and its family of toolboxes and. 7 The Case Study Extreme Value Theory and Copula](https://reader033.vdocuments.mx/reader033/viewer/2022050123/5f530907e88f014f25654dd6/html5/thumbnails/38.jpg)
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Consulting from The MathWorks
� Engineering expertise and deep product knowledge,specializing in:– Application development using MATLAB
– Model-based design using Simulink and Stateflow
– Embedded-system development
– Enterprise-wide integration of MathWorks products intoengineering process and systems
– Jumpstart services
� Project-based services for a growing number ofindustries, including Aerospace and Defense,Automotive, Communications, Power and Marine, andFinancial Services
www.mathworks.com/consulting
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� Introductory and intermediate training in MATLAB andApplication Deployment
� Specialized courses in Optimization, Statistics, andinteracting with external applications like Excel.
� Pre-sale (“Try it before you buy it”) or post-sale
� Flexible delivery:
– Our place: Public training worldwide
– Your place: Standard or customized training at yoursite
– Cyberspace: Web-based training• Interactive, instructor-led e-learning
• Train at work or at home, with flexible dates and times
www.mathworks.com/training
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MATLAB Central
� 130,000 visits per month
� Over 2,800 files in the exchange
– General-purpose functions,industry- and application-specific tools and examples
– 100 new submissions per month
– 5,000 downloads per day
� 5,000 posts to “CSSM” (comp.soft-sys.matlab) per month,60% routed through MATLAB Central
www.mathworks.com/matlabcentral
File exchange and newsgroup access for MATLAB and
Simulink users
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The MathWorks Connections Program
Over 300 add-on products and services from partnersthat complement and extend MathWorks products
– Specialized third-party toolboxes for MATLAB
– Interfaces to partners’ software and hardware products
– Specialized training courses and consulting services
– System integrators and suppliers that incorporateMathWorks products
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Further informationFurther information
• Visit MATLAB Central for some
of the tools you’ve seen today
• Trials, onsite demonstrations,technical literature:
http://www.mathworks.com/products/
industry/finance
• Company and productinformation:
www.mathworks.com