金融工学

注目の例

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)

ビデオ

Access and Explore Relational Data with the Database Explorer App
このビデオでは、SQL の知識を必要とせずにリレーショナル データを探索する方法、MATLAB にデータをインポートする方法、解析を実行する方法、および Database Explorer アプリを使用して結果を再現させる方法を紹介します。

Credit Scorecard Modeling Using the Binning Explorer App
このビデオでは、Risk Management Toolbox の Binning Explorer と Financial Toolbox の組み込み関数を使用して、クレジット スコアカードのモデル化を最初から最後まで実行する方法を示します。

Create ARIMA Models Using Econometric Modeler App
このビデオでは、Econometric Modeler アプリを使用して、時系列解析用の季節性 ARIMA モデルを作成する方法を紹介します。