MATLAB Financial Toolbox provides functions for mathematical modeling and statistical analysis of financial data. You can optimize portfolios of financial instruments, optionally taking into
account turnover and transaction costs. The toolbox enables you to estimate risk, analyze interest rate levels, price equity and interest rate derivatives, and measure investment performance.
Time series analysis capabilities let you perform transformations or regressions with missing data and convert between different trading calendars and day-count conventions..The major themes
developed in this book are: Performance Metrics Sharpe Ratio Information Ratio Tracking Error Risk-Adjusted Return Sample Lower Partial Moments Expected Lower Partial Moments Maximum Drawdown
Expected Maximum Drawdown Credit Risk Analysis Credit Rating by Bagging Decision Trees Estimation of Transition Probabilities Estimate Point-in-Time and Through-the-Cycle Probabilities Estimate
t-Year Default ProbabilitiesEstimate Bootstrap Confidence IntervalsGroup Credit RatingsWork with Nonsquare MatricesRemove OutliersEstimate Probabilities for Different SegmentsWork with Large
DatasetsForecasting Corporate Default RatesCredit Quality ThresholdsRegression with Missing DataMultivariate Normal RegressionMaximum Likelihood Estimation with Missing Data ECM
AlgorithmStandard ErrorsData AugmentationMultivariate Normal Regression Functions Multivariate Normal Regression Without Missing DataMultivariate Normal Regression With Missing
DataLeast-Squares Regression with Missing DataMultivariate Normal Parameter Estimation with Missing DataSupport FunctionsMultivariate Normal Regression TypesRegressionsMultivariate Normal
RegressionMultivariate Normal Regression Without Missing DataMultivariate Normal Regression with Missing DataLeast-Squares RegressionLeast-Squares Regression Without Missing DataLeast-Squares
Regression with Missing DataCovariance-Weighted Least SquaresCovariance-Weighted Least Squares Without Missing DataCovariance-Weighted Least Squares with Missing DataFeasible Generalized Least
SquaresFeasible Generalized Least Squares Without Missing DataFeasible Generalized Least Squares with Missing DataSeemingly Unrelated RegressionSeemingly Unrelated Regression Without Missing
DataSeemingly Unrelated Regression with Missing DataMean and Covariance Parameter EstimationTroubleshooting Multivariate Normal RegressionSlow ConvergenceNonrandom
ResidualsNonconvergencePortfolios with Missing DataValuation with Missing DataIntroductionCapital Asset Pricing ModelEstimation of the CAPMEstimation with Missing DataEstimation of Some
Technology Stock BetasGrouped Estimation of Some Technology Stock Betas
