The Nematrian Function Library

Risk Management Functions

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The Nematrian function library includes a range of tools that are useful for carrying out risk management activities.


The web functions available include ones set out in the table below. To see a complete list of functions currently available in the Nematrian online toolkit please go to list of types of available functions or complete list of individual functions.


As risk management draws on many different mathematical disciplines, many tools classified under other headings are also relevant to risk management. For example, the Nematrian function library has a comprehensive suite of probability distribution fitting algorithms which are classified under probability distribution functions, rather than under this heading.


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Web functionShort description of function
MnCornishFisher4Returns an array derived using the Cornish Fisher (4th moment) asymptotic expansion
MnEigenvalueSpreadsForRandomMatricesReturns (sorted) maximum values of eigenvalues we would expect to see for a covariance matrix derived from independent, identically distributed (Gaussian) random variables
MnWeightOverlapReturns the weight overlap between two portfolios

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