The Nematrian Function Library
Risk Management Functions
[this page | pdf | back links]
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 function | Short description of function |
MnCornishFisher4 | Returns an array derived using the Cornish Fisher (4th moment) asymptotic expansion |
MnEigenvalueSpreadsForRandomMatrices | Returns (sorted) maximum values of eigenvalues we would expect to see for a covariance matrix derived from independent, identically distributed (Gaussian) random variables |
MnWeightOverlap | Returns the weight overlap between two portfolios |