[scilab-Users] Can Scilab help me with Value at Risk calculations?

[ray joseph]

Simon, 

 

This is a valuable concern.  As in most question of capability of specific
tools to perform a specific calculation, the answer is typically yes.  A
more telling question may be - is it well suited?  This goes beyond mere
calculations and moves to work flow.  Whether the intent is to input a small
set of data and calculate a single value or to extract volumes of data from
a database and produce a VAR and the related statistics, Scilab has the
connectivity and calculation capabilities.  Additionally, depending upon who
will be using it, a GUI can be built to guide the efforts and provide the
means to analyze the resultant calculations.

 

If the intent is to do more than calculate a number, say you want to support
a decision process that relies upon this number (VAR), you may want to set
up a graphical ‘argument’ showing the relationships of the components that
drive the decision and the (assumed) fundamental component (VAR) in an
influence diagram.  Xcos provides this capability.  Now, the stakeholders
can visualize the connectivity of the concerns, graph the consequences and
experiment with scenarios.  

 

So it is a question of what do you want to do.  Scilab covers many
opportunities.  If you want to see an example of how this can be done in
other apps, have a look at Lumina’s Analytica.  See how the big money does
it, learn their methods and then decide how you would like to see the best.


 

Emulate success.

Learn the rules well so you will understand how to best break them.

Identify your goals.  Redefine your requirements.

Throw your Raku.

 

Enjoy and let us know what you think,

ray

 

 

  _____  

From: Simon Abdallah [mailto:Simon.Abdallah at eblf.com] 
Sent: Tuesday, December 14, 2010 1:19 AM
To: users at lists.scilab.org
Subject: [scilab-Users] Can Scilab help me with Value at Risk calculations?

 


Good morning, 
My name is Simon Abdallah. 
I do work at a bank in Lebanon. 
I am researching an open source software that can help calculate Value at
Risk (VaR) numbers for stocks, options, futures , bonds and FX. 

Do you think Scilab can provide any value added on this topic? 

Thank you much. 
Kind regards,


Simon Abdallah 
Risk Management 
  
Tél :    +961 (1) 791 332 (ext. 1274) 
Fax :   +961 (1) 791 332 (ext. 1498) 
Email : simon.abdallah at eblf.com 


www.eblf.com 
  
 <http://www.eblf.com/> 
  

 

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