American Journal of Applied Sciences

Improving Fund Risk Management by Using New Software Tools Technology

Stephanos Papadamou and George Stephanides

DOI : 10.3844/ajassp.2004.84.89

American Journal of Applied Sciences

Volume 1, Issue 2

Pages 84-89


This paper introduces a new MATLAB-based toolbox for Computer Aided mutual fund risk evaluation. In the age of computerized trading, financial services companies and independent investors must quickly investigate fund investment style and market risk. The Fund Risk toolbox is a financial software that includes a set of functions based on value at risk (VaR) and expected tail loss (ETL) methodology for graphical presentation of risk forecasts, evaluation of different risk models and identification of fund investment style. The sample of historical data can be divided to an estimation rolling window and the back-testing period. MATLAB?s vast built-in mathematical and financial functionality along with the fact that is both an interpreted and compiled programming language make this toolbox easily extendable by adding new complicated risk models with minimum programming effort.


© 2004 Stephanos Papadamou and George Stephanides. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.