Financial Toolbox

Risk Analysis and Investment Performance

Financial Toolbox provides a comprehensive suite of tools for analyzing and assessing risk and investment performance.

Performance metrics include:

  • Sharpe ratio
  • Information ratio
  • Tracking error
  • Risk-adjusted return
  • Sample and expected lower partial moments
  • Maximum drawdown and expected maximum drawdown
Surface plot showing Sharpe ratio results.
Surface plot showing Sharpe ratio results for backtesting of a leading-lagging, exponentially weighted, moving average trading strategy on daily returns data.

The toolbox provides a collection of tools for credit risk analysis that enable you to:

  • Preprocess and estimate transition probabilities from credit ratings data
  • Aggregate credit ratings data into categories
  • Convert from transition probabilities to credit quality thresholds and vice versa
Corporate default rate forecasting example.
Corporate default rate forecasting example. Plot shows the backtested out-of-sample results of actual versus predicted defaults within a 95% confidence interval.
Next: Fixed-Income Analysis and Option Pricing

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