Next: Fixed-Income Analysis and Option Pricing
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 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. Plot shows the backtested out-of-sample results of actual versus predicted defaults within a 95% confidence interval.