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What toolbox are more suitable for a risk analyst. I found this:

  1. Optimization toolbox
  2. Global optimization toolbox
  3. Econometrics toolbox
  4. Financial toolbox
  5. Statistics toolbox

And also I have as a useful tool box:

  1. Database toolbox (I have some useful info in my database)
  2. Datafeed toolbox (I have a bloomberg)

Questions:

a. What of the first five toolboxes are actually useful for my purpose?

b. Is any other useful for my purpose? I have all approved but I don't want to abuse.

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    $\begingroup$ Risk Analyst is quite vague in fact in my opinion. What are you doing on a daily basis? $\endgroup$ – SRKX Jan 12 '15 at 6:52
  • $\begingroup$ @SRKX I have to develop tools in order to measure the financial risk (credit, market and liquidity) of mutual funds $\endgroup$ – rlartiga Jan 12 '15 at 14:27
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This is my experience (I am heading the Risk Analytics team for an investment bank in the City):

We only ever bought the Optimization and Statistics toolboxes. You are better off writing any extra functionality yourself. Most of the stuff is simple, and writing it yourself improves your understanding and highlights potential pitfalls.

Having said that, we recently abandonded Matlab and we have moved to Python. Not only free, but also makes it easy for us to share working code and prototypes with FO Quants and FO/Risk IT. But the points stand: using numpy, scipy and pandas you can build high quality libraries yourself.

This is something you might want to keep in mind. My understanding is that there is a general drive to integrate systems, and establishing a common language that IT understand is a strategic decision.

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Unfortunately you need all except econometrics toolbox. Look for a book called "Financial Risk Forecasting " by Jon Danielsson ,will be useful for what you need.

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  • $\begingroup$ I disagree. I'd be surprised he needs the global optimization toolbox, for example; optimization is already not too bad. As for database toolbox, it can be avoided by writing a bit of code so... it's quite difficult to accept this as a general answer. $\endgroup$ – SRKX Jan 12 '15 at 6:55
  • $\begingroup$ @SRKX I'm not sure how helpful the whole "it can be avoided by writing a little bit of code" is. If I absolutely needed to query a database in Matlab, I'd be hard pressed to do it without the database toolbox. Maybe create a mex file to call ODB or call python's sqlalchemy. These aren't exactly trivial things though. $\endgroup$ – John Feb 11 '15 at 19:04
  • $\begingroup$ @John my point is that it depends how complex your queries are, what kind of database you want to query and how good your programming skills are. $\endgroup$ – SRKX Feb 12 '15 at 1:42
  • $\begingroup$ @SRKX If your programming skills are good enough, you don't need any toolboxes. :) $\endgroup$ – John Feb 12 '15 at 2:01
  • $\begingroup$ @John well that's not right either because you could be a brilliant programmer but have little experience in finance or in (non-basic) mathematical optimization ;-). But I get your point. $\endgroup$ – SRKX Feb 12 '15 at 2:26

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