Valerio Sperandeo

As a member of the Application Engineering team at MathWorks, Valerio Sperandeo assists customers in the development and deployment of financial applications. He holds a M.Sc. in Quantitative Finance from the University of Perugia with focus on risk and asset management. Before joining MathWorks, he worked as an Analyst at the investment department of a global asset management company. There, he contributed to the development of several tools for risk overlay, portfolio optimization and strategic asset allocation purposes.

Risk modelling in MATLAB

Asset liability management is one of the most common functions in financial institutions. Given the variety of financial instruments in the portfolio of financial institutions, there is a need for integrating stochastic interest rate models or interest rate trees into financial modeling. You can learn how to use MATLAB® to perform cash flow analysis, calculate the duration gap, and perform sensitivity analysis in this demo. The interest rate model used in this example is the Black-Karasinski interest rate tree, which is a recombining trinomial tree. Moreover, you can easily use MATLAB to create an app to share with your colleagues royalty-free.