Code for Exercise Solutions Available Free on GitHub
Mikael Berger has prepared, and distributes for free, code for solutions to exercises in Glyn Holton’s book Value-at-Risk: Theory and Practice (2nd edition). The programming is in Scala, a multi-paradigm language based on Java but introducing a more modern and concise coding, similar to Python or Ruby. At first, a goal was to make heavy use of Apache Spark in the programs. However, for pedagogical reasons, Mikael mainly shifted into the Breeze API. Its linear algebra and statistics libraries are rather complete and in fact used in Spark too. Suggested solutions to all applicable exercises in the book have been published as Open Source Code at https://github.com/GimleDigital/Value-at-Risk. Enjoy!
You can read more about this initiative on Mikael’s Gimlé Digital blog. Thanks to Mikael for sharing his excellent work!