Chapter 4. Risk Measures
Matlab and Julia
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% ES in MATLAB
p = [0.5,0.1,0.05,0.025,0.01,0.001];
VaR = -norminv(p)
ES = normpdf(norminv(p))./p
ES in Julia
p = [0.5, 0.1, 0.05, 0.025, 0.01, 0.001]
VaR = quantile.(Normal(0,1), p)
ES = pdf.(Normal(0,1), quantile.(Normal(0,1),p))./p
Financial Risk ForecastingMarket risk forecasting with R, Julia, Python and Matlab. Code, lecture slides, implementation notes, seminar assignments and questions.
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