Copyright 2011 - 2020 Jon Danielsson.
This code is free software: you can redistribute it and/or modify
it under the terms of the GNU General Public License as published
by the Free Software Foundation, either version 3 of the License,
or (at your option) any later version.
This code is distributed in the hope that it will be useful, but
WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
GNU General Public License for more details.
The GNU General Public License is available at:
Listing 4.1/4.2: ES in R
Last updated August 2016
p = c(0.5,0.1,0.05,0.025,0.01,0.001)
VaR = -qnorm(p)
ES = dnorm(qnorm(p))/p
cat("Probabilities:", paste0(p*100,"%"), "\n",
"VaR:", VaR, "\n",
Listing 4.1/4.2: ES in Julia
Last updated June 2018
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