R and Matlab Chapter 4. Risk Measures

Chapter 4. Risk Measures

R and Matlab

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Listing 4.1/4.2
ES in R
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",
   "ES:", ES)
Listing 4.1/4.2
% ES in MATLAB
p = [0.5,0.1,0.05,0.025,0.01,0.001];
VaR = -norminv(p)
ES = normpdf(norminv(p))./p


Financial Risk Forecasting
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