Chapter 4. Risk Measures
R and Matlab
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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 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 ForecastingMarket risk forecasting with R, Julia, Python and Matlab. Code, lecture slides, implementation notes, seminar assignments and questions.
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