Chapter 4. Risk Measures (in MATLAB/Julia)

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Listing 4.1/4.2: ES in MATLAB
Last updated August 2016

p = [0.5,0.1,0.05,0.025,0.01,0.001];
VaR = -norminv(p)
ES = normpdf(norminv(p))./p
Listing 4.1/4.2: ES in Julia
Last updated June 2018

using Distributions;
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