Chapter 4. Risk Measures (in MATLAB/Python)

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Copyright 2011 - 2019 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: https://www.gnu.org/licenses/.

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 Python
Last updated June 2018 

from scipy import stats
p = [0.5, 0.1, 0.05, 0.025, 0.01, 0.001]
VaR = stats.norm.ppf(p)
ES = stats.norm.pdf(stats.norm.ppf(p))/p