Chapter 4. Risk Measures (in MATLAB/Python)


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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 Python
Last updated July 2020

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
for i in range(len(p)):
    print("VaR " + str(round(p[i]*100,3)) + "%: " + str(round(VaR[i],3)))
    print("ES " + str(round(p[i]*100,3)) + "%: " + str(round(ES[i],3)), "\n")