Chapter 4. Risk Measures (in R/MATLAB)


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

p = c(0.5,0.1,0.05,0.025,0.01,0.001)
VaR = -qnorm(p)
ES = dnorm(qnorm(p))/p
print(ES)
		
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