Chapter 4. Risk Measures (in R/Python)

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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
cat("Probabilities:", paste0(p*100,"%"), "\n",
   "VaR:", VaR, "\n",
   "ES:", ES)
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")