VAR_ESHORTFALL: Shazam routine to evaluate Value at Risk and Expected Shortfall

Ibrahim Onour

Statistical Software Components from Boston College Department of Economics

Abstract: This routine evaluates Value at Risk (VaR) and Expected Shortfall using extreme value theory.

Language: Shazam
Requires: Shazam
Keywords: VaR; Value at Risk; expected shortfall (search for similar items in EconPapers)
Date: 2012-04-23
References: Add references at CitEc
Citations:

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/v/VAR_Eshortfall.txt program file (text/plain)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:shz00002

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().