VAR_ESHORTFALL: Shazam routine to evaluate Value at Risk and Expected Shortfall
AbstractThis routine evaluates Value at Risk (VaR) and Expected Shortfall using extreme value theory.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number SHZ00002.
Programming language: Shazam
Date of creation: 23 Apr 2012
Date of revision:
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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