VAR_ESHORTFALL: Shazam routine to evaluate Value at Risk and Expected Shortfall
This routine evaluates Value at Risk (VaR) and Expected Shortfall using extreme value theory.
|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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|Order Information:||Web: http://repec.org/docs/ssc.php|
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