Value-at-Risk (VAR), expected shortfall and tail risk

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Occasional Learner
Posts: 1

Value-at-Risk (VAR), expected shortfall and tail risk

Hello,

 

I have been trying to find some sas code that I can use to compute the three tail risk measures [(1) Value-at-Risk (VAR), (2) expected shortfall and (3) tail risk] with no luck. Anyone can point me to the right board or can help me with it???

 

Specifically, I want to compute these measures as a proxy for monthly market volatility. 

Thank you

P

SAS Employee
Posts: 340

Re: Value-at-Risk (VAR), expected shortfall and tail risk

After lookin up the formulas...
3)You can use proc means to get the mean and standard deviation. TR=mean-3*std
1)+2) Use proc rank with group=100 to get percentiles.
Than in a next proc means step use a filter:
where rankVar<=5
The calculated minimum is the VaR and the calculated mean is the ESF
Contributor
Posts: 24

Re: Value-at-Risk (VAR), expected shortfall and tail risk

Just a small correction to Gergely's comment for VaR, we need to get max instead of min.

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