09-17-2015 02:45 PM
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.
09-17-2015 06:33 PM