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09-17-2015 02:45 PM

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

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09-17-2015 06:33 PM

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

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

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10-08-2015 08:13 PM

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