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02_Evaluating_exp_minus_1.R
02_Nonparametric_VaR_and_ES_estimators.R
02_VaR_ES_tail_comparison_for_normal_t.R
02_VaR_superadditivity_examples.R
README

README

### R scripts for Chapter 2

02_Evaluating_exp_minus_1.R
   Illustrating how R's expm1(x) evaluates exp(x)-1 in a numerically more stable way
02_Nonparametric_VaR_and_ES_estimators.R
   Investigates the classical nonparametric value-at-risk and expected shortfall estimators
02_VaR_ES_tail_comparison_for_normal_t.R
   Illustration that VaR (or ES) does not always give larger values for the t
   than the normal distribution
02_VaR_superadditivity_examples.R
   Illustrates superadditivity of VaR under two scenarios