5.37 get_gpd_var

Function File: [VAR ES] = get_gpd_var(chi, sigma, u, q, n, nu)

Return Value-at-risk (VAR) and expected shortfall (ES) according to a generalized Pareto distribution.
Implementation according to Risk Management and Financial Institutions by John C. Hull, 4th edition, Wiley 2015, section 13.6, page 292ff.
Input and output variables:

• chi: GPD shape parameter one (float)
• sigma: GPD shape parameter two (float)
• u: offset level (float)
• q: quantile (float in [0:1])
• n: Number of scenarios in total distribution (integer)
• nu: number of tail scenarios (in doubt set to 0.025 * n) (integer)
• VAR: OUTPUT: Value-at-Risk according to the GPD
• ES: OUTPUT: Expected shortfall according to the GPD

Example call for calculation of VAR and ES for several confidence levels:

     [VAR ES] = get_gpd_var(0.00001,1632.9,5930.8,[0.99;0.995;0.999],50000,1250)