VaR and ESF in Matlab
clear;
clc;
data = xlsread('C:\Users\PGDM Test\Desktop\Gold_data.xlsx');
nif_price = data(:,2);
ret=price2ret(nif_price);
Method = input('What do you want to calculate : ','s');
switch Method
case 'var'
risk = quantile(ret,0.05)*100000;
fprintf('VaR for 100000 exposure is %f\n',risk);
case 'esf'
new_ret = sort(ret);
location = round(length(ret)*0.05);
risk = mean(new_ret(1:location))*100000;
fprintf('Expected Shortfall for 100000 exposure is %f\n',risk);
otherwise
disp('Not a valid Entry');
end