Empirical Value At Risk

Compute the empirical value at risk of a portfolio.

References

• Wikipedia, Value at risk
• Acerbi, C. and Tasche, D. (2002), Expected Shortfall: A Natural Coherent Alternative to Value at Risk. Economic Notes, 31: 379-388
• Hutson, A.D. A Semi-Parametric Quantile Function Estimator for Use in Bootstrap Estimation Procedures. Statistics and Computing 12, 331–338 (2002)
• Mausser, H. (2003). Calculating quantile-based risk analytics with L-estimators. Journal of Risk Finance 4 (3), 61–74