re : " expected tail loss " for equity portfolio everybody ,
i attached here the equity portfolio var spreadsheet model ( version x ) .
the improvement over the previous version ( 1 x ) is that it calculates
an additional measure of risk - expected tail loss .
expected tail loss is the expectation of the loss under the condition that
losses exceed var . as you know equity var model allows you to calculate var
for the percentile specified in the input sheet .
now you have to click 2 more buttons on the " varinput " sheet :
" calculate gamma and delta " and " fast var " .
isaac , please run the model to make sure it works for you .
regards ,
tanya
re : " expected tail loss " for equity portfolio
everybody ,
i attached here the equity portfolio var spreadsheet model ( version x ) .
the improvement over the previous version ( 1 x ) is that it calculates
an additional measure of risk - expected tail loss .
expected tail loss is the expectation of the loss under the condition that
losses exceed var . as you know equity var model allows you to calculate var
for the percentile specified in the input sheet .
now you have to click 2 more buttons on the " varinput " sheet :
" calculate gamma and delta " and " fast var " .
isaac , please run the model to make sure it works for you .
regards ,
tanya