Advanced Expected Tail Loss Measurement and Quantification for the Moroccan All Shares Index Portfolio

Advanced Expected Tail Loss Measurement and Quantification for the Moroccan All Shares Index Portfolio

In this paper, we have analyzed and tested the Expected Tail Loss (ETL) approach for the Value at Risk (VaR) on the Moroccan stock market portfolio. We have compared the results with the general approaches for the standard VaR, which has been the most suitable method for Moroccan stock investors up...

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Bibliographic Details
Main Authors: Marouane Airouss, Mohamed Tahiri, Amale Lahlou, Abdelhak Hassouni
Format: Article
Language:English
Published: MDPI AG 2018-03-01
Series:Mathematics
Subjects:
financial mathematics
Expected Tail Loss (ETL)
mathematical modeling
stock market investment
Value at Risk (VaR)
portfolio risk management
Online Access:http://www.mdpi.com/2227-7390/6/3/38

Internet

http://www.mdpi.com/2227-7390/6/3/38

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