Message-ID: <2563255.1075856211912.JavaMail.evans@thyme>
Date: Wed, 7 Mar 2001 00:32:00 -0800 (PST)
From: tanya.tamarchenko@enron.com
To: isaac.rodriguez@enron.com, jason.sokolov@enron.com, rabi.de@enron.com, 
	jaesoo.lew@enron.com
Subject: Re: "Expected Tail Loss" for Equity portfolio
Cc: vince.kaminski@enron.com
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Everybody,

I attached here the Equity Portfolio VAR spreadsheet model (Version X).
The improvement over the previous version (1X) 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
