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

Marouane Airouss, Mohamed Tahiri, Amale Lahlou and Abdelhak Hassouni
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Marouane Airouss: Department of Mathematics, Faculty of Science, Mohammed V University of Rabat, Rabat 8007, Morocco
Mohamed Tahiri: Department of Economics, Faculty of Economics - Salé, Mohammed V University of Rabat, Rabat 8007, Morocco
Amale Lahlou: Department of Economics, Faculty of Economics - Agdal, Mohammed V University of Rabat, Rabat 8007, Morocco
Abdelhak Hassouni: Department of Mathematics, Faculty of Science, Mohammed V University of Rabat, Rabat 8007, Morocco

Mathematics, 2018, vol. 6, issue 3, 1-19

Abstract: 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 to now. These methods calculate the maximum loss that a portfolio is likely to experience over a given time span. Our work advances those modeling methods with supplementation by inputs from the ETL approach for application to the Moroccan stock market portfolio—the Moroccan All Shares Index (MASI). We calculate these indicators using several methods, according to an easy and fast implementation with a high-level probability and with accommodation for extreme risks; this is in order to numerically simulate and study their behavior to better understand investment opportunities and, thus, form a clear view of the Moroccan financial landscape.

Keywords: financial mathematics; Expected Tail Loss (ETL); mathematical modeling; stock market investment; Value at Risk (VaR); portfolio risk management (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2018
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