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Article

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

1
Department of Mathematics, Faculty of Science, Mohammed V University of Rabat, Rabat 8007, Morocco
2
Department of Economics, Faculty of Economics - Salé, Mohammed V University of Rabat, Rabat 8007, Morocco
3
Department of Economics, Faculty of Economics - Agdal, Mohammed V University of Rabat, Rabat 8007, Morocco
*
Author to whom correspondence should be addressed.
Mathematics 2018, 6(3), 38; https://doi.org/10.3390/math6030038
Received: 4 February 2018 / Revised: 28 February 2018 / Accepted: 2 March 2018 / Published: 7 March 2018
(This article belongs to the Special Issue Financial Mathematics)
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. View Full-Text
Keywords: financial mathematics; Expected Tail Loss (ETL); mathematical modeling; stock market investment; Value at Risk (VaR); portfolio risk management financial mathematics; Expected Tail Loss (ETL); mathematical modeling; stock market investment; Value at Risk (VaR); portfolio risk management
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MDPI and ACS Style

Airouss, M.; Tahiri, M.; Lahlou, A.; Hassouni, A. Advanced Expected Tail Loss Measurement and Quantification for the Moroccan All Shares Index Portfolio. Mathematics 2018, 6, 38. https://doi.org/10.3390/math6030038

AMA Style

Airouss M, Tahiri M, Lahlou A, Hassouni A. Advanced Expected Tail Loss Measurement and Quantification for the Moroccan All Shares Index Portfolio. Mathematics. 2018; 6(3):38. https://doi.org/10.3390/math6030038

Chicago/Turabian Style

Airouss, Marouane, Mohamed Tahiri, Amale Lahlou, and Abdelhak Hassouni. 2018. "Advanced Expected Tail Loss Measurement and Quantification for the Moroccan All Shares Index Portfolio" Mathematics 6, no. 3: 38. https://doi.org/10.3390/math6030038

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