MARKET RISK ASSESSMENT USING EXPECTED TAIL LOST (ETL) – PECULIARITIES AND APPLICATION

Sergey Radukanov

Abstract


Measuring market risk is explained by using Expected Tail Lost in the article. Its advantages, disadvantages and range of application are pointed out. The basic calculation stages are emphasized in MS EXCEL. Market risk measurement is carried out towards the shares of the company General Motors Company (GM).

Keywords


market risk, value at risk, returns, single asset

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References


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New knowledge Journal of science Jubilee edition is financed by the National Science Fund of the Republic of Bulgaria – contract № ДНП 05/52 от 22.12.2016 in the competition of Bulgarian scientific periodicals – 2016

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