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