estimating tail distribution additional risk measures naveen analytical var approach working equity portfolio gives us tool examine tails behavior portfolio calculate expected tail loss done commodities portfolio well meanwhile discussed give rough estimates losses corresponding percentiles 5 th look figure see var numbers 5 1 0 5 0 1 calculated 1 simulations 100 thousand simulations 2 analytical var gamma delta positions representation 1 2 close many options equity portfolio 3 simulations 1000 simulations calculate 5 var order approximately estimate var 1 0 5 0 1 scaled 5 var factors corresponding normal distribution example norminv 0 001 0 1 norminv 0 05 0 1 0 1 result extrapolation case quite good 5 different correct number probably use rough estimates tail commodities portfolio proper methods implemented tanya tamarchenko 02 28 2001 01 17 pm wenyao jia hou ect debbie r brackett hou ect ect cc vince j kaminski hou ect ect subject analytical var implementation risktrac debbie forwarding 2 page document describing implementation analytical var risktrac effort important 1 need calculate var percentile 5 1 even 0 2 mentioned rick buy simulation model handle required number simulations 2 need present additional risk measures mean tail loss board analytical approach implemented spreadsheet fully tested already problems algorithm need get together discuss implementation think tanya