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On the Appraisal of LVaR throughout the Close-Out Period: An Investment Management Outlook from Recent Global Financial Crisis
Company: International Journal of Management Practice
Company Url: Click here to open
Year Of Publication: 2013
Month Of Publication: August
Resource Link: Click here to open
Pages: 248-285
Download Count: 0
View Count: 779
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 1-12-2014
Publisher: Administrator
Summary
In this paper, we launch a practical modus–operandi for the assessment of potential market risk exposures for financial trading portfolios by providing an investment management perspective from recent global financial crisis. This proposed tactic is based on the renowned concept of Liquidity–Adjusted Value–at–Risk (LVaR) along with the innovation of a risk–engine algorithm that can estimate LVaR for both long and short–sales positions. Our wide–ranging risk model can conduct LVaR analysis under normal and severe market conditions besides it takes into account the effects of illiquidity of equity securities, under crisis–driven circumstances, throughout the close–out period. In order to clarify the accurate use of LVaR and stress–testing methods, real–world simulation scenarios of trading risk management are presented for the Gulf Cooperation Council (GCC) financial markets.
(volume 6, number 3)
Author(s)
Al Janabi, Mazin Sign in to follow this author
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