This research study analyses, from a fund manager’s perspective, the performance of liquidity adjusted risk modeling in obtaining optimal and coherent economic capital structures, subject to meaningful operational and financial constraints as specified by the fund manager. Specifically, the...

During the last decades there has been a widespread relaxation of legal entry barriers into the banking industry, with potential benefits for financial integration and competition. Obstacles to banks' geographical and business expansion have been removed and branching has been substantially...

This paper proposes a reengineered and robust approach to optimal economic capital allocation, in a Liquidity-Adjusted Value at Risk (LVaR) framework, and particularly from the perspective of trading portfolios that have both long and short trading positions and disallowing both long-only...