Purpose – The purpose of this paper is to originate a proactive approach for the quantification and analysis of liquidity risk for trading portfolios that consist of multiple equity assets. Design/methodology/approach – The paper presents a coherent modeling method whereby the holding...

Purpose – Since, the early 1990s, emerging markets have started to play an important role in the trading of derivatives products. Despite the fact that these markets are characterized in general as illiquid, segmented, politically unstable, with lack of regulations and historical financial...

Purpose – The aim of this paper is to fill a gap in the foreign-exchange trading risk-management literature and particularly from the perspective of emerging and illiquid markets, such as in the context of the Moroccan foreign-exchange market. Design/methodology/approach – This paper,...

Purpose – The purpose of this paper is to provide proactive risk management techniques and strategies that can be applied to trading and investment portfolios in emerging and Islamic illiquid financial markets, such as the Moroccan foreign exchange and stock markets....

The aim of this article is to bridge the gap in equity trading risk management literatures and particularly from the perspective of emerging and illiquid markets, such as in the context of the Gulf Cooperation Council (GCC) financial markets. In this article, we demonstrate a practical approach...

This paper proposes a concrete theoretical foundation and a new modelling framework that attempts to tackle the issue of market/liquidity risk and economic-capital estimation at a portfolio level by combining two mutual asset market/liquidity risk models. In essence, this study extends research...

Purpose – It is the purpose of this article to empirically test the risk parameters for larger foreign-exchange portfolios and to suggest real-world policies and procedures for the management of market risk with the aid of value at risk (VaR) methodology. The aim of this article is to fill a...

Purpose: This study aims to examine the theoretical foundations for multivariate portfolio optimization algorithms under illiquid market conditions. In this study, special emphasis is devoted to the application of a risk-engine, which is based on the contemporary concept of liquidity-adjusted...