The attempt of this paper is to fill a gap in contemporary risk management literature and especially from the perspective of emerging markets in light of the aftermaths of the most recent sub-prime global financial crisis. This paper develops a rigorous approach for the assessment of risk...

The aim of this paper is to fill a gap in the trading risk management literature and particularly from the perspective of emerging and illiquid markets, such as in the context of the Mexican financial markets. In this paper, we demonstrate a comprehensive and proactive approach for the...

The attempt of this article is to fill a gap in the equity trading risk management literature and particularly from the perspective of emerging and illiquid financial markets, such as in the context of the Moroccan stock market. This paper provides real-world risk management techniques and...

Recent turmoil in financial markets endorses the need for rigorous handling and integration of asset liquidity risk into Value-at-Risk (VaR) models. In this work we develop and test measures of certain kinds of asset liquidity risk that is useful for completing the definition of market risk and...

Spanish Abstract: Las pérdidas reportadas por empresas e instituciones financieras generaron mucha alarma y preocupación en la sociedad, así como debate y confusión sobre el uso apropiado de los instrumentos derivados. ¿Fueron los derivados responsables de estas pérdidas o simplemente su...

Spanish Abstract: Desde la crisis financiera global de 2008-2009, las técnicas de VaR (Value-at-Risk - VaR, por sus siglas en inglés) se han convertido en herramientas críticas para monitorear y pronosticar el riesgo de mercado y liquidez de los activos financieros. Estas técnicas de...

Spanish Abstract: La crisis financiera global puso en evidencia la necesidad de una adecuada identificación y evaluación del riesgo de liquidez implícito en las carteras de inversión. Es indudable que algunos colapsos de entidades financieras– tanto en los mercados desarrollados como...

Spanish Abstract: Desde la crisis financiera global de 2008-2009, las técnicas de VaR (Value-at-Risk - VaR, por sus siglas en inglés) se han convertido en herramientas críticas para monitorear y pronosticar el riesgo de mercado y liquidez de los activos financieros. Estas técnicas de...

Over the past few days, alarm bells have been ringing for the risk of recession in the world’s leading economies (Germany, United Kingdom, Italy, Brazil and Mexico). Deceleration is affecting several regions in the world and might even become more widespread, exacerbating investor mistrust and...

Since the 2008-2009 global financial crisis, VaR (Value-at-Risk) techniques have become critical tools for monitoring and predicting the market risk and liquidity of financial assets. These financial risk modeling techniques, which have been recognized by the Bank for International Settlements...