This paper bridges the gap in trading risk management literatures, and particularly from the perspective of emerging and illiquid markets. We find that under certain trading strategies, such as short-selling of stocks, the sensitivity of L-VaR statistics are rather critical to the selected...

The losses reported by companies and financial institutions caused enormous alarm and concern in society, as well as debate and confusion on the appropriate use of derivatives instruments. Were derivatives responsible for these losses or was it simply their poor management? The fact is that...

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...

This paper reviews and examines the method development aspects of Al Janabi (2012) theoretical foundations and optimization algorithms for the assessment of Liquidity-Adjusted Value at Risk (LVaR) technique under adverse market conditions. This paper focuses on the development of robust...

We develop measures of certain kinds of liquidity trading risk that is useful for completing the definition of market risk and for predicting liquidity-adjusted VaR (L-VaR) under illiquid market conditions. We argue that asset liquidity risk associated with the uncertainty of liquidating...

The recent growth in financial assets trading in emerging markets indicates that more attention is required for the measurement, management and control of risks. In this research study, I discuss the methodological aspects for the assessment of liquidity risk and provide an intuitive approach...

We argue that asset liquidity risk associated with the uncertainty of liquidating multiple-assets over a given holding period, particularly for thinly traded or emerging markets securities under adverse market conditions, is a key factor in formalizing and measuring overall trading risk and is...

This paper examines, from a regulatory portfolio management standpoint, the application of liquidity adjusted risk modeling in obtaining optimal and investable economic-capital structures. The newly obtained empirical results, optimization parameters and optimal and investable economic-capital...

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 the 2007-2009 global financial crisis. This proposed tactic is based on the renowned concept of...

Since, the early 1990s, emerging markets have started to play an important role in the trading of derivatives products. This paper aims to discuss some of the main obstacles to the inception of successful derivative products in emerging economies and to provide a number of viable solutions