Al invertir en mercados emergentes, evalúe los riesgos de liquidez (When Trading in Emerging Markets, Assess Liquidity Risks)

6 Pages Posted: 11 May 2021

See all articles by Mazin A. M. Al Janabi

Mazin A. M. Al Janabi

EGADE Business School, Tecnologico de Monterrey; EGADE Business School, Tecnologico de Monterrey; Economic Research Forum (ERF)

Date Written: May 7, 2021

Abstract

Spanish Abstract: Calcular el riesgo de los activos líquidos puede ser útil para cualquier inversor que posea una cartera de inversión, pero también para las instituciones financieras, ya que las crisis de liquidez han estado detrás de muchas de las quiebras de entidades. Por ello, cada vez más las entidades financieras están usando las técnicas de L-VaR para medir los distintos riesgos de sus operaciones de inversión. Concretamente, éstas recurren a modelos internos de evaluación de riesgos hechas a la medida, para responder a las características propias de cada entidad.

English Abstract: Calculating liquid asset risk can be useful for any investor with a trade portfolio, as well as for financial institutions, as liquidity crises have been the force behind many bankruptcies. That is why more and more financial entities are using L-VaR techniques to measure the different trade risks. Specifically, they turn to custom-made internal risk-assessment models to respond to the traits of each institution.

Note: Downloadable document is in Spanish.

Keywords: Emerging Markets, Liquidity-Adjusted Value at Risk, Liquidity Risk, Machine Learning, Portfolio Management, Risk Management

JEL Classification: C10, C13, G20, G28

Suggested Citation

Al Janabi, Mazin A. M., Al invertir en mercados emergentes, evalúe los riesgos de liquidez (When Trading in Emerging Markets, Assess Liquidity Risks) (May 7, 2021). Available at SSRN: https://ssrn.com/abstract=3838378 or http://dx.doi.org/10.2139/ssrn.3838378

Mazin A. M. Al Janabi (Contact Author)

EGADE Business School, Tecnologico de Monterrey ( email )

Av. Carlos Lazo 100 Col. Santa Fe, Del. Alvaro Obr
Mexico City, 01389
Mexico

EGADE Business School, Tecnologico de Monterrey ( email )

Av. Eugenio Garza Sada #2501
Col. Tecnológico
Monterrey, Nuevo León 64849
Mexico

Economic Research Forum (ERF) ( email )

21 Al-Sad Al-Aaly St.
(P.O. Box: 12311)
Dokki, Cairo
Egypt

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