When Trading in Emerging Markets, Assess Liquidity Risks

6 Pages Posted: 5 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 2, 2021

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.

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

JEL Classification: C10, C13, G20, and G28

Suggested Citation

Al Janabi, Mazin A. M., When Trading in Emerging Markets, Assess Liquidity Risks (May 2, 2021). Available at SSRN: https://ssrn.com/abstract=3838379 or http://dx.doi.org/10.2139/ssrn.3838379

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 )

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Col. Tecnológico
Monterrey, Nuevo León 64849
Mexico

Economic Research Forum (ERF) ( email )

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(P.O. Box: 12311)
Dokki, Cairo
Egypt

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