Quantitative Analysis of the Mexican Stock Market: Applications to Risk Management Processes

6 Pages Posted: 18 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 15, 2021

Abstract

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 measurement, management and control of equity trading risk exposure, which considers proper adjustments for the illiquidity within a multi-security setting.

Keywords: emerging markets, financial engineering, financial institutions, financial risk management, Mexican stock market (BMV), stress testing, value at risk

JEL Classification: C10, C13, G20, and G28

Suggested Citation

Al Janabi, Mazin A. M., Quantitative Analysis of the Mexican Stock Market: Applications to Risk Management Processes (May 15, 2021). Available at SSRN: https://ssrn.com/abstract=3847065 or http://dx.doi.org/10.2139/ssrn.3847065

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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