On the Evaluation of LVaR During the Closeout Liquidity Horizon

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 16, 2021

Abstract

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 Liquidity-Adjusted Value-at-Risk (LVaR) along with the innovation of a risk-engine algorithm that can estimate LVaR for both long and short-sales positions.

Keywords: emerging markets, financial engineering, financial risk management, GARCH, GCC financial markets, investment management, LVaR, liquidity-adjusted value-at-risk portfolio management, stress testing.

JEL Classification: C10, C13, G20, and G28

Suggested Citation

Al Janabi, Mazin A. M., On the Evaluation of LVaR During the Closeout Liquidity Horizon (May 16, 2021). Available at SSRN: https://ssrn.com/abstract=3847069 or http://dx.doi.org/10.2139/ssrn.3847069

Mazin A. M. Al Janabi (Contact Author)

EGADE Business School, Tecnologico de Monterrey ( email )

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Mexico

EGADE Business School, Tecnologico de Monterrey ( email )

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Monterrey, Nuevo León 64849
Mexico

Economic Research Forum (ERF) ( email )

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(P.O. Box: 12311)
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Egypt

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