Estimation of Risk-Capital Structures in Financial Trading Books under Adverse Market Perspectives

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

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 structures were not evident in Al Janabi (2013) paper.

Keywords: Economic Capital, Emerging Markets, Financial Engineering, Financial Risk Management, GARCH-M, GCC Financial Markets, Liquidity Risk, Portfolio Management, Liquidity-Adjusted Value at Risk

JEL Classification: C10, C13, G20, and G28

Suggested Citation

Al Janabi, Mazin A. M., Estimation of Risk-Capital Structures in Financial Trading Books under Adverse Market Perspectives (May 16, 2021). Available at SSRN: https://ssrn.com/abstract=3847070 or http://dx.doi.org/10.2139/ssrn.3847070

Mazin A. M. Al Janabi (Contact Author)

EGADE Business School, Tecnologico de Monterrey ( email )

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EGADE Business School, Tecnologico de Monterrey ( email )

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Economic Research Forum (ERF) ( email )

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