Estimation of Risk-Capital Structures in Financial Trading Books under Adverse Market Perspectives
6 Pages Posted: 18 May 2021
Date Written: May 16, 2021
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
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