Method Development Aspects of Liquidity-Adjusted Value-at-Risk (LVaR) Technique for Multiple-Asset Commodities Portfolios

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 reviews and examines the method development aspects of Al Janabi (2012) theoretical foundations and optimization algorithms for the assessment of Liquidity-Adjusted Value at Risk (LVaR) technique under adverse market conditions. This paper focuses on the development of robust theoretical foundation and modeling framework that attempt to tackle the issue of market/liquidity risk and economic-capital estimation at a portfolio level and within a multivariate context.

Keywords: Emerging Markets, Financial Engineering, Financial Risk Management, GARCH-M Model, GCC Financial Markets, Liquidity Risk, Optimization, Portfolio Management, Sub-prime Crisis, Value-at-Risk

JEL Classification: C10, C13, G20, and G28

Suggested Citation

Al Janabi, Mazin A. M., Method Development Aspects of Liquidity-Adjusted Value-at-Risk (LVaR) Technique for Multiple-Asset Commodities Portfolios (May 16, 2021). Available at SSRN: https://ssrn.com/abstract=3847075 or http://dx.doi.org/10.2139/ssrn.3847075

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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