Tactical Risk Analysis in Emerging Markets in the Wake of the Credit Crunch and Ensuing Sub-prime Financial Crisis

Mazin A.M. Al Janabi

    Research output: Chapter in Book/Report/Conference proceedingChapter

    2 Citations (Scopus)

    Abstract

    The purpose of this chapter is to fill a gap in contemporary risk management literature and especially from the perspective of emerging markets in light of the aftermaths of the most recent sub-prime global financial crisis. This chapter develops a rigorous approach for the assessment of risk exposure under extreme conditions. This approach is based on the renowned concept of Liquidity-Adjusted Value-at-Risk (LVaR) along with the innovation of a systematic optimization risk algorithm. In order to underline the appropriate applications of parametric LVaR method, coherent assessments of risk parameters along with the optimization of maximum LVaR boundary limits are presented for the Gulf Cooperation Council (GCC) financial markets. The modeling techniques can aid financial institutions, regulatory authorities, and policymakers in the establishment of clear-cut simulation algorithms to assess risk exposure particularly in the wake of the latest credit crunch and ensuing sub-prime global financial crisis.

    Original languageEnglish
    Title of host publicationEmerging Markets and the Global Economy
    Subtitle of host publicationA Handbook
    PublisherElsevier Inc.
    Pages413-446
    Number of pages34
    ISBN (Electronic)9780124115637
    ISBN (Print)9780124115491
    DOIs
    Publication statusPublished - 2014

    Keywords

    • C10
    • C13
    • Emerging markets
    • Financial engineering
    • Financial risk management
    • G20
    • G28
    • GARCH-M model
    • GCC financial markets
    • Liquidity risk
    • Optimization
    • Portfoliomanagement
    • Sub-prime crisis
    • Value-at-Risk

    ASJC Scopus subject areas

    • Economics, Econometrics and Finance(all)
    • Business, Management and Accounting(all)

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