Evaluating, managing, and controlling the impacts of assets liquidity risk when trading financial securities in emerging markets /
Growth in financial assets trading in emerging markets increases need for the measurement, management, and control of risks, particularly assets liquidity risk. Institutional investors, risk managers, portfolio managers, and financial institutions should not underestimate the impacts of this liquidi...
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| Format: | eBook |
| Language: | English |
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London :
SAGE Publications Ltd,
2019.
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| Series: | SAGE Research Methods. Cases.
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| Subjects: | |
| Online Access: | Connect to the full text of this electronic book |
| Summary: | Growth in financial assets trading in emerging markets increases need for the measurement, management, and control of risks, particularly assets liquidity risk. Institutional investors, risk managers, portfolio managers, and financial institutions should not underestimate the impacts of this liquidity risk. This key factor can be estimated with Liquidity-Adjusted Value-at-Risk models to calculate the minimum capital requirement cushion, as stated in the international regulations of the Bank of International Settlements and Basel Committee on Banking Supervision and Capital Adequacy Requirements. In this research methods case study, I discuss methods for the assessment of liquidity risk and demonstrate the application of liquidity risk assessment in the modern risk management processes of financial institutions. This research methods case study bridges the gap in risk management literatures by providing real-world asset allocation tactics that can be used for trading portfolios under normal and adverse markets conditions. I arrived at this approach to computing Liquidity-Adjusted Value-at-Risk through the application of three distinct liquidity models and I used the obtained empirical results to draw conclusions about the liquidity of diverse equity portfolios of the Gulf Cooperation Council zone financial markets. |
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| Physical Description: | 1 online resource : illustrations. |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 9781526469304 1526469308 |