This paper presents a new method to validate risk models: the Risk Map. This method jointly accounts for the number and the magnitude of extreme losses and graphically summarizes all information about the performance of a risk model. It relies on the concept of a super exception, which is...

Despite the growing evidence that speculative assets have time-varying variances and covariances, risk management techniques have not exploited this potentially useful property. This article proposes a dynamic risk management (hedging) model that takes advantage of time dependencies present in...

Traditionally, financial risk management has mainly focused on the types of risk that can be identified and measured. Many actuarial and statistical theories and models have been developed in the past, to quantify such risks. However, high-profile events such as Black Monday, the Asian financial...

The aim of this article is to bridge the gap in equity trading risk management literatures and particularly from the perspective of emerging and illiquid markets, such as in the context of the Gulf Cooperation Council (GCC) financial markets. In this article, we demonstrate a practical approach...

This paper develops scenario optimization algorithms for the assessment of investable financial portfolios under crisis market outlooks. To this end, this research study examines from portfolio managers' standpoint the performance of optimum and investable portfolios subject to applying...

This paper proposes a new methodology to include financial risk management in the framework of two-stage stochastic programming for energy planning under uncertainties in demand and fuel price. A deterministic mixed integer linear programming formulation is extended to a two-stage stochastic...

Purpose – The purpose of this paper is to originate a proactive approach for the quantification and analysis of liquidity risk for trading portfolios that consist of multiple equity assets. Design/methodology/approach – The paper presents a coherent modeling method whereby the holding...

Purpose – The purpose of this paper is to profile how ample cash holdings can serve as a competitive advantage by first mitigating the risk of becoming a forced seller during times of distress, and then positioning a firm to take strategic advantage of forced selling and other forms of...