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...

The aim of this study is to explore whether the Gulf Cooperation Council (GCC) equity markets are informationally efficient with regard to oil and gold price shocks during the period 2006-2008 using daily dollar-based stock market indexes dataset. This paper extends research literature related...

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...

Purpose – Since, the early 1990s, emerging markets have started to play an important role in the trading of derivatives products. Despite the fact that these markets are characterized in general as illiquid, segmented, politically unstable, with lack of regulations and historical financial...

Purpose – This paper seeks to provide foreign exchange risk measurement/management techniques and strategies that can be applied to investment and trading portfolios in emerging financial markets, such as the Moroccan foreign exchange market, with the objective of setting up the basis of a...

Purpose – It is the purpose of this article to empirically test the risk parameters for larger foreign-exchange portfolios and to suggest real-world policies and procedures for the management of market risk with the aid of value at risk (VaR) methodology. The aim of this article is to fill a...

Purpose – The aim of this paper is to fill a gap in the foreign-exchange trading risk-management literature and particularly from the perspective of emerging and illiquid markets, such as in the context of the Moroccan foreign-exchange market. Design/methodology/approach – This paper,...

Purpose – The purpose of this paper is to provide proactive risk management techniques and strategies that can be applied to trading and investment portfolios in emerging and Islamic illiquid financial markets, such as the Moroccan foreign exchange and stock markets....

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...

This paper proposes a concrete theoretical foundation and a new modelling framework that attempts to tackle the issue of market/liquidity risk and economic-capital estimation at a portfolio level by combining two mutual asset market/liquidity risk models. In essence, this study extends research...