A Value at Risk Approach to Measuring Equity Trading Risk Exposure in Emerging Stock Markets
AbstractThe attempt of this article is to fill a gap in the equity trading risk management literature and particularly from the perspective of emerging and illiquid financial markets, such as in the context of the Moroccan stock market. This paper provides real-world risk management techniques and strategies that can be applied to equity trading/investment portfolios in emerging markets. In this work, we divulge a proactive approach for the measurement/management of risk exposure for financial trading portfolios that contain illiquid equity securities. This approach is based on the renowned concept of Value At Risk (VAR) along with the creation of a software tool utilizing matrix-algebra technique. The recommended feasible analytical/quantitative techniques and procedures can be utilized in almost all-emerging economies, if they are tailored to match-up with each market's initial level of complexity. In order to exemplify the appropriate use of VAR and stress-testing techniques, real-world examples and attainable reports of risk management are presented for the Casablanca Stock Exchange (CSE). To this end, some case studies are accomplished with the intent of creating a realistic framework of equity trading risk measurement and control reports.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Penerbit Universiti Sains Malaysia in its journal Asian Academy of Management Journal of Accounting and Finance.
Volume (Year): 3 (2007)
Issue (Month): 1 ()
emerging markets; financial engineering; financial risk management; financial markets; Morocco; portfolio management; stress testing; Value At Risk;
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Journal Division).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.