Equity trading risk management: The case of Casablanca Stock Exchange

Mazin A.M. Al Janabi

    Research output: Contribution to journalArticlepeer-review

    7 Citations (Scopus)

    Abstract

    Despite the fact that emerging markets are characterised in general as illiquid, segmented, politically unstable, with lack of regulations and historical financial databases, they do have enormous advantages for markets' participants. While these emerging markets share some similarities in development patterns, it is often their individual differences that create unique expected return opportunities and embedded risks, which may be addressed through art and science risk management techniques. In this article, key equity trading risk management methods, rules and procedures that financial entities, regulators and policymakers should consider in setting-up their daily equity trading risk management objectives are examined and adapted to the specific needs of emerging markets. In order to illustrate the proper use of Value At Risk (VAR) and stress-testing (scenario analysis) methods, real-world examples and practical reports of equity trading risk management are presented for the Casablanca Stock Exchange (CSE).

    Original languageEnglish
    Pages (from-to)535-568
    Number of pages34
    JournalInternational Journal of Risk Assessment and Management
    Volume7
    Issue number4
    DOIs
    Publication statusPublished - 2007

    Keywords

    • Casablanca stock exchange
    • Derivative products
    • Emerging markets
    • Financial engineering
    • Financial risk
    • Trading risk management
    • Value at risk

    ASJC Scopus subject areas

    • Business and International Management
    • Statistics, Probability and Uncertainty
    • Management Science and Operations Research

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