GCC Financial Markets in the Wake of Recent Global Crisis

Mazin A. M. Janabi ()
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Mazin A. M. Janabi: United Arab Emirates University

Chapter Chapter 8 in Financial Integration, 2013, pp 139-155 from Springer

Abstract: Abstract This paper provides pioneering risk assessment techniques that can be applied to investment portfolios in emerging financial markets, such as in the context of the Gulf Cooperation Council (GCC) and other Middle East and North African (MENA) stock markets. As such, this paper develops a rigorous approach for the assessment of risk exposures for structured financial portfolios in light of the aftermaths of the sub-prime global financial crisis. Our comprehensive risk analysis model can conduct Liquidity-Adjusted Value-at-Risk (LVaR) simulation and risk forecasting under normal and adverse market conditions besides it takes into account the effects of illiquidity of traded equity securities under the supposition of different crisis-driven correlation factors. This research paper has important practical uses and applications for financial institutions, financial regulators, risk managers, portfolio managers, treasury managers and policymakers operating in the GCC and other emerging MENA markets, and particularly in the wake of the most recent financial crisis. In fact, the proposed analytical methods can be put into practice in virtually all GCC and other emerging MENA markets, if they are custom-made to be compatible to every market’s initial level of complexity. Ultimately, this will contribute in providing a benchmark setting for compliance with contemporary regulatory requirements on capital adequacy; and can ultimately aid in the international financial integration of the economies of the GCC and other developing MENA countries.

Keywords: Emerging markets; Financial engineering; Financial modeling; Financial risk management; GARCH-M model; GCC financial markets; Liquidity risk; MENA; Portfolio management; Stress testing; Sub-prime crisis; Value-at-Risk (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:fimchp:978-3-642-35697-1_8

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DOI: 10.1007/978-3-642-35697-1_8

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