Liquidity Dynamics and Risk Modeling: Navigating Trading and Investment Portfolios Frontiers with Machine Learning Algorithms

Al Janabi, Mazin A. M.

Liquidity Dynamics and Risk Modeling: Navigating Trading and Investment Portfolios Frontiers with Machine Learning Algorithms

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商品描述

This book presents a high-quality contribution to the applications of modern financial algorithms for liquidity risk management and its practical uses and applications to investable portfolios and mutual funds. It brings together the latest thinking on the emerging topic of contemporary liquidity risk estimations and management and includes principles, reviews, examples, and concrete financial markets applications to trading and investment portfolios. Furthermore, it explores research directions of liquidity risk management using modified Liquidity-Adjusted Value-at-Risk (L-VaR) models with the application of machine learning optimization algorithms. The book presents specific self-contained use-cases throughout, showing practical applications of the concepts discussed and providing further directions for researchers and financial markets participants. The book draws practical insights from personal experiences and applies specific examples (with the use of real-world case studies and analysis) about how the modeling techniques and machine learning optimization algorithms could address specific theoretical and practical issues of liquidity risk management and coherent asset allocation in trading and investment portfolios. It will be of interest to researchers, students, and practitioners of risk management, portfolio management, and machine learning.

商品描述(中文翻譯)

本書對現代金融算法在流動性風險管理中的應用及其在可投資組合和共同基金中的實際用途提供了高品質的貢獻。它匯集了當前流動性風險估算和管理這一新興主題的最新思考，並包括原則、評論、範例以及具體的金融市場應用，涵蓋交易和投資組合。此外，本書探討了使用修改後的流動性調整風險價值（L-VaR）模型進行流動性風險管理的研究方向，並應用機器學習優化算法。全書提供了具體的獨立案例，展示所討論概念的實際應用，並為研究人員和金融市場參與者提供進一步的研究方向。本書從個人經驗中提取實用見解，並使用具體範例（結合真實案例研究和分析）說明建模技術和機器學習優化算法如何解決流動性風險管理和交易及投資組合中一致性資產配置的具體理論和實踐問題。本書將吸引風險管理、投資組合管理和機器學習的研究人員、學生和實務工作者的興趣。

作者簡介

Mazin A. M. Al Janabi has more than three decades of multifaceted experience across science, technology, finance, and academia. Holding a PhD in Nuclear Engineering from the University of London, UK, Prof. Al Janabi's journey has been marked by roles within top-tier international financial institutions, including ING-Barings and BBVA, where he held senior management positions like Director of Global Market Risk Management, Head of Trading Risk Management, Head of Derivative Products, and Head of Fixed Income Research. He also served as a Full Research Professor at institutions such as EGADE Business School, Tecnologico de Monterrey in Mexico, United Arab Emirates University (UAEU) in Abu Dhabi, and Al Akhawayn University in Ifrane (AUI), Morocco. A research fellow at the Economic Research Forum (ERF), Prof. Al Janabi's scholarly pursuits delve into the dynamics of emerging and developed economies.

作者簡介(中文翻譯)

Mazin A. M. Al Janabi 擁有超過三十年的多元經驗，涵蓋科學、技術、金融和學術領域。他持有英國倫敦大學的核工程博士學位，Al Janabi 教授的職業生涯中曾在多家頂尖國際金融機構擔任重要職位，包括 ING-Barings 和 BBVA，擔任全球市場風險管理總監、交易風險管理主管、衍生產品主管以及固定收益研究主管等高級管理職位。他還曾在墨西哥的 EGADE 商學院、蒙特雷科技大學、阿布達比的阿拉伯聯合酋長國大學（UAEU）以及摩洛哥的阿卡瓦因大學（AUI）擔任全職研究教授。作為經濟研究論壇（ERF）的研究員，Al Janabi 教授的學術研究深入探討新興經濟體和發達經濟體的動態。

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