Quantitative Analysis of the Mexican Stock Market: Applications to Risk Management Processes

Abstract

The aim of this paper is to fill a gap in the trading risk management literature and particularly from the perspective of emerging and illiquid markets, such as in the context of the Mexican financial markets. In this paper, we demonstrate a comprehensive and proactive approach for the measurement, management and control of equity trading risk exposure, which considers proper adjustments for the illiquidity within a multi-security setting.