Mazin Al Janabi

The research of Professor Al Janabi focuses on financial risk management, counterparty market risk management, derived values and portfolio management, topics on which he has widely published in top-tiered journals such as the International Review of Financial Analysis, European Journal of Operational Research, Annals of Operations Research, Applied Economics, Economic Modelling, Review of Financial Economics, Journal of Asset Management, Service Industries Journal, Studies in Economics and Finance, Emerging Markets Finance and Trade, Journal of Risk Finance, Journal of Banking Regulation, Annals of Nuclear Energy, amongst others. He has also published books and book chapters and has participated as guest speaker and presenter in several international conferences and symposiums.

His research and development in quantitative finance has been formally classified in the academic literature as “Al Janabi’s model” for Liquidity Adjusted Value–at-Risk, LVaR Model, providing practical tools to portfolio managers to face the barriers for efficient use of assets in portfolios and coverage funds.

Professor Mazin A.M. Al Janabi has more than 30-year experience in different academic institutions, financial markets and international financial institutions and bank corporations, occupying a range of positions. He has occupied several managerial roles in institutions such as ING Barings and BBVA Bancomer as the Director of Global Management of Market Risk, Head of Trade Risk Management and Head of Derived Financial Products. Additionally, he has served as a finance and banking consultant for the creation of new financial markets in emerging economies.

For excellence in his teaching work and research he has received several awards including for research published in journals classified as A/A*. His biography has also been included in the last four editions of Who’s Who in the World (2013- to date) and in the latest issue of Who’s Who in Science and Engineering (2016- to date).

EDUCATION

• Ph.D. in Engineering, Operations Research / Industrial Management
  • University of London
• M.Sc. in Engineering
  • University of London

AWARDS & HONORS

• Biography Cited and Featured in Marquis Who's Who in the World (2013-Present).
• Biography Cited and Featured in Marquis Who's Who in Science and Engineering (2016-Present).
• Received the Distinguished Rank of SNI II According to the National System of Researchers (SNI) of the National Council of Science and Technology (CONCAYT), Mexico. The SNI has Established Four Ranking Categories for Researchers, with a Maximum Rank of SNI III.
• Distinguished Faculty Recognition Awards for the year 2014-2015: Received the College of Business and Economics Distinguished Faculty Award for Excellence in Scholarship, Teaching and Services, College of Business and Economics, UAE University.
• Distinguished Faculty Recognition Awards for the year 2014-2015: Nominated by the College of Business and Economics for the University Distinguished Faculty Award for Excellence in Scholarship, Teaching and Services, UAE University.
• Designated as Graduate Faculty (Level 5) to Participate in Graduate Programs. This Distinction is the Highest Academic Level According to the UAE University’s Graduate Programs Policy.
• Outstanding Research Award for Publications in A* / A Ranked Journals. Received the College of Business and Economics Award in Recognition of Outstanding Research Publication Output in 2013-2014, College of Business and Economics, UAE University.
• Outstanding Research Award for Publications in A* / A Ranked Journals. Received the Faculty of Business and Economics Award in Recognition of Outstanding Research Publication Output in 2011-2012, College of Business and Economics, UAE University.
• Faculty Recognition Awards for the year 2011-2012: Received the Department of Economics and Finance Best Performance Award for Excellence in Scholarship, Faculty of Business and Economics, UAE University.
• Faculty Recognition Awards for the year 2011-2012: Nominated for the final-round (runner-up) of the Faculty of Business and Economics Best Performance Award for Excellence in Scholarship, Faculty of Business and Economics, UAE University.
• Faculty Recognition Awards for the year 2010-2011: Received the Department of Economics and Finance Best Performance Award for Excellence in Service, Faculty of Business and Economics, UAE University.
• Faculty Recognition Awards for the year 2009-2010: Received the Department of Economics and Finance Best Performance Award for Excellence in Service, Faculty of Business and Economics, UAE University.
• Faculty Recognition Awards for the year 2009-2010: Nominated for the final-round (runner-up) of the Faculty of Business and Economics Best Performance Award for Excellence in Service, Faculty of Business and Economics, UAE University.
• Faculty Recognition Awards for the year 2008-2009: Received the College of Business and Economics Best Performance Award for Excellence in Teaching, College of Business and Economics, UAE University.
• Faculty Recognition Awards for the year 2008-2009: Received the Department of Economics and Finance Best Performance Award for Excellence in Teaching, College of Business and Economics, UAE University.
• Faculty Recognition Awards for the year 2007-2008: Received the College of Business and Economics Best Performance Award for Excellence in Scholarship, College of Business and Economics, UAE University.
• Faculty Recognition Awards for the year 2007-2008: Received the Department of Economics and Finance Best Performance Award for Excellence in Scholarship, College of Business and Economics, UAE University.
• Selected Among a Group of Eminent Qualified International Experts as a Reviewer of Research Proposals for the Qatari National Research Foundation (QNRF), 2009-Present.
• The research paper ““Multivariate Dependence and Portfolio Optimization Algorithms under Illiquid Market Conditions”, European Journal of Operational Research, 2017 was selected as the best research paper of EGADE Business School among all business disciplines. The paper was presented at the Annual Research Congress of the Tecnológico de Monterrey, January 26, 2017.
• The research paper “Integrating Liquidity Risk Factor into a Parametric Value-at-Risk Method” was selected as one of the two best research papers in the area of Market Microstructure at the Midwest Financial Association (MFA) Annual Conference, San Antonio, Texas, 2008. The two winning papers were later awarded fast-track publication in the “Journal of Trading”.
• Received the Best Research Paper Award on the Research Paper Entitled “A Value at Risk Approach to Measuring Equity Trading Risk Exposure in Emerging Stock Markets”, Research Paper was Presented and Published in the Proceedings of the 7th Asian Academy of Management Conference (AAMC) 2007, May 21 - 25, 2007, Penang Island, Malaysia. Conference organized by the Asian Academy of Management and School of Management, Universiti Sains Malaysia (USM).
• Received the Best Research Paper Award on the Research Paper Entitled “Quantitative Analysis of the Mexican Stock Market: Proactive Relevance to Market Risk Management”. The Paper was Presented and Published in the Proceedings of the Spring Conference Organized by the International Academy of Business and Public Administration Disciplines (IABPAD), May 23-26, 2005, Double Tree Hotel, Dallas, Texas, USA.
• Received the Faculty Shield-Trophy-Award of “Outstanding Services (Teaching, Research and Service Activities)” from Al Akhawayn University in Ifrane for the Period 2001-2006.
• Received the Faculty Shield-Trophy-Award of “Outstanding Services (Teaching, Research and Service Activities)” from Students’ Governing Association, Al Akhawayn University in Ifrane for the Period 2001-2006.

SELECTED PUBLICATIONS

Al Janabi, MAM., Grillini, S., Sharma, A., Ozkan, A. (2019) "“Pricing of time-varying illiquidity within the Eurozone: Evidence using a Markov switching liquidity-adjusted capital asset pricing model“". International Review of Financial Analysis, 64, 145-148 Al Janabi, MAM.; Ferrer, R. Shahzad,S. (2019) "Liquidity-adjusted value-at-risk optimization of a multi-asset portfolio using a vine copula approach". Physica A: Statistical Mechanics and its Applications, 536 Al Janabi, M. A. M. (2019) Theoretical and practical foundations of liquidity-adjusted value-at-risk (LVaR): optimization algorithms for portfolio selection and management. in Expert Systems in Finance: Smart Financial Applications in Big Data Environments. Routledge. Al Janabi, M. A. M. (2018) Derivatives Products in Emerging Markets and Prudential Regulations in Emerging Markets: Recent Developments, Challenges and Future Prospects. Nova Science Pub Inc. Al Janabi, M. A. M. (2018) Coherent Asset Allocations with Liquidity-Adjusted Value-at-Risk Method: Review of Theoretical Algorithms and Applications in Handbook of Global Financial Markets. World Scientific. Al Janabi, Mazin A. M., Arreola Hernandez, Jose, Berger, Theo, Khuong Nguyen, Duc, “Multivariate Dependence and Portfolio Optimization Algorithms under Illiquid Market Conditions”, European Journal of Operational Research, Vol. 259, No. 3, pp. 1121-1131, 2017. [Publisher: Elsevier, Inc.] Al Janabi, Mazin A. M., Khuong Nguyen, Duc, Arreola Hernandez, Jose, Hammoudeh, Shawkat, Reboredo, Juan Carlos, “Global Financial Crisis and Dependence Risk Analytics of Sector Portfolios: A Vine Copula Approach”, Applied Economics, Vol. 49, No. 25, pp. 2409–2427, 2017. [Publisher: Routledge; Taylor & Francis Group] Al Janabi, Mazin A. M., “Optimal and Investable Portfolios: An Empirical Analysis with Scenario Optimization Algorithms under Crisis Market Prospects”, Economic Modelling, Vol. 40, pp. 369-381, 2014. [Publisher: Elsevier, Inc.] Al Janabi, Mazin A. M., “Optimal and Coherent Economic-Capital Structures: Evidence from Long and Short-Sales Trading Positions under Illiquid Market Perspectives”, Annals of Operations Research, Vol. 205, No.1, pp. 109-139, 2013. [Publisher: Springer Publishing Co., Inc.] Al Janabi, Mazin A. M., “Optimal Commodity Asset Allocation with a Coherent Market Risk Modeling”, Review of Financial Economics, Vol. 21, No. 3, pp. 131-140, 2012. [Publisher: Elsevier, Inc.]