7 citations · 19 across the 10 of their papers we have counts for
3 papers · 1 filter
Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk
Thierry Roncalli
This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers the modeling…
Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk
Thierry Roncalli, Amina Cherief, Fatma Karray-Meziou +1
This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liq…
Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk
Thierry Roncalli, Fatma Karray-Meziou, François Pan +1
This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liq…