7 citations · 19 across the 10 of their papers we have counts for
4 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…
The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio
Théo Roncalli, Théo Le Guenedal, Frédéric Lepetit +2
Like ESG investing, climate change is an important concern for asset managers and owners, and a new challenge for portfolio construction. Until now, investors have mainly measured…
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…