2 papers
q-fin.RM2021
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…
q-fin.RM2021
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…