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1 paper

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…