Liquidity Stress Testing in Asset Management - Part 3. Managing the Asset-Liability Liquidity Risk

@article{Roncalli2021LiquidityST,
  title={Liquidity Stress Testing in Asset Management - Part 3. Managing the Asset-Liability Liquidity Risk},
  author={Thierry Roncalli},
  journal={SSRN Electronic Journal},
  year={2021}
}
  • T. Roncalli
  • Published 4 October 2021
  • Economics
  • SSRN Electronic Journal
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 of the liability liquidity risk (or funding liquidity), the second dimension is dedicated to the modeling of the asset liquidity risk (or market liquidity), whereas the third dimension considers the management of the asset-liability liquidity risk (or assetliability matching). The purpose of this research is to… 
1 Citations
Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asset Liquidity Risk
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 liquidity risk (or

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Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asset Liquidity Risk
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 liquidity risk (or
Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk
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 liquidity risk (or
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