Search Results for author: François Pan

Found 1 papers, 0 papers with code

Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk

no code implementations6 Jan 2021 Thierry Roncalli, Fatma Karray-Meziou, François Pan, Margaux Regnault

In this first part that focuses on liability liquidity risk modeling, we propose several statistical models for estimating redemption shocks.

Asset Management

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