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Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk
In this second article focused on asset liquidity risk modeling, we propose a market impact model to estimate transaction costs.
Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk
In this first part that focuses on liability liquidity risk modeling, we propose several statistical models for estimating redemption shocks.
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