In this whitepaper, Mazars discusses standard liquidity metrics and the necessity to calibrate them appropriately to the fund risk-appetite. We discuss the importance of stress-testing for an effective liquidity risk management. We look into one of the most common liquidity tool used by fund managers: swing pricing. Finally, we corroborate FCA's observation that AFM display very different positions when it comes to liquidity risk management by comparing the liquidity risk of multiple funds following the same index benchmark.
The Quantitative solution team covers topics related to market risk, counterparty credit risk, credit risk, and climate risk but also machine learning, AI, and big data models. We design and implement sound methodologies in line with market practice and compliant with the standard requirements leveraging on our credentials from large investment banks, asset managers, insurance and corporate audit...
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