Liquidity Stress Testing in Asset Management - Part 3. Managing the Asset-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 the modeling liability (or funding liquidity), second dedicated to market whereas third considers management asset-liability matching). purpose this propose methodological and practical framework order perform stress testing programs, comply with regulatory guidelines (ESMA, 2019, 2020) are useful for fund managers. In last paper focused managing risk, we explore ALM tools that put place control gap. These split categories: measurement tools, monitoring tools. terms focus computation redemption coverage ratio (RCR), central instrument programs. We also study liquidation policy different implementation methodologies, show how reverse developed. calibration buffers, pros cons special arrangements (redemption suspensions, gates, side pockets in-kind redemptions) effectiveness swing pricing. compare macro- micro-approaches identify transmission channels risk.