Liquidity

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Working Paper 6.10.2021 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.

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Working Paper 18.05.2021 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 funding liquidity) modeling, the second dimension focuses on asset liquidity risk (or market liquidity) modeling, and the third dimension considers the asset-liability management of the liquidity gap risk (or asset-liability matching).

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Insights Paper 6.04.2021 Allocating to real and alternative assets: a framework for institutional investors
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Institutional investors have significantly increased their allocation to real and alternative assets, such as private equity, real estate, infrastructure and private debt, over the past decade, with the objective of enhancing the return or the expected yield of their portfolio, as well as improving its diversification.

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Working Paper
Working Paper 5.01.2021 Liquidity Stress Testing in Asset Management - Part 1. Modeling the Liability Liquidity Risk
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This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions.

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Insights Paper 21.02.2020 Global high yield outlook: Be confident, but not complacent
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Last year was a strong year for global bond markets, which were supported by the accommodative stance of the main central banks and strong investor demand. US, European and EM high yield (HY) bonds all returned more than 14% swapped into US dollars.

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Insights Paper 2.08.2019 Seek high yield opportunities, but be aware of liquidity conditions
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Speculative grade bonds have been among the major beneficiaries of the rapid turn of both Fed and ECB monetary policy stances to much more dovish positions.

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Working Paper 26.03.2019 Optimal Allocation in the S&P 600 under Size-Driven Illiquidity
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A number of empirical studies have investigated how mutual funds do react to incoming financial resources.

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Insights Paper 25.02.2019 How investors should deal with the liquidity dilemma
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The paradox of liquidity (it dries up when most needed) remains one of the key challenges for investors on the aftermath of the great financial crisis and it is resurfacing in this late financial cycle phase.

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Working Paper 20.02.2019 Constrained Risk Budgeting Portfolios
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This article develops the theory of risk budgeting portfolios, when we would like to impose weight constraints.

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