Scientific Methodology to Model Liquidity Risk in UCITS Funds with an Asset Liability Approach: A Global Response to Financial and Prudential Requirements

DOI10.1007/978-3-319-18167-7_34zbMath1371.91189OpenAlexW1929940057MaRDI QIDQ5357778

Pascal Damel, Nadège Ribau-Peltre

Publication date: 12 September 2017

Published in: Advances in Intelligent Systems and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-18167-7_34

zbMATH Keywords

financial crisisliquidity riskKalman fiterliquidity scoring

Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

• Convex analysis approach to d. c. programming: Theory, algorithms and applications
• Continuous Auctions and Insider Trading
• The Expected Illiquidity Premium: Evidence from Equity Index-Linked Bonds *