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Diana Knipl

Diana Knipl
Senior Associate, Risk Management and Liquidity Core Research

About the Contributor

Diana specializes in liquidity risk and other aspects of risk management. Prior to MSCI, she worked as a researcher in applied mathematics at the Hungarian Academy of Sciences and UCL. Diana earned a doctorate in mathematics at the University of Szeged.

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Blog posts by Diana Knipl

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  1. BLOG

    Liquidity risk under stress: Beyond bid-ask spreads 

    Aug 7, 2019 Diana Knipl

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    Risk managers at investment funds are more and more focused on liquidity risk, as regulators have recently issued guidance that increases demands for liquidity stress testing. Although markets are currently considered fairly calm, the 2008 financial crisis showed how liquidity can deteriorate quickly under stressed conditions, resulting in widened bid-ask spreads. But by focusing solely on the change in bid-ask spreads, could investors underestimate their liquidity risk? The often-overlooked market impact — or the additional cost on top of the bid-ask cost for large trades — could also increase significantly, driving transaction costs still higher.

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