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Liquidity Risk: From Measurement to Risk Management

The recent announcement by the European Securities and Markets Authority (ESMA) regarding a consultation on guidance for liquidity stress tests is another example of liquidity risk advancing beyond measurement into risk management. As the regulatory landscape continues to evolve, asset managers around the world need to establish sound frameworks for liquidity risk management.

Listen below to the nsightful webinar in which Sandor Hendriks, Head of Financial Risk Management, Robeco will present the framework his firm has built in order to satisfy UCITS and AIFMD regulations as well as IOSCO’s recommendations and best practices. Andras Bohak, Head of Risk Management and Liquidity Research, MSCI will present results of his team’s work on historical liquidity stress tests scenarios and portfolio-level liquidity risk management.

Agenda Topics:

Robeco’s Liquidity Risk Management Framework Using MSCI’s LiquidityMetrics
Overview of MSCI’s LiquidityMetrics
Liquidity Stress Testing and Portfolio-level Liquidity Risk Management

Mar 26, 2019




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