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LiquidityMetrics Model Validation

categories: Research Insight, Research Paper, Asset Allocation and Asset Liability Management, Risk Management Analytics, LiquidityMetrics, Fixed Income, Multi-Asset Class

tags: fixed income, liquiditymetrics, model_validation,

LiquidityMetrics provides an analytical framework for liquidity risk management and regulatory reporting. This paper provides validation results for fixed-income securities through the lens of observed transaction costs. The validation period covers the relatively calm markets in 2019, as well as the onset and recovery from the COVID-19 crisis in 2020.

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