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

Pascal Damel () and Nadège Ribau-Peltre ()
Additional contact information
Pascal Damel: CNAM - Conservatoire National des Arts et Métiers [CNAM]
Nadège Ribau-Peltre: CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine

Post-Print from HAL

Abstract: The financial crisis began with the collapse of Lehman Brothers and the subprime asset backed securities debacle. Credit risk was turned into liquidity risk, resulting from a lack of confidence among financial institutions. To overcome this problem, Basel III agreements for banks and 2009/65/EC UCITS IV Directive (UCITS IV) for regulated mutual funds, enhanced the recognition of liquidity risk. In this article, we focus on the evaluation of liquidity risk for UCITS funds. We will propose a quantified way to apprehend this risk through an asset liability approach. For assets, we will show that liquidity risk is a new type of risk and the current way to deal with is based solely on observed variables without any theoretical link. We propose a heuristic approach to combine the numerous liquidity risk indicators. To model and forecast the liability side we provide several parameters to create a Kalman filter process. This paper brings a comprehensive response to the regulatory requirements.

Keywords: Financial crisis; Liquidity risk; Liquidity scoring; Kalman fiter (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations:

Published in Advances in Intelligent Systems and Computing, 360, pp.389-399, 2015, Advances in Intelligent Systems and Computing, 978-3-319-18166-0. ⟨10.1007/978-3-319-18167-7_34⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01371849

DOI: 10.1007/978-3-319-18167-7_34

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().