Fatma Karray-Meziou

Amundi Asset Management

90 Boulevard Pasteur

Paris, 75015

France

SCHOLARLY PAPERS

2

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522

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Scholarly Papers (2)

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1.

Liquidity Stress Testing in Asset Management - Part 1. Modeling the Liability Liquidity Risk

Number of pages: 110 Posted: 06 Jan 2021 Last Revised: 07 Jan 2021
Thierry Roncalli, Fatma Karray-Meziou, François Pan and Margaux Regnault
Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE)
Downloads 279 (237,578)
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liquidity, stress testing, liability, redemption rate, redemption frequency, redemption severity, zero-inflated beta model, copula

2.

Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asset Liquidity Risk

Number of pages: 86 Posted: 25 May 2021
Thierry Roncalli, Amina Cherief, Fatma Karray-Meziou and Margaux Regnault
Amundi Asset Management, Amundi Institute, Amundi Asset Management and National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE)
Downloads 243 (273,043)

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Asset liquidity, stress testing, bid-ask spread, market impact, transaction cost, participation rate, power law, liquidation cost, liquidation ratio, liquidation shortfall, time to liquidation