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Discussion Series
Frankfurt MathFinance Colloquium
Dr. Boris Neubert
Investment Data Services
Monitoring and management of liquidity risk in security funds
Abstract
The monitoring of liquidity risk of assets in security funds is both an economic and a regulatory need for the administering fund company. To that aim a field-proven methodology for the assessment of the liquidity of assets in a fund under normal and stress conditions is presented as well as the use of the obtained information in the risk management process. The methodology covers all asset classes in a consistent framework, enables ad hoc and routine analyses, and furthers the communication of this previously neglected risk type across departments and hierarchies.Wednesday, 27 October 2010 6:30p.m., Frankfurt School of Finance & Management, room 21
