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On Swing Pricing and Systemic Risk Mitigation

On Swing Pricing and Systemic Risk Mitigation »

Source: On Swing Pricing and Systemic Risk Mitigation

Volume/Issue: 2017/159

Series: IMF Working Papers

Author(s): Sheheryar Malik , and Peter Lindner

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 18 July 2017

ISBN: 9781484310151

Keywords: Financial crises, Liquidity management; Mutual funds; Redemptions; Systemic risk; Swing pricing, Liquidity management, Mutual funds, Redemptions, Systemic risk, Swing pricing, Model Construction and Estimation, Quantitative Policy Modeling

Swing pricing allows a fund manager to transfer to redeeming or subscribing investors the costs associated with their trading activity, thus potentially discouraging large flows. This liquidity management tool, whi...

Liquidity Stress Tests for Investment Funds: A Practical Guide

Liquidity Stress Tests for Investment Funds: A Practical Guide »

Source: Liquidity Stress Tests for Investment Funds: A Practical Guide

Volume/Issue: 2017/226

Series: IMF Working Papers

Author(s): Antoine Bouveret

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 31 October 2017

ISBN: 9781484324783

Keywords: Liquidity, stress test, investment funds, redemption, Financial Markets and the Macroeconomy, Asset Pricing

This paper outlines a framework to perform liquidity stress tests for investment funds. Practical aspects related to the calibration of the redemption shock, the measurement of liquidity buffers and the assessment...

On Swing Pricing and Systemic Risk Mitigation

On Swing Pricing and Systemic Risk Mitigation »

Volume/Issue: 2017/159

Series: IMF Working Papers

Author(s): Sheheryar Malik , and Peter Lindner

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 18 July 2017

DOI: http://dx.doi.org/10.5089/9781484310151.001

ISBN: 9781484310151

Keywords: Financial crises, Liquidity management; Mutual funds; Redemptions; Systemic risk; Swing pricing, Liquidity management, Mutual funds, Redemptions, Systemic risk, Swing pricing, Model Construction and Estimation, Quantitative Policy Modeling

Swing pricing allows a fund manager to transfer to redeeming or subscribing investors the costs associated with their trading activity, thus potentially discouraging large flows. This liquidity management tool, whi...

Liquidity Stress Tests for Investment Funds: A Practical Guide

Liquidity Stress Tests for Investment Funds: A Practical Guide »

Volume/Issue: 2017/226

Series: IMF Working Papers

Author(s): Antoine Bouveret

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 31 October 2017

DOI: http://dx.doi.org/10.5089/9781484324783.001

ISBN: 9781484324783

Keywords: Liquidity, stress test, investment funds, redemption, Financial Markets and the Macroeconomy, Asset Pricing

This paper outlines a framework to perform liquidity stress tests for investment funds. Practical aspects related to the calibration of the redemption shock, the measurement of liquidity buffers and the assessment...