GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan Global Head of Quant Research & Analytics, JP Morgan US Head of Portfolio Construction, & Team of Managing Directors & Portfolio Managers JP Morgan Portfolio Liquidity Assessment Framework & ModelsPortfolio Assets Modeled: 17 Asset Classes: Hedge Funds (HF), Alternative Investments, Equities, Commodities, Fixed Income, Bonds, Currencies:Developed Large EquityDeveloped Small EquityEmerging EquityUnlisted EquityVarious CommoditiesGovernment BondsInvestment Grade BondsInflation-Linked BondsHigh Yield Corporate BondsEmerging Market Hard Currency BondsEmerging Market Local Currency BondsMajor CurrenciesStatistical Arbitrage Hedge FundEquity Hedge Hedge FundMerger Arbitrage Hedge FundMacro Hedge FundRelative Value Hedge FundLed and Guided Teams of Quants, Portfolio Managers and Managing Directors: Built Liquidity Risk Modeling System for Deployment by the Managing Directors.Led quantitative portfolio liquidity modeling for multiple financial asset classes.Led literature review of all liquidity risk models, methods, and measures.Led project management & scheduling and delivering high quality results on time.Led interpretations of all outcomes & findings to ED team of Quants, CIO, MDs, PMs..Assets: alternatives, HF, equities, commodities, fixed income, bonds, currencies.Analyzed market risk, credit risk, ALM risk, portfolio risk, investment risk.Led modeling and stress-testing for all asset classes and composite portfolio.Led validation of all liquidity and liquidity risk models and measures.Led verification of model performance, limiting behaviors, responses to stress.Led modeling of pricing & risk measurement with specific focus on liquidity.Led evaluation of third-party models, data, software for diverse asset classes.Led inventorying of model assumptions and assessment of model risks for all assets.Led evaluation of third-party models, data, software for diverse asset classes.Led inventorying of model assumptions and assessment of model risks for all assets.Modeled historical simulation, parametric & modified VaR, expected shortfall.Modeled and analyzed multi-asset volatility, variances & correlations, GARCH, MLE.Modeled VaR, QMLE, non-normality, Cornish-Fisher, EVT stochastic models for assets.Modeled and analyzed liquidity risk models for all assets and portfolio optimization.Identified & defined benchmark indices & data sources for all asset classes.Assessed soundness of liquidity & liquidity risk models for assets & portfolio.Guidance to JP Morgan Managing Directors/Executive Directors for Future ExecutionAxioms of Coherency and Convexity of Risk MeasuresExponential and Power Utility Functions for Spectral Risk MeasuresWhy Gaussian Risk Measures Fail and Where Regulation is Headed NextLiquidity Measure for Illiquid Assets Solves Material Error in Liquidity MeasuresMeasuring Liquidity As Shadow Cost For Hedge Fund IndexesStructuring and Pricing of Liquidity Options Hedge Funds for Price DiscoveryDevising and Testing Liquidity Measures for Spreads of CDS ContractsLiquifiability Index as What You May See in Basel NextModeling Measuring and Testing Liquidity Risk Across All Asset Classes
