This report is made up of four research papers, which have been written to perform liquidity stress testing programs, which comply with ESMA regulatory guidelines: (1) Roncalli, T., Karray-Meziou, F., Pan, F., and Regnault, M. (2021), Liquidity Stress Testing in Asset Management — Part 1....

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second dimension focuses on asset liquidity risk (or market...

This paper proposes a comprehensive climate stress testing approach to measure the impact of transition risk on investment portfolios. Unlike most climate stress testing models, which are designed for the banking industry and follow a top-down approach, our framework considers a bottom-up...