CFA Lecture

Implementing ESMA’s liquidity stress testing requirements


ESMA Liquidity Stress Testing Guidelines, that are coming into force in Sept 2020, aim to promote convergence for stress testing of liquidity risk for UCITS and AIF funds and to reduce systemic liquidity risk through the establishment of a consistent risk monitoring framework. ESMA establishes the definition of articulated stress testing exercises that consist in evaluating the liquidity level of portfolios according to possible fund redemptions coming from investors.

During the recent market crisis we observed a sharp deterioration of market liquidity conditions that put at risk the ability of portfolio managers to match fund redemptions coming from investors.

We would like to invite you to a webinar session on 3 September 2020 where Mallikarjun Choudhary, Liquidity Risk Product Specialist at MSCI, will present MSCI's ESMA Stress Test reporting solution.