Knowledge Base

Which quantitative indicators are used to identify liquidity risk on equities?

Average daily trading volume and bid-ask spread

Share price and market capitalisation

Yield rate and holding period

Cash flows and liquidity ratio

What is the minimum frequency recommended by ESMA for conducting liquidity stress tests?

Annually

Quarterly

Monthly

Semi-annually

What is the maximum weighted average life (WAL) for short-term money market funds under the MMF Regulation 2017/1131?

6 months

120 days

18 months

365 days

The AMF's May 2021 review highlights the importance of a passive approach towards unitholders during liquidity stress.

True

False

Categorize items by dragging them to the appropriate zones

Items to categorize:

Reduction in market liquidity

Abnormal redemption requests

Combination of both scenarios

Categories:

Asset-side stress

Liability-side stress

Combined stress

Liquidity stress tests only need to be conducted on an ad hoc basis when a material risk is identified.

True

False

Liquidity risk according to the AMF

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According to Article 321-76 of the AMF General Regulation, what is the risk associated with asset liquidity?

The risk that the asset cannot be sold quickly at a reasonable price

The risk that the asset loses value over the long term

The risk that the asset is subject to high volatility

The risk that the asset does not generate sufficient income