ECB paper sets out stress tests for investment funds
Depletion in assets under management could reach 24% for equity funds and 5% for bond funds
Close to 6% of eurozone-based equity funds and 0.5% of bond funds could go into liquidation in a scenario similar to the global financial crisis, says research published by the European Central Bank.
In Investment funds under stress, Régis Gourdel, Eduardo Maqui, Matthias Sydow study the resilience of these market participants. They present a model for stress-testing investment funds, based on a broad worldwide sample of primary open-end equity and bond funds. Their scenario and results are
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