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Diana Knipl
Senior Associate, Risk Management and Liquidity Core Research
Diana specializes in liquidity risk and other aspects of risk management. Prior to MSCI, she worked as a researcher in applied mathematics at the Hungarian Academy of Sciences and UCL. Diana earned a doctorate in mathematics at the University of Szeged.
Research and Insights
Articles by Diana Knipl
Liquidity risk under stress: Beyond bid-ask spreads
Blog | Aug 7, 2019 | Diana KniplRisk managers at investment funds are more and more focused on liquidity risk, as regulators have recently issued guidance that increases demands for liquidity stress testing. Although markets are currently considered fairly calm, the 2008 financial crisis showed how liquidity can deteriorate quickly under stressed conditions, resulting in widened bid-ask spreads. But by focusing solely on the change in bid-ask spreads, could investors underestimate their liquidity risk? The...