Presented at the AQR Asset Management Institute conference, Perspectives: Systemic Risk in Asset Management held on 26 April 2017 at London Business School.

1. Systemic Risk in Asset Management
Presentation to the Perspectives Series,
London, 26 April 2017
Martin Moloney, Head of Markets Policy Division
Central Bank of Ireland - UNRESTRICTED

2. Questions
• Should we stress test asset
management?
• Does the growth of herding tell us
the market is getting more unstable?
• When is liquidity transformation in
open-ended funds too much?

3. • Liquidity Stress Tests – not capital;
• Risk mitigation assessment – not
pass/fail;
• Fund Stress Tests – not AM;
• AM.’s Capital – risk to clients/to
Market/to Firm; (EBA)
• AM’s Capital-Step-In Risk (Basle)
• Macro-’Stress Testing’?

4. • Herding stats as an indicator of
high contagion risk?
• Nuanced macro-models needed -
BoE, FSB & ESRB work on
modelling (and others);
• Can we model fear?
• System-wide contagion modelling
is a long term, iterative project.

5. • Brexit Vote: Reds: 4.1% / 8 days;
- 3 suspended 9th day, 3 later; 9 not;
- 1 reopened 14th day, 5 in Sep-Dec.
• FCA Consult: ‘Illiquid Assets and
open-ended Investment Funds’.
• Italy: 20% in real estate - closed
• Germany: 2 yr min holding+1 yr
notice (2004-05 Valuation Shock)