  This article is part of a comprehensive research project on liquidity risk in
asset management, which can be divided into three dimensions. The first
dimension covers liability liquidity risk (or funding liquidity) modeling, the
second dimension focuses on asset liquidity risk (or market liquidity)
modeling, and the third dimension considers asset-liability liquidity risk
management (or asset-liability matching). The purpose of this research is to
propose a methodological and practical framework in order to perform liquidity
stress testing programs, which comply with regulatory guidelines (ESMA, 2019)
and are useful for fund managers. The review of the academic literature and
professional research studies shows that there is a lack of standardized and
analytical models. The aim of this research project is then to fill the gap
with the goal to develop mathematical and statistical approaches, and provide
appropriate answers.
  In this first part that focuses on liability liquidity risk modeling, we
propose several statistical models for estimating redemption shocks. The
historical approach must be complemented by an analytical approach based on
zero-inflated models if we want to understand the true parameters that
influence the redemption shocks. Moreover, we must also distinguish aggregate
population models and individual-based models if we want to develop behavioral
approaches. Once these different statistical models are calibrated, the second
big issue is the risk measure to assess normal and stressed redemption shocks.
Finally, the last issue is to develop a factor model that can translate stress
scenarios on market risk factors into stress scenarios on fund liabilities.
