Quantitative Research Paper
LASH Risk
Summary
We are pleased to present a joint project between our Quantitative Research and Macro Research teams aimed at better understanding LASH risk.
LASH risk (Liquidity After Solvency Hedging) arises when non-bank financial institutions, such as pension funds and insurers, hedge long-term liabilities using derivatives and, in doing so, unintentionally create short-term liquidity fragility. When interest rates fall, institutions increase hedging to protect solvency. However, when rates subsequently rise sharply, those same hedges can trigger margin calls, forcing asset sales even though funding positions may appear stronger.
Our framework aims to clarify why prolonged low-rate environments can build up latent liquidity vulnerabilities that materialize during periods of rapid rate increases.
Authors
- Ianina TarcaHead of Quantitative Research
- Elena Sofia BrogginiQuantitative Research Analyst
- Luca BusettiQuantitative Research Analyst
- Pablo PanizzaQuantitative Research Analyst
- Adam LugossyMacro Research Analyst
- Alessandro PaganMacro Research Analyst
- Ludovico MonacelliMacro Research Analyst
Details
- Published
- 28 February 2026
- Division
- Quantitative Research
- Type
- Quantitative Research Paper
- Pages
- 17
- Authors
- 7
Cite this report
Minerva Investment Management Society (2026). LASH Risk. Quantitative Research. https://minervaims.org/archive/lash-risk-2026
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