My company is looking to launch a new long only global equity fund. The product committee wishes to see a risk analysis covering various risks, including liquidity. The main measure is time to liquidate (i.e. how long will it take to sell this portfolio).
For normal market conditions it is straightforward: I look at average volume for each ISIN, assume a participation rate somewhere between 10% and 20% and I get my metric.
However how do you stress this metric to get a time to liquidate in fire sales conditions? Should I assume that the participation rate will be significantly lower? if yes by how much and why?