This issue focuses on Cross-border extension, systemic risk and the incorporation of the time dimension into risk assessment.
This paper analyzes how the yield of government securities may be managed in order to save costs in the face of the risk of a liquidity shock.
German bank offers more detail on plans to retreat from derivatives and bond trading
Solvency II has pushed firms to run positive duration gaps
Clients face tougher reporting rules if dealers don’t become systematic internalisers
Buy side turning to ETFs and CDSs to meet exposure targets, switching them for bonds later on
Internal liquidity aggregator helps cut credit trading costs
Central banker calls for counter-cyclical leverage ratio and scrutiny of funds’ role
LiquidityMetrics uses buy-side questionnaire to measure liquidity in data-scarce bond market
Vendor signed up 150 buy-side clients in 2015, offering them a peek at previously hidden bond flows
Firm prices saw 'real end-users' flock to Bond Port in 2015
Dealers: we're 'sitting ducks' in Treasury market overrun by HFTs
Asian nation takes another step towards renminbi liberalisation
Up to 10 new names from under-represented sectors could be added to high-yield CDX index
Move is among most significant towards renminbi liberalisation since QFII, says StanChart
Arbitrageurs have exited trades, leaving basis structurally higher
Monetary policy and regulation have amplified illiquidity, says IMF official
This issue of The Journal of Computational Finance has numerical partial differential equation discretization techniques as its central theme.
Rejigged algo behind doubling in volumes - Swiss bank aims to repeat trick in swaps
A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
Interest rate derivatives under jump-extended short-rate models have commonly been valued using lattice methods. This paper proposes a much faster and more accurate valuation method based on partial integrodifferential equations.
Interplay between rules could reshape demand for government debt
Roller-coaster year brings turmoil and opportunities