AMA guidance coming soon, Fed economist promises
Repo and securities lending “will be the first casualties of the new Fed standards”
Paul Leder rejoins after 14-year stint in private practice
The online Certificate in Quantitative Finance program provides risk professionals with quant finance tools applicable to their roles, and now offers risk management electives. Download the CQF brochure.
More Federal Reserve articles
Fed's role jeopardised by political pressure and lobbying
The US Federal Reserve has moved to tighten the rules on physical commodity trading by banks, citing fears they might suffer huge losses as a result of an environmental disaster. How valid are such ...
Agency fails to differentiate requirements for largest banks
Under pressure from politicians, the US Federal Reserve floats proposals to tighten rules on banks in physical commodities
Professors tell a US Senate subcommittee the liquidation rules will not help and may create more difficulties
In this paper, we propose Vasicek-type models for estimating portfolio-level probability of default (PD). With these Vasicek models, asset correlation and long-run PD (LRPD) for a risk-homogeneous portfolio...
Changing hats – December 2013/January 2014
US regulatory concerns about liquidity of government securities collateral could be resolved by access to the Fed’s discount window, CCP officials say
Focus on the future
Artificially low volatility leaves firms nervous about the future – and looking for fixed-income alternatives
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.