Regulations impose idiosyncratic capital and funding costs for holding derivatives. Idiosyncratic costs mean that no single measure makes derivatives martingales for all market participants. Chris K...
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Interest rate derivatives house of the year: Goldman Sachs
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It’s no surprise to find that Société Générale Corporate & Investment Banking (SG CIB) was involved in a large, long-dated equity repo transaction with a US bank last year. What is more surprising...
Liquidity hedge plan was shelved after Risk article generated criticism. Now it's back, but as an exchange-traded fund
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The FVA debate continues
The recent financial crisis has shown that liquidity risk is far more important and intricate than regulators had previously acknowledged. The shift from bank-based to market-based financial systems and...
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.