Ex-Goldman partner says size, crowding and equity risk are bad for quant funds
A side-effect of tough bank capital rules could be the rise of dark pools for credit trading
Hedging threatened by treatment of liquidity and diversification, critics claim
This white paper looks at the heavy impact of regulation on investment managers, the mitigation of outsourcing risk, inefficiencies in corporate actions processing and the growing importance of collateral management.
More Liquidity risk articles
Evaporation of liquidity on January 15 caught traders by surprise
Risk Awards 2015: Software is like Facebook for bond traders - but useful
Risk Awards 2015: Credit fund profited from October meltdown
The December issue of The Journal of Risk Model Validation consists of one backtesting paper and three papers on value-at-risk. There are a number of subthemes that involve at least two of the papers:...
Value-at-risk (VaR) is a common tool applied by market makers to monitor the risk of any trading position. The conventional VaR model assumes a frictionless market, which is seldom the case. The 2008 financial...
We present the results of a business solution on how to measure credit and counterparty risk, with the main focus on over-the-counter derivatives. Moreover, we use this approach to include the measurement...
Liquidity provision in energy derivatives is not Vitol's role, says Taylor
Be open about liability illiquidity, urge panellists
Concerns raised about liquidity in stressed environments
New proposals are positive, but banks warn they will still fall short of the ratio's minimum
Interest rate derivatives house of the year: Goldman Sachs
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.