The authors put forth a realistic network model that maximizes the use of data available to a CCP in order to simulate credit default contagion.
Bank framework has “contaminated” policy for CCPs, says Chicago Fed’s Steigerwald
Liquidity resilience is uncertain as offshore deposit financing replaces prime money funds
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Official recognises regulatory hit to corporate bond and repo markets, but rejects Mifid delay
Draft timetable would leave some jurisdictions inaccessible to European Union firms from January 2018
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.
Three-quarters of survey respondents administering $4.4 trillion collectively get weekly illiquids enquiries from managers
A quant paper shows feedback effects can amplify CCP margin requirements in stressed markets
Barker, Dickinson, Lipton and Virmani propose a credit and liquidity risk model for CCPs
Darrell Duffie argues the rule hurts market efficiency for very safe assets
Industry moving away from outdated ways to visualise key risk
ETF volumes jumped after US election, while bond volumes remained constant
Cyclical lull conceals structural shift as liquidity becomes shorter-dated and more flighty
Unequal margining requirements may be a turn-off for local counterparties
Agency to publish report on regulation and market liquidity in May 2017
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Risk USA: funds that have grown too big for their strategies could be exposed
Regulators and industry clash over interpretation of Mifid II market-making rules at industry event
Industry says revised measures could be gamed
This paper provides insights into the increased demand for collateral, the reduced capacity for banks to act as collateral intermediaries and examples of risks and vulnerabilities in collateral flows.
Brexit margin calls show swaps CCPs are relying on funding strength of a handful of banks