The level of intraday liquidity needed for settlement varies according to settlement methods. This paper analyzes the effects of the shift from deferred net settlement to real-time gross settlement (RTGS)...
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.
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Bilateral CVA of optional early termination clauses
The collateral currency convexity conundrum
Venturing beyond historical VAR
Defined benefit pension strategy with stochastic volatility
We quantify the optionality in US natural gas storage leases under a model of optimal storage management. The model utilizes a two-factor tree in which both factors mean-revert; it calibrates to current...
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.