Hard-to-value holdings down sharply over the past six years, but pandemic threw spanner in the works at some banks
This paper employs a PDE approach to price several volatility derivatives under different transaction costs and illiquidity models.
What drives the January seasonality in the illiquidity premium? Evidence from international stock markets
This study is, to the best of the authors’ knowledge, the first attempt to comprehensively examine and explain the January effect in the illiquidity premium.
Technologists working to automate indications of interest from trading desks
Mifid transparency mishmash misses key aspects of US system it emulates, say dealers
Falling yields prompt review of 6% conversion factor for delivery-eligible bonds
March’s volatility forces dealers to fine-tune hedging strategies
BNP Paribas set aside €532 million alone in H1
A big jump in trade fails is adding to doubts about the EU’s settlement discipline regime
Net purchases of equity hit €18.2 billion
At a recent roundtable in Tokyo, banks and regulators discussed progress on credit valuation adjustment (CVA). While, in many respects, the work towards implementing best practices in the country is on track, challenges remain in resourcing and…
$200-billion quant firm joins those plugging new take on strategy that’s struggled
Banks and lobbyists call on EC to remove emerging market bonds from real-time transparency
Is book depth a sufficiently representative measure of market liquidity? A look at trade matching performance under different market volatility environments
New fund targets commodities others are “scared” to trade – from asphalt to glass panels
Craig Niven, managing director, cash equity execution at Societe Generale Prime Services explores how a five‑month study allowed the organisation to develop a market impact model using historical data, and why it is key for clients in the long term to…
Dearth of liquid products and historic data threatens banks with capital hit under new market risk rules
Asset managers want more time to get illiquid assets within regulatory limits during market upheaval
This paper analyzes the risk premium in the base-load monthly futures contracts traded on the Iberian electricity market (MIBEL) between July 1, 2006 and March 31, 2017.
Dynamic VA may be used for assets that fail to qualify for matching adjustment, say experts
Trax estimates 5% of corporate bonds will be subject to full transparency after four-year phase-in
Nordic banks to use protocol to benefit from longer deferral period
Dealers welcome EBA proposals but say limited number of eligible counterparties means few benefits