Liquidity
Trading lightly: cross-impact and optimal portfolio execution
A liquidity model for basket of correlated securities is presented
Asian privacy laws obstruct FRTB data pooling efforts
Bank scepticism and regulatory hurdles likely to inhibit cross-border information sharing
US dealers wade into European CCP relocation debate
CFTC hearing warns of increased margining costs and a pre-Brexit client onboarding crunch
SEC liquidity rules may trigger forced sales, funds warn
Investors may be forced to sell illiquid assets in a crisis to avoid compliance breaches
DTCC’s $74 billion liquidity charge riles members
Some firms may stop clearing US Treasury trades if the CCLF is implemented
The changing face of European interest rate swaps trading
Sponsored webinar: Tradeweb
Interview: Can Matthew Chamberlain rescue the LME?
London Metal Exchange CEO identifies problems, awaits contract and fee structure revamp feedback
World Bank bets on compression for EM currencies
NY-based start-up LMRKTS gets backing to support illiquid markets
FSB asks whether CCPs could become shock-transmitters
Isda AGM: New analysis – due next month – looks at clearing network risks
Swaps market’s health seen as resting on sickly repo
Isda AGM: Panellists warn repo market is risky way to fund swaps margin
Derivatives house of the year: Citi
Energy Risk Awards 2017: Citi's multi-year strategy continues to pay off
Non-banks eye EGBs as primary dealers retreat
Primary dealers warn of further exits as principal trading firms wait in the wings
New data reveals liquidity gaps in EU bond markets
Liquidity in German, Italian and UK bonds has suffered over past three years
Liquidity risk management implementation for selected Islamic banks in Pakistan
The purpose of this particular study is to determine if any liquidity risk exists in the Islamic banks of Pakistan and, if it does, what effect it has on the resilience of the industry in that country.
Madness in the method: Basel grapples with G-Sib riskometer
Some experts warn the methodology to identify systemic banks could increase systemic risks
Blockchain smart contracts raise systemic risk concerns
Automated swaps margin payments could exacerbate systemic risks, regulators warn
Fast and precautious: order controls for trade execution
Algo traders propose a new optimal execution algorithm with both limit and market orders
Fed funds-linked swaps outstrip Libor for first time
Banks point to money market reform, Libor changes and Fed expectations as catalyst
Quants turn to machine learning to model market impact
JP Morgan, Bloomberg and Portware among those applying AI to long-standing problem
Ice rule change will see members post more cash
Changes pinned on CCP’s lack of access to Fed deposit account
Index rule change could test bond market liquidity
More than 1,000 bonds will be removed from the Barclays US Agg on April 1
US lawmakers divided over Volcker rule’s impact on bond liquidity
Both sides cite Fed data to support their interpretations of prop trading ban
Audio webinar: The state of intraday power trading in Europe
Sponsored webinar: FIS
A network model for central counterparty liquidity risk stress testing under incomplete information
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.