Liquidity
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.
Brexit preparations block Mifid third-country guidance
EU authorities see keeping rules vague as a way to maximise leverage in negotiations with UK
CCP resolution plans ‘on the wrong path’, says Fed adviser
Bank framework has “contaminated” policy for CCPs, says Chicago Fed’s Steigerwald
Virtu’s bid for KCG stokes liquidity fears
Deal could result in less trading and lower exchange revenues
CFTC set to flex its muscles in FSOC meetings
FSOC must study the impact of capital rules on trading liquidity, Giancarlo says
Dollar deposit mystery highlights non-US bank funding risks
Liquidity resilience is uncertain as offshore deposit financing replaces prime money funds
Risk Chartis Market Report: Buy-side risk management technology
Sponsored by OpenLink and Tradeweb
EC: regulators could adapt rules to protect bond liquidity
Official recognises regulatory hit to corporate bond and repo markets, but rejects Mifid delay
EC to miss Mifir equivalence deadline
Draft timetable would leave some jurisdictions inaccessible to European Union firms from January 2018
Debt–liquidity shock risk: intertemporal effects and probability measures
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.
Fund admin providers see strong demand for illiquid strategies
Three-quarters of survey respondents administering $4.4 trillion collectively get weekly illiquids enquiries from managers
Why liquidity risk is the silent clearing killer
A quant paper shows feedback effects can amplify CCP margin requirements in stressed markets