Technical paper/Liquidity
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.
Fast and precautious: order controls for trade execution
Algo traders propose a new optimal execution algorithm with both limit and market orders
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.
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.
Systemic risks in CCP networks
Barker, Dickinson, Lipton and Virmani propose a credit and liquidity risk model for CCPs
A map of collateral uses and flows
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.
Financial networks and bank liquidity
This papers is the first to link bank liquidity performance and core–periphery network structures.
The role of collateral in supporting liquidity
This paper focuses on the use of high-quality assets for collateral purposes.
Risk management for whales
Rama Cont and Lakshithe Wagalath introduce a liquidation-adjusted VAR
Identification of over and under provision of liquidity in real-time payment systems
The authors study the issue of liquidity provision in the context of payment systems where participating banks have flexibility on the timing of their outgoing payments during the settlement day.
Commodity premia: It’s all about risk control
Strategies based on commodity risk premia can be rewarding – but beware common pitfalls
Liquidity stress testing: a model for a portfolio of credit lines
This paper demonstrates how cash outflows due to credit lines can be modeled in a liquidity stress test.
An analytical value-at-risk approach for a credit portfolio with liquidity horizon and portfolio rebalancing
The authors provide a two-period analytical value-at-risk approach for credit portfolios with a liquidity horizon and a constant level of risk.
Cutting edge introduction: Hidden models for hidden costs
NYU quants use Bayesian techniques to sequence trades, considering trading costs and multiple assets
Quant ideas: Liquidity in commodity risk management
Liquidity plays a vastly underappreciated role in commodity markets
Faster payments in Denmark
A number of countries are introducing faster settlement of retail payments due to increasing consumer demand.
Analysis of the use and impact of limits
In this paper, we analyze the use and impact of limits in TARGET2. Limits in the form of bilateral or multilateral debit limits are a liquidity management feature in TARGET2.
Regulatory costs break risk neutrality
Regulations impose idiosyncratic capital and funding costs for holding derivatives. Idiosyncratic costs mean that no single measure makes derivatives martingales for all market participants. Chris Kenyon and Andrew Green demonstrate that regulatory…
Cutting Edge introduction: The trouble with algorithmic execution
New set-up allows fast, tractable optimisation of trade execution, without neglecting downside risk