Illiquid
AQR takes step into exotic trend following
$200-billion quant firm joins those plugging new take on strategy that’s struggled
Mifid transparency regime snares illiquid bonds
Banks and lobbyists call on EC to remove emerging market bonds from real-time transparency
Alternative Liquidity Measures
Is book depth a sufficiently representative measure of market liquidity? A look at trade matching performance under different market volatility environments
From trend follower to trailblazer
New fund targets commodities others are “scared” to trade – from asphalt to glass panels
Trading costs versus arrival price – An intuitive and comprehensive methodology
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…
Libor reform threatens risk modelling under FRTB
Dearth of liquid products and historic data threatens banks with capital hit under new market risk rules
Funds take action to avoid fire sales under new SEC liquidity rule
Asset managers want more time to get illiquid assets within regulatory limits during market upheaval
The Iberian electricity market: analysis of the risk premium in an illiquid market
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.
BoE creates volatility adjustment ‘stepping stone’ for insurers
Dynamic VA may be used for assets that fail to qualify for matching adjustment, say experts
Only 1% of bonds caught in first wave of Mifid transparency
Trax estimates 5% of corporate bonds will be subject to full transparency after four-year phase-in
MTF bilateral trading protocol offers Mifid arbitrage
Nordic banks to use protocol to benefit from longer deferral period
Banks say Europe’s CVA proxy-spread plans lack flexibility
Dealers welcome EBA proposals but say limited number of eligible counterparties means few benefits
Sunk by correlation
Equity Derivatives