Liquidity
Quant Ideas: market-making, risk and information in commodities
High volatility and noisy data sets have profound implications on risk management in commodity markets
Swing pricing requires changes to '40 Act regime – asset managers
US mutual fund processes need upgrading for SEC proposals to be viable, say asset managers
Leading the way in the risk management (r)evolution
Sponsored feature: Prometeia
Few commodity traders saw improved liquidity in 2015 – poll
Three-quarters say OTC liquidity held steady or fell last year, while 25% saw gains
Bond fears prompt RBI caution on liquidity ratio reform
Moving away quickly from a dual liquidity regime could be "self defeating", says regulator
FSB's predecessor 'failed miserably' ahead of crisis – Andresen
Secretary general says FSF failed to act on known risks surrounding resolution and securitisations
Interview: Zar Amrolia on liquidity provision
Former co-head of Ficc at Deutsche Bank believes non-banks will become essential source of liquidity for banks
Best diversified FoHF over $500m: Axa All Weather
Axa avoids big hedge funds that leave footprints in illiquid markets
Best overall group: Edmond de Rothschild Capital Holdings
Liquidity crisis growing likely in credit funds, says CEO Rick Sopher
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.
Asset managers urge SEC to adopt swing pricing
Rule change could help funds navigate illiquid markets, asset managers claim
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.
For a few dollars more: Japan banks tackle dollar/yen basis jump
Soaring cross-currency swap prices force dollar funding rethink
Insurers grabbing 'structural premiums' as banks step back
Firms benefiting from 'relatively favourable' regulation
ECB flags threat of ‘abrupt reversal’ in risk premia
Latest review identifies two ‘medium-level systemic risks’ to eurozone
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.
Esma's Maijoor welcomes calls for broader buy-side stress tests
Panellists at Bank of England forum urge asset managers to take more open approach
All-to-all liquidity 'is not the panacea' – FIA panel
New trading venues seen as an alternative to dealer liquidity in OTC markets
Thin liquidity makes human touch vital – credit buy-siders
Reliance on e-trading risks being 'left out in the cold' when markets dry up
Bank business models changing due to Basel III, says EY
Half of G-Sifis face demands to change business mix or deleverage, survey finds
Banks underwhelmed by post-trade disclosure relief for packages
Mifid II RTS stop short of easing pre-trade transparency requirements
Pension funds press for central bank repo backstop
Bank of England support seen as 'only' option to ease collateral fears