Liquidity
Volcker rule didn't dry corporate bond liquidity, research says
When banks closed prop desks, market liquidity improved, academics claim
Non-banks push direct liquidity streams in US Treasuries
Dealers could save millions in broker fees and transaction costs, non-banks claim
Random drawing might fill gaps in liquidity risk data
HypoVereinsbank risk controller proposes bootstrapped approach to liquidity stress testing
Looser capital won’t ease bond liquidity – SNB’s Rime
Central banker calls for counter-cyclical leverage ratio and scrutiny of funds’ role
Bank market-making is more limited, but also more robust
Liquidity is a concern, but lower capital requirements are not the answer, writes SNB's Rime
FSB’s Andresen: liquidity risks were underpriced pre-crisis
Top staffer at FSB addresses liquidity, bank risk data and securities financing risks in a wide-ranging interview
Asset manager of the year: Vanguard
Funds giant embraces non-bank liquidity and fungible derivatives
Lifetime achievement award: Bennett W Golub
CRO and founding partner has helped grow – and guard – BlackRock for almost three decades
Market risk technology product of the year (buy side): MSCI
LiquidityMetrics uses buy-side questionnaire to measure liquidity in data-scarce bond market
Trading technology product of the year (buy side): Algomi
Vendor signed up 150 buy-side clients in 2015, offering them a peek at previously hidden bond flows
Liquidity stress test regime needs attention, say central bankers
DNB experts recommend improved market-wide and bank-specific liquidity stress tests
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.