Technical paper/Liquidity
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
Lois: credit and liquidity
Lois: credit and liquidity
Impact-adjusted valuation and the criticality of leverage
Impact-adjusted valuation and the criticality of leverage
Impact-adjusted valuation and the criticality of leverage
Impact-adjusted valuation and the criticality of leverage
Cutting Edge introduction: The tipping-point for leverage
Borrowing the stake for a bet is as old as the hills – and so is losing it. But how much debt is too much for a given position? A group of quants believe they know. Laurie Carver introduces this month’s technical articles
Impact-adjusted valuation and the criticality of leverage
Impact-adjusted valuation and the criticality of leverage
Risk 25: Cutting edge classics
Don’t say we didn’t warn you
Adjusting value-at-risk for market liquidity
Adjusting value-at-risk for market liquidity
Risky funding with counterparty and liquidity charges
Risky funding with counterparty and liquidity charges
Risky funding with counterparty and liquidity charges
Risky funding with counterparty and liquidity charges