WHAT IS THIS? In the context of traded instruments, liquidity risk is the danger that a market participant may not be able to execute a given size of trade over a given time period without affecting the market price. The term is also applied to situations in which a firm is unable to honour a liability, such as a margin call, redemption request or withdrawal of deposits.
Industry groups say monitoring tools are six months from ready
Dodd-Frank leaves legal uncertainty, but proposed alternatives could be even worse
Cashflow mismatch risk framework aims to plug holes in Basel Committee's liquidity coverage ratio
Paper finds increasing number of liquidity providers in aggregated environment can harm execution quality
This paper discusses the different approaches to incorporating market liquidity risk within a CCP’s default waterfall and the challenges that these approaches pose.
Investors may be forced to sell illiquid assets in a crisis to avoid compliance breaches
Isda AGM: New analysis – due next month – looks at clearing network risks
Isda AGM: Panellists warn repo market is risky way to fund swaps margin
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.
Some experts warn the methodology to identify systemic banks could increase systemic risks
Banks point to money market reform, Libor changes and Fed expectations as catalyst
Changes pinned on CCP’s lack of access to Fed deposit account
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.
Bank framework has “contaminated” policy for CCPs, says Chicago Fed’s Steigerwald
Liquidity resilience is uncertain as offshore deposit financing replaces prime money funds
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Official recognises regulatory hit to corporate bond and repo markets, but rejects Mifid delay
Draft timetable would leave some jurisdictions inaccessible to European Union firms from January 2018
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.
Three-quarters of survey respondents administering $4.4 trillion collectively get weekly illiquids enquiries from managers
A quant paper shows feedback effects can amplify CCP margin requirements in stressed markets
Barker, Dickinson, Lipton and Virmani propose a credit and liquidity risk model for CCPs
Darrell Duffie argues the rule hurts market efficiency for very safe assets
Industry moving away from outdated ways to visualise key risk