Investors may be forced to sell illiquid assets in a crisis to avoid compliance breaches
By Kuntal Sur and Kaustav Bhattacharjee
By Stefania A Perrucci
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Industry moving away from outdated ways to visualise key risk
ETF volumes jumped after US election, while bond volumes remained constant
Cyclical lull conceals structural shift as liquidity becomes shorter-dated and more flighty
Unequal margining requirements may be a turn-off for local counterparties