Liquidity Risk
105 white papers and resources
Liquidity Risk
The ECB Liquidity Stress Test 2019 - A comprehensive review of the exercise
This white paper gives an overview of the methodology and drivers behind the supervisory stress test of 2019.
Market Response to Recent FOMC Rate Decisions - How Markets Behave Before & After Fed Rates Decisions
This white paper provides a review of how markets behave before and after Fed rate decisions and explores the impact of Fed rate decisions to market pricing.
OTC FX & FX Futures, Linked
This white paper describes the mechanism, with three use cases, for using CME FX Link – the first ever electronic spread between OTC FX and FX Futures.
The Path from GRC to Integrated Risk Management
This white paper maps out the path from a pre-digital, compliance-driven risk management strategy to an adaptable, integrated approach that can keep pace with the fast-changing digital world.
Liquidity Insights – October 2018 Employment Numbers
This white paper explores the impact of the October U.S. employment data release throughout the E-mini S&P 500 futures session, as traders worked to digest the report and understand portfolio implications.
The 5 Top-of-Mind Issues Dominating the LIBOR Transition
With little reason to think the transition to alternative reference rates will be a straightforward process, this white paper addresses the 5 top-of-mind issues dominating the Libor transition.
Risk sharing and risk reduction in the Euro Area banking sector - Progress and next steps
This white paper gives the most up-to-date overview of the European authorities Banking Union. It further examines how much risk reduction has already been achieved as well as the issue of illiquid assets.
The fair value of defaultable bonds and bank loans - a practitioners’ guide
This white paper deals with the pricing of defaultable assets, whether corporate bonds or bank loans, in terms of theoretical and practical issues alike.
Prometeia's Insights: The 2018 EBA/ECB stress test
This white paper examines the European Banking Authorities (EBA) and European Systematic Risk Boards (ESRB) release of macroeconomic scenarios for EU-wide stress testing. It further explores a possible approach to manage the sensitivities of risk parameters to these given scenarios.
The Changing Landscape for Credit Risk Management: From silos to convergence with enterprise risk
This white paper explores how the new regulatory and accounting rules are driving convergence with enterprise risk. Further explore the paper to examine the implications that this will have on credit risk modelling.