The Bank of England have published a study into the way IM models work when reacting to stressed market conditions, comparing models such as VaR, Historic Simular VaR and HSVaR with an Exponentially Weighted Moving Average (EWMA) filter.
Key organisations within the UK provide components of the Financial Market Infrastructure, which the Bank of England must supervise.
IFR produced another article bemoaning the liquidity problems in the secondary credit bond market. An illustrative statistic is bank inventory: 2007 US$235bn; now "a mere" US$37bn. Aside from the day-to-day market liquidity challenge, have regulatory capital rules indirectly created a significant increase in buy side liquidity risk?
It was announced today that a temporary network of bilateral liquidity swap lines between six central banks will be made into a standing arrangement "until further notice". The six central banks are listed below, with links to the press releases on their websites:
A paper explaining how CCPs allocate losses to members in a default. Financial Stability Report | Financial Stability Paper No 20: Central counterparty loss-allocation rules.
Interesting paper on how a CCP achieves protection. Financial Stability Report | Financial Stability Paper No 19: Central counterparties and their financial resources – a numerical approach.
The FT got to it quicker than me - the Bank of England has published their 2012 review of Payment Systems, including those of CCPs in the UK. The report mentions an IT failure at LCH, see box below. I've not had time to read the whole report yet, if you spot anything interesting, let me know. The BoE report can be downloaded direct here psor2012 of from the BoE website here, link to the FT story below.