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11 Apr 2019 — Bank Underground Feed

Giulio Malberti and Thom Adcock

In late 2017, Bitcoin was in the spotlight for its extraordinary return. But how volatile is it?

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16 May 2014 — Bill Hodgson

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.

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10 Apr 2014 — Bill Hodgson

Key organisations within the UK provide components of the Financial Market Infrastructure, which the Bank of England must supervise.

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10 Mar 2014 — Jon Skinner

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?

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31 Oct 2013 — Ben Larah

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:

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25 Mar 2013 — Bill Hodgson

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.

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