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Joined: July 31st, 2017, 6:08 pm

Liquidity risk for OTC Instruments

February 2nd, 2018, 8:34 pm

hello all,

i'm trying to find or develop a model that can calculate the liquidity risk for otc instruments, but I can't find much models on the internet. Can anyone that already worked with this help me or advise me with some article or paper?
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Joined: February 26th, 2010, 11:32 pm

Re: Liquidity risk for OTC Instruments

February 15th, 2018, 12:41 pm

It's a long time since I looked at any of this stuff.  For equities I used to look at our holdings as a multiple of average daily volume.  For bonds I used to look at the average credit spread for a rating / maturity bucket.  I'd also look at our holding as a % of the bonds in issue. 

DTCC ( ... ic-reports) and CFTC ( ... /index.htm) have some info on swap volumes traded, and open positions.  You can probably come up with some metric based on these.
Here's an old article that looked at this data: ... p-volumes/
Hope that helps somewhat.
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Joined: April 23rd, 2005, 3:32 pm

Re: Liquidity risk for OTC Instruments

May 22nd, 2023, 2:34 am

hello, old thread but have spent some time looking at DTCC data recently and came across this post. There are a few methods ppl are using now to estimate liquidity risk and bid offer spreads from trade data, just wondering if anyone has come across good papers on this or are already using dtcc data in this way? imagine that it might be useful for valuations, mifid, frtb potentially