Bloomberg Launches Liquidity Assessment Tool for Bond Liquidity Risk

New tool powered by machine learning to tackle ongoing bond liquidity issues through a quantitative approach.

vigano-ilaria-0007
Ilaria Vigano, head of the regulatory and accounting products group at Bloomberg.

The LQA tool, which was developed over a six-year period and is the first system of its kind to use machine learning, according to Bloomberg, is aimed at providing bond risk managers, portfolio managers, traders, and compliance officers a quantitative, consistent approach to liquidity risk through a standard definition of liquidity and expected cost of liquidation for a specific volume of securities at desired time horizons.

Bloomberg LQA utilizes machine-learning techniques, including cluster analytics for the identification and leverage of transaction data for comparable securities, designed to tackle the opaque nature of fixed-income trading and liquidity risk measurement.

"Assessing liquidity risk is an essential business process for both buy-side and sell-side institutions because they need to assess the cost of capital for any asset they want to hold in their portfolio or on their balance sheet," says Ilaria Vigano, head of the regulatory and accounting products group at Bloomberg. "Bloomberg LQA provides a consistent data-driven approach to measuring liquidity that helps our clients make more informed investment decisions, as well as simplify their regulatory reporting and risk management processes."

WatersTechnology US editor Anthony Malakian looked at machine learning in his March feature. You can read more about it here

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@waterstechnology.com or view our subscription options here: http://subscriptions.waterstechnology.com/subscribe

You are currently unable to copy this content. Please contact info@waterstechnology.com to find out more.

Waters Wrap: The tough climb for startups

Anthony speaks with two seasoned technologists to better understand why startups have such a tough time getting banks and asset managers to sign on the dotted line.

You need to sign in to use this feature. If you don’t have a WatersTechnology account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here