Presented by
Mikhail Bezroukov, Analytics Product Specialist
Yield Book Analytics Webinar – what’s new for the liquidity ratio metrics?
About this talk
The Yield Book is offering a new Liquidity Ratio metric that is able to incorporate both traded price and volume informationm, as well as adjust for yield curve and sector-wide movements. The suite of liquidity metrics is calculated daily and made available through multiple delivery channels, including the Yield Book, Add-In, and API for USD-denominated bonds. Historical data is available for a 5-year period, which allows backfill of significant datasets to create an internal golden source for liquidity calculation as well as backtest historical portfolio liquidity.The webinar will take a closer look at liquidity metrics and transaction-level approaches to liquidity ratio analytics within fixed income markets.
The Webinar will cover:
- The measure produces intuitive results allowing for comparison across bonds and market
- Scalable measure that can be extended to global fixed income markets, beginning with coverage of the US corporate bond universe
- Innovative approaches to infer a liquidity score for bonds that do not have observed trades
Our live webinar will be hosted by Mikhail Bezroukov, Analytics Product Specialist.
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