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Liquidity Risk - Relevance to Actuaries [2]

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Bullet points include: Liquidity risk. What is it, what are its characteristics and why is it important? To both non-actuaries and actuaries. Liability liquidity risk. Annuities. Pooled vehicles. Appendix: VaR versus TVaR mindsets. N.B. Presentation based on work carried out partly whilst writing "Market Consistency" (Wileys, 2009) and "Extreme Events" (forthcoming) and partly whilst developing the www.nematrian.com website (in progress). Appendix based on talk given to Institute of Actuaries Value-at-Risk Open Forum, March 2009

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