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Liquidity Risk - Relevance to Actuaries [19]

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Bullet points include: Various attempts to model impact of liquidity risk on prices. Impact seems to depend on type of liquidity definition researchers are adopting. Effects linked to markets shutting down, as opposed to merely bid-offer spreads widening, appear to have the potential to have very significant influence on price formation. And on what are the optimal amounts of liquid versus illiquid assets that such market participants should hold

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