Liquidity Risk - Relevance to Actuaries [22]

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Bullet points include: Spread at long end between gilt yields and OIS rates rose rapidly during late 2008. And seemed strongly linked to rise in market implied risk of sovereign default. For UK as well as some other western nations. Comparison between UK Government Bond (Gilt) spread over GBP OIS swap rate (Sonia) and CDS rate on UK sovereign risk (to 5 December 2008)

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