Liquidity Risk - Relevance to Actuaries [33]

Go to: Summary | Previous | Next   
Bullet points include: Risk Measure. Shareholder. Policyholder. Regulator (and equivalent stakeholders). VaR. Tail VaR. Ignores LGD. Includes LGD. Includes LGD. Capital adequacy is policyholder/regulator focused. So the VaR mindset is wrong for it. Use of TVaR would redress the lack of focus on LGD within VaR

Contents | Prev | Next | Library

Desktop view | Switch to Mobile