Liquidity Risk

Liquidity Risk - Relevance to Actuaries [33]

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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

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

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