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Liquidity Risk - Relevance to Actuaries [38]

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Bullet points include: Bank of England (2008). Markets and operations. Bank of England Quarterly Bulletin, Q3 2008. Brunetti, C. and Caldarera, A. (2006). Asset Prices and Asset Correlations in Illiquid Markets. Computing in Economics and Finance 2006, Society for Computational Economics, Paper 331. Brunnermeier, M.K. (2009). Deciphering the 2007-08 Liquidity and Credit Crunch. Journal of Economic Perspectives, 23, No 1, pp. 77-100. FSA (2007). Discussion Paper 07/7: Review of the liquidity requirements for banks and building societies. UK Financial Services Authority. Kemp, M.H.D. (2009). Market consistency. Wileys. Webber, L. and Churm, R. (2007). Decomposing corporate bond spreads. Bank of England Quarterly Review, Q4 2007. Wilson, D.C.E (2008). (Il)liquidity Premium Estimation. Barrie & Hibbert research quoted at the UK Actuarial Profession Open Forum on Liquidity Premia in the Current Environment, 6 November 2008

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