Liquidity Risk and its Relevance to
Actuaries
[this page | pdf]
The attached
pages contain a presentation on this topic given by Malcolm Kemp on 22 June
2009 arguing that liquidity risk is a topic highly relevant for actuaries. The
Appendix, which explores a mindset difference between use of VaR and TVaR as
risk measures is based on a talk that he gave in March 2009 to an Institute of
Actuaries forum on risk measurement alternatives to VaR.