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This presentation explores liquidity risk. It covers topics such as what liquidity risk is, what are its characteristics, why is it important (to both non-actuaries and actuaries) and liability liquidity risk (including material on annuity books and pooled vehicles). An appendix explores VaR versus TVaR mindsets. The presentation draws on material in the author’s books on ‘Market Consistency’ and ‘Extreme Events’.

Slides

1	Liquidity Risk and its relevance to actuaries
2	Liquidity Risk and its relevance to actuaries
3	Liquidity Risk and its relevance to actuaries
4	Liquidity Risk
5	Even by late 2007 recognised as an issue
6	As were possible contagion effects
7	Hedge funds (and other active management styles) potentially particularly exposed to such risks
8	Leverage
9	Impact that leverage can have on portfolio behaviour
10	New liquidity standards
11	Liquidity risk and actuaries
12	Liquidity risk and its relevance to actuaries
13	Liability liquidity risk
14	Not just of academic interest in stressed markets
15	Financial impact can be very substantial
16	Exactly what is liquidity? (1)
17	Exactly what is liquidity? (2)
18	Exactly what is liquidity? (3)
19	Exactly what is liquidity? (4)
20	Modelling liquidity premia on different instruments
21	Working out the 'base' risk free rate for such analyses can also be challenging in stressed conditions
22	Risk of sovereign default
23	Liquidity of pooled funds (including unit-linked funds)
24	Summary
25	Liquidity risk and its relevance to actuaries
26	Appendix: VaR versus TVaR mindsets
27	VaR versus TVaR
28	Mathematical definitions
29	VaR versus TVaR (1)
30	What are the underlying mindsets
31	VaR versus TVaR (2)
32	Shareholder vs. Policyholder vs. Regulator Perspectives (1)
33	Shareholder vs. Policyholder vs. Regulator Perspectives (2)
34	Treatment of illiquidity (1)
35	Treatment of illiquidity (2)
36	Treatment of illiquidity (3)
37	Stress testing methodologies
38	References
39	Important Information

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