Liquidity Risk

Liquidity Risk - Relevance to Actuaries [21]

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Bullet points include: Previous slides assumed that it was simple to work out what base such spreads should be calculated from. Actually even this is challenging. In 2008 gilt yields had moved to above corresponding swap rates, particularly overnight indexed swap rates. Different Sterling yield curves as at 24 November 2008

Bullet points include: Previous slides assumed that it was simple to work out what base such spreads should be calculated from. Actually even this is challenging. In 2008 gilt yields had moved to above corresponding swap rates, particularly overnight indexed swap rates. Different Sterling yield curves as at 24 November 2008

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