Understanding the liquidity premium

craigturnbull-b-hibbert

The liquidity premium, the concept that illiquid assets have lower prices than their equivalent liquid ones, has recently emerged from relative obscurity to become a major issue for European insurance, both in market-consistent embedded value (MCEV) reporting and the proposed Solvency II directive. Research on this topic has focused on how to observe the level of liquidity premium embedded in the market prices of assets such as corporate bonds. Less work has been done on how to apply these

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: