Liquidity Premium
Understanding and measuring liquidity premia in asset markets
Posted on 17-12-2009 by Axel Kirchner | 0 comments
Earlier this month, leading academics and practitioners convened in London to discuss the latest thinking on liquidity premia: both its very existence and whether it can be reliably measured formed the focus for eager debate, with Yakov Amihud of the Stern Business School, NYU expressing amazement that its existence continues to be doubted. He has been studying liquidity premia since 1986 and…
Read More »
Mark-to-market for assets of banks and insureres. Market-consistent valuation for insurance liabilities.
Posted on 28-05-2009 by Craig Turnbull | 0 comments
There has been considerable debate in recent weeks around the mark-to-market valuation of credit-risky assets, and in particular whether differentiation can be made between credit losses and liquidity / risk premium losses (i.e. temporary impairments in the jargon), and if these should be treated differently in accounting valuation (i.e. the effect of temporary impairments can be removed from valuations).
…Read More »
