Barrie & Hibbert Publishes Second Liquidity Premium Research Report
Last updated 10th November 2009 - Barrie & Hibbert have released a new research report summarising the main methods for estimating liquidity premium.
This report is concerned with the estimation of liquidity premia embedded in the prices of financial instruments. Our focus is on estimation methods and understanding their practical challenges and sensitivities. The existence, magnitude and measurably of liquidity premia remain the subject of a lively debate among practitioners, accountants, actuaries and regulators. The outcome of the debate will have an impact on the future price of certain financial products and, arguably, the cost of finance for firms using the capital markets.
To read the research report, click the download link below:
Summary of Liquidity Premium Estimation Methods
For more information about Solvency II, visit our dedicated Preparing for Solvency II page.