The project will involve considerable time discussing what data might be available from corporate sponsor, Partnership’s data providers and contacts in the investment business.
This data will include both a wide variety of explanatory variables, and response variables. Response variables might be either explicit statistics such as bid-offer spreads, tick-by-tick buying and selling prices (with volume traded) or implicit statistics that are believed to be good proxies for representing the liquidity of a bond.
The project will also enable the development of new structural models extending, for example, that of Leland and Toft and which might include explicit allowance for a liquidity premium.
|ARC research project:||Liquidity Risk Premium on Corporate Bonds|
|ARC scholar:||Paul van Loon|
|University:||Heriot Watt University|
|Period of research:||September 2012 – January 2017|
|Academic supervisors:||Andrew Cairns, Alex McNeil|
If you have any questions or wish to discuss any aspect of research carried out through the Actuarial Research Centre (ARC), please contact the Research and Knowledge Team.
Filter or search events
Louise Pryor, IFoA President, will chair this free-to-view session, in which Alex Darsley, TPR, Actuarial Regulatory Policy, will be discussing the regulator’s Climate Change Guidance Consultation, which is seeking views on new guidance designed to help trustees meet tougher standards of governance in relation to climate change ri
This session will examine the megatrends and themes driving the Future of Work across the Financial Services industry, and how Covid-19 has accelerated new future work priorities with a particular focus on hybrid work and leadership mindset and capabilities.
Internal audit is often the Cinderella of the audit world. It’s a regulatory requirement for insurance companies to have an internal audit function, so why not make it as useful as possible? This session will look at how to link an internal audit plan to the risk register, and how that helps audit committees and boards to spot problems and fix them.
Climate change is one of the greatest risks facing our world today. Addressing it will require multi-faceted solutions. Through this panel session, we will explore the different levers that can be used to meet net-zero targets including climate science and data, government engagement, and mobilising green finance.