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2 results

  • 13 - Liquidity Risk

  • Mary R. Hardy, University of Waterloo, Ontario, David Saunders, University of Waterloo, Ontario
  • Book:
    Quantitative Enterprise Risk Management
    Published online:
    28 July 2022
    Print publication:
    05 May 2022, pp 368-390

  • Summary

    In this chapter, we distinguish funding liquidity from market liquidity, and idiosyncratic liquidity from systemic liquidity. We discuss the nature of highly liquid assets, and methods by which a firm might acquire liquid assets to cover short-term cash flow problems, either in normal operations, or in more extreme crises. As liquidity risk is a problem of cash flow management, we explain how cash flow scenario tests can be used to identify and mitigate risks. We describe liquidity adjusted risk measures used in banking. Finally, we describe how firms might create emergency plans for managing extreme and unexpected liquidity shocks.

  • Applying Survival Models to Pensioner Mortality Data

  • S. J. Richards
  • Journal:
    British Actuarial Journal / Volume 14 / Issue 2 / 01 July 2008
    Published online by Cambridge University Press:
    10 June 2011, pp. 257-303

  • Data from insurance portfolios and pension schemes lend themselves particularly well to the application of survival models. In addition to the traditional actuarial risk-rating factors of age, gender and policy size, we find that using geodemographic models based on postcode provides a major boost in explaining risk variation. Geodemographic models can be better than models based on pension size in explaining socio-economic variation, but a model using both is usually better still. Models acknowledging heterogeneity tend to fit better than models which do not. Finally, bootstrapping techniques can be used to test the financial applicability of a model, while weighting the model fit can be used to address concentration risk.