The market-consistent value of liabilities and the credit crunch

In this article, Towers Perrin principals, Ferdia Byrne and David Dullaway, discuss the liquidity premium and how it is one of the most important areas of concern for insurance firms in these uncertain times

p16-byrne-jpg

In late December, the European insurance Chief Financial Officers Forum (CFO Forum) announced a review of its Market Consistent Embedded Value Principles(c). While maintaining its commitment to market-consistent valuation, some concern has been voiced about the appropriateness of the approach in the light of turmoil on financial markets. The CFO Forum will undertake a review of specific issues, and has included the effect of the 'liquidity premium' as an area requiring further work. What do we

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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Credit risk & modelling – Special report 2021

This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.

The wild world of credit models

The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…

Most read articles loading...

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