Is there an illiquidity premium in frontier markets?

Illiquidity Premium, Market-Consistent Valuation and Solvency in Insurance

The insurance industry currently discusses to which extend they can integrate an illiquidity premium into their best estimate considerations of insurance liabilities. The present position paper studies this question from an actuarial perspective that is based on marketconsistent valuation. We conclude that mathematical theory does not allow for discounting insurance liabilities with an illiquid...

MIGA in Frontier Markets

Is There a Risk Premium in Canadian Interest Rates?

Newspaper articles and economic commentaries have ascribed the decline in interest rates in Canada in late 1995 and in 1996, virtually as a matter of demonstrated fact, to a diminishing risk premium on financial investments in Canada. They have argued that lower interest rates are an economic dividend that Canadians have rightly earned in return for swallowing the tough medicine of monetary and...

Is There a Risk Premium in Corporate Bonds?

1 Most of the models using option pricing techniques assume a zero risk premium. assume that any risk premium impounded in corporate spreads is captured by adjusting transition probabilities.

An Exploration of the Forward Premium Puzzle in Currency Markets

A standard empirical finding is that expected changes in exchange rates and interest rate differentials across countries are negatively related, implying that uncovered interest rate parity is violated in the data. This article provides new empirical evidence that suggests that violations of uncovered interest rate parity, and its economic implications, depend on the sign of the interest rate d...