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Liquidity Risk Premium on Corporate Bonds

PhD Studentship – The initial focus of this project is on data driven methods for establishing liquidity premia

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
Industry sponsors: Partnership 
Academic supervisors:  Andrew Cairns, Alex McNeil
Outputs:

Contact Details

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.

arc@actuaries.org.uk