Second year Actuarial PhD student Paul van Loon was awarded a best paper prize at the International Congress of Actuaries (ICA) in Washington, USA.
Paul's paper entitled 'Towards Quantifying Liquidity Premia on Corporate Bonds' focuses on liquidity risk on corporate bonds, a topic which has been high on the agenda of Solvency II regulators in recent years. His preliminary findings were presented at the ICA congress, receiving a prize of $1,000.
Paul's PhD is funded by Partnership and forms part of the Actuarial Research Centre (ARC) sponsored by the Institute and Faculty of Actuaries (IFoA). The ARC is based at Heriot-Watt's Edinburgh Campus and seeks to deliver high quality research that is relevant to industry practitioners. Paul is supervised by Professor Andrew Cairns.
The ICA is held every four years as a function of the International Actuarial Association and brings together academic and practising actuaries from all disciplines. Another of the best paper prizes was awarded to former student Bonnie-Jeanne Macdonald, who received her PhD in Actuarial Mathematics in 2007.
Paul will be presenting further results of his research at a flagship sessional research event at the IFoA on May 19 at the IFoA's Risk and Investment Conference in June.