Modelling the Liquidity Premium on Corporate Bonds

Paul van Loon (*), Andrew J.G. Cairns, Alex McNeil Heriot-Watt University & The Actuarial Research Centre (ARC) (**) Alex Veys 

Partnership Acknowledgements: (*) PhD funding from Partnership and the ARC. (**) The ARC is funded by the Institute & Faculty of Actuaries and by industry co-sponsors including Partnership.