Thanks, Lindsay!!
So does the spread component of market risk relate to both liquidity spread and credit spread? The reason I'm a bit confused is because the SCR diagram in ch12 refers to "spread" but the core reading detail below specifically refers to "credit spread" only (no mention of liquidity).
On a side note - part (v) of this question also says that the company needs to take into account any restrictions imposed by the PRA on the type of assets that can be included. Is this referring to the tiering limits?
Last edited by a moderator: Aug 15, 2017