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This presentation to explores a range of topics of particular interest to actuaries in the field of discount rates, including use of discount rates in actuarial work, how discount rates affect financial reporting and allowing for liquidity in discount rates.

[as pdf]

Slides

1	Discounting
2	Agenda
3	Agenda
4	Discount rates in actuarial work
5	Why we need discount rates
6	Discounting not just of interest to actuaries
7	Two main roles of money
8	How discount rates can "go wrong"
9	Current practice (in UK)
10	Matching calculations (1)
11	Matching calculations (2)
12	Budgeting calculations (1)
13	Budgeting calculations (2)
14	Reconciling matching and budgeting approaches
15	Proposed framework and recommendations (1)
16	Proposed framework and recommendations (2)
17	Agenda
18	Discount Rates in Financial Reporting: A Practical Guide
19	Coverage: main sections
20	Coverage: case studies
21	Highlights
22	Risk-free rates according to IAA (2013)
23	Using government debt yield curves
24	Using swap rates (or corporate bonds)
25	Using option pricing techniques
26	Decomposition of discount rates
27	Other topics (1)
28	Other topics (2)
29	Agenda
30	Allowing for liquidity in discount rates
31	Liquidity risk
32	Start of 2007-09 Credit crisis
33	Not just of academic interest in stressed markets
34	Financial impact can be very substantial
35	What is liquidity? (1)
36	What is liquidity? (2)
37	What is liquidity? (3)
38	What is liquidity? (4)
39	Modelling liquidity premiums on different instruments
40	What is the risk-free rate?
41	Eonia versus Eurepo
42	Risk of sovereign default
43	Observations
44	Appendix
45	VaR and Tail VaR (TVaR)
46	Mathematical definitions of VaR and TVaR
47	Arguments in favour of TVaR usually based on ‘coherence’
48	What are the underlying mindsets?
49	Which takes into account loss in the event of default?
50	Different stakeholder perspectives (1)
51	Different stakeholder perspectives (2)
52	Treatment of illiquidity (1)
53	Treatment of illiquidity (2)
54	Treatment of illiquidity (3)
55	Important Information

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