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]

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

Contents | Next | Library

Desktop view | Switch to Mobile