Discounting [30]

Go to: Summary | Previous | Next   
Bullet points include: Subject illuminates many of the issues referred to in previous slides E.g. to identify how to allow for liquidity you first need to identify what the risk-free rate should be, onto which you might apply an illiquidity adjustment Chapter titles in Kemp (2009) include: When is and when isn’t market consistency appropriate Different meanings given to ‘market consistent valuations’ Derivative pricing theory The risk-free rate Liquidity theory Topical in relation to Solvency II and LTGA

Contents | Prev | Next | Library

Desktop view | Switch to Mobile