Liquidity Risk - Relevance to Actuaries [13]

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Bullet points include: Risk free rates pervade actuarial work, e.g. Controversial ASB/EFRAG discussion paper on pensions accounting,  References to ‘risk free rate’ for discounting under Solvency II, CFO Forum ‘risk free rates’ for market consistent embedded values. But which risks should a ‘risk free rate’ be free of? Particularly if the rate is being applied to value or assess the risks expressed by an illiquid liability?

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