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| Reference | Title | Link |
| Creedon, S., Forrester, I., Jakhria, P., Kemp, M.H.D, Pelsser, A., Smith, A.D. and Wilson, D.C.E (2008) | Market Consistent Discounting | here |
Abstract
"This note is an extract from a larger forthcoming paper looking at appropriate discounting for market-consistent valuation of insurance and pension liabilities. Section 3 below summarises the working party’s research on interest rate markets and the components of spreads, including expected default losses, default risk premiums, illiquidity premiums, inconvenience premiums and unexplained elements." |
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