Risk-free rates: Difference between revisions
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imported>Doug Williamson (Add links.) |
(Update for cessation of LIBOR.) |
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The Financial Stability Board (FSB) recommended in 2014 that stakeholders should identify risk-free rates that might be used as alternatives to LIBOR. | The Financial Stability Board (FSB) recommended in 2014 that stakeholders should identify risk-free rates that might be used as alternatives to LIBOR. | ||
This work was completed by 2024, with LIBOR ending in September 2024. | |||
Risk-free rates are also known as ''near'' risk-free rates, recognising that they are not entirely risk-free. | |||
==Capital asset pricing model== | |||
RFRs should not be confused with the theoretically risk free rate of investment return, used in the Capital asset pricing model. | RFRs should not be confused with the theoretically risk free rate of investment return, used in the Capital asset pricing model. | ||
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* [[Interest rate risk]] | * [[Interest rate risk]] | ||
* [[LIBOR]] | * [[LIBOR]] | ||
* [[Risk asset]] | |||
* [[Risk-free asset]] | |||
* [[Risk-free rate of return]] | * [[Risk-free rate of return]] | ||
* [[Risk-off]] | |||
* [[Risk-off asset]] | |||
* [[Risk-on]] | |||
* [[SARON]] | * [[SARON]] | ||
* [[SOFR]] | * [[SOFR]] | ||
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* [[TONA]] | * [[TONA]] | ||
[[Category: | [[Category:Accounting,_tax_and_regulation]] | ||
[[Category:Financial_products_and_markets]] | |||
[[Category:Identify_and_assess_risks]] | |||
Latest revision as of 03:05, 5 October 2024
Interest rate benchmarks.
(RFR).
In the context of interest rate benchmarks, 'risk-free rates' include SOFR (the Secured Overnight Financing Rate) and SONIA.
The Financial Stability Board (FSB) recommended in 2014 that stakeholders should identify risk-free rates that might be used as alternatives to LIBOR.
This work was completed by 2024, with LIBOR ending in September 2024.
Risk-free rates are also known as near risk-free rates, recognising that they are not entirely risk-free.
Capital asset pricing model
RFRs should not be confused with the theoretically risk free rate of investment return, used in the Capital asset pricing model.
