Risk-free rates: Difference between revisions
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Revision as of 12:48, 15 February 2018
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.
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.
