Risk-free rates: Difference between revisions
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imported>Doug Williamson m (Categorise.) |
imported>Doug Williamson (Note that rates are not entirely risk free.) |
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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. | ||
Also known as ''near'' risk-free rates, recognising that they are not entirely risk-free. | |||
Revision as of 18:35, 1 December 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.
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.
