Risk-free rates: Difference between revisions
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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. | ||
As of 2024, this transitional work was substantially complete. | |||
Risk-free rates are also known as ''near'' risk-free rates, recognising that they are not entirely risk-free. | |||
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* [[Risk-free asset]] | * [[Risk-free asset]] | ||
* [[Risk-free rate of return]] | * [[Risk-free rate of return]] | ||
* [[Risk off]] | * [[Risk-off]] | ||
* [[Risk on]] | * [[Risk-off asset]] | ||
* [[Risk-on]] | |||
* [[SARON]] | * [[SARON]] | ||
* [[SOFR]] | * [[SOFR]] | ||
Latest revision as of 18:36, 11 March 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.
As of 2024, this transitional work was substantially complete.
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.
