FRS17 and Estimates of the Sterling Double: A Corporate Yield Curve
- Topics:
- Accounting software,
- Financial Regulations
- Source:
- Watson Wyatt Worldwide
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Overview: This paper argues that the appropriate discount rate to use to report defined benefit pension plan liabilities in the financial statements is a yield derived from an estimate of a double A corporate yield curve. It introduces a new class of credit spread models finding that they obtain more robust corporate yield curve estimates than the best competing parsimonious yield curve model. It finds that using a yield from a sterling double A corporate yield curve to obtain the value of defined benefit pension plan liabilities is a feasible alternative to the current recommendations of FRS17 and makes necessary recommendations.
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Format: PDF | Size: 1,219KB | Date: Jan 2004 | Pages: 40
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