第八讲国际会计准则与GAAP下的准备金.ppt

Risk free rate Real interest rate. Inflation expectation or time preference for the duration of the cash flow. Sovereign provision (the credit risk of the national governments securities) Less other elements. extreme market aversion to risk, a desire to indicate to others the safety of the securities, and the cost of safe keeping Risk-free discount rates Government bond rates Government bond rates plus an adjustment Corporate bond rates minus an adjustment Swap rates minus adjustment Swap rates liquidity premium it refers to the extent to which a liability or an asset can be converted to cash or a cash equivalent as desired, without a substantial price discount at a given point in time. As a result, neither literature nor practice has yet developed to derive a universally accepted application of this concept to liabilities Study on liquid premium A significant body of literature exists that attempts to demonstrate the estimation of liquidity premiums in corporate bond spreads. Most of these studies focus on the U.S. bond market, although an increasing number have been made on the basis of credit default swap (CDS). Limited research has been conducted regarding the effect of liquidity on prices of liabilities, although the concept of studying bid-asked prices may be useful to consider Study on liquid premium October ：the Danish Ministry of Economic and Business Affairs, with the agreement of the Danish Insurance Association, allow for a temporary period discount rates for pensions for maturities of more than seven years would reflect a liquidity premium of fifty percent of the difference between the weighted, option-adjusted credit spread on bonds in Nykredits mortgage bond index (covered bonds) and the ten year Danish swap rate. Linked (and related) obligations The measurement of the obligation should be consistent with the measurement of the corresponding assets. To the extent that linked assets replicate the obligation (or a fixed proportion of i