Ibor - benchmark rate reform: derivative discounting revisited

Detalhes bibliográficos
Autor(a) principal: Kiris, Sebastian Karsten
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/144620
Resumo: The IBOR reform will result in changes to the interest rate benchmark, which may have an influence on derivatives' fair value measurement. It will have an impact on future cash flows and discount rates .Entities need to reflect these changes of the interest rate benchmark adequately in their valuation methods and systems. New IBORs need to be included into the models and the terminated IBORs need to be replaced. Collateral Accounts will be transitioned into the new World of reformed RFR, too.
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spelling Ibor - benchmark rate reform: derivative discounting revisitedFinancial marketsTreasuryFinancial risk managementDerivative valuationIbor - benchmark rate reformDiscountingDomínio/Área Científica::Ciências Sociais::Economia e GestãoThe IBOR reform will result in changes to the interest rate benchmark, which may have an influence on derivatives' fair value measurement. It will have an impact on future cash flows and discount rates .Entities need to reflect these changes of the interest rate benchmark adequately in their valuation methods and systems. New IBORs need to be included into the models and the terminated IBORs need to be replaced. Collateral Accounts will be transitioned into the new World of reformed RFR, too.Pereira, João PedroRUNKiris, Sebastian Karsten2022-10-12T10:57:52Z2022-01-112021-12-172022-01-11T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/144620TID:203063104enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:24:20Zoai:run.unl.pt:10362/144620Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:51:39.308852Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Ibor - benchmark rate reform: derivative discounting revisited
title Ibor - benchmark rate reform: derivative discounting revisited
spellingShingle Ibor - benchmark rate reform: derivative discounting revisited
Kiris, Sebastian Karsten
Financial markets
Treasury
Financial risk management
Derivative valuation
Ibor - benchmark rate reform
Discounting
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Ibor - benchmark rate reform: derivative discounting revisited
title_full Ibor - benchmark rate reform: derivative discounting revisited
title_fullStr Ibor - benchmark rate reform: derivative discounting revisited
title_full_unstemmed Ibor - benchmark rate reform: derivative discounting revisited
title_sort Ibor - benchmark rate reform: derivative discounting revisited
author Kiris, Sebastian Karsten
author_facet Kiris, Sebastian Karsten
author_role author
dc.contributor.none.fl_str_mv Pereira, João Pedro
RUN
dc.contributor.author.fl_str_mv Kiris, Sebastian Karsten
dc.subject.por.fl_str_mv Financial markets
Treasury
Financial risk management
Derivative valuation
Ibor - benchmark rate reform
Discounting
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Financial markets
Treasury
Financial risk management
Derivative valuation
Ibor - benchmark rate reform
Discounting
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description The IBOR reform will result in changes to the interest rate benchmark, which may have an influence on derivatives' fair value measurement. It will have an impact on future cash flows and discount rates .Entities need to reflect these changes of the interest rate benchmark adequately in their valuation methods and systems. New IBORs need to be included into the models and the terminated IBORs need to be replaced. Collateral Accounts will be transitioned into the new World of reformed RFR, too.
publishDate 2021
dc.date.none.fl_str_mv 2021-12-17
2022-10-12T10:57:52Z
2022-01-11
2022-01-11T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/144620
TID:203063104
url http://hdl.handle.net/10362/144620
identifier_str_mv TID:203063104
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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