Ultimate forward rate (UFR) curve
Directive ignores risk of intergenerational subsidy, says Finanstilsynet's Parner
Extrapolation method changed following concerns Smith-Wilson method impractical
Concerns raised over Eiopa’s discretion over methodology
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This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.