Abstract
The global financial crisis of 2008 led to a rethinking of many valuation models in fixed income. The notion of the risk free rate and the appropriate discount rate underwent substantial changes. By around 2010, a consensus emerged on the “Two Curve” model. This technical note provides an introduction to this model and also suggestions for further reading.
Additional Information
| Product Type | Technical Note |
|---|---|
| Reference No. | F&A0507TEC |
| Title | Two Curve Discounting |
| Pages | 14 |
| Published on | May 21, 2013 |
| Authors | Varma, Jayanth R.; |
| Area | Finance and Accounting (F&A) |
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