Yield Curve Extrapolation Webcast - June 09
Document ID: 2009-1474
Published on: 18th June 2009
Author: John Hibbert, Steffen Sorensen, David Roseburgh and David Antonio
This webcast was delivered by John Hibbert, Steffen Sorensen, David Roseburgh and David Antonio on the topic of Yield Curve Extrapolation.
The objectives of the webcast were:
- To understand the fundamental challenge faced by accountants, actuaries and economists in placing a fair value on fixed cash flows that fall beyond the term of traded market instruments.
- To understand Barrie & Hibbert's proposed method for yield curve extension and how it compares with other, simpler approaches.
- To understand the potential impact of different methods on liability values.
The download file contains a .wmv video file which will allow you to "replay" the webcast in full, as well as a PDF of the webcast slides. In the video, the webcast starts at minute seven.
