RMA and PwC Survey on Non-Libor Discounting of Derivatives

Learn how the recent credit crisis, market disruptions, and Libor-related irregularities affected the approach to valuing derivatives.

RMA's Market Risk Council and PriceWaterhouseCoopers surveyed financial institutions to learn the status of their transition to non-Libor discounting of derivatives.

The summary discusses range of practices and standards used and:

  • The overall approach to the transition and its current status.
  • Collateralization and derivatives pricing and valuation.
  • Non-collateralized derivatives transactions pricing and valuation.
  • How new pricing and valuation affects risk management.

Download this executive summary to gain insights into common industry practices and the degree to which techniques have achieved general acceptance and consistency.