The ultimate forward rate: time for a step backwards?

In this Opinion paper, we first discuss discount curve modelling in general in the next section. Then, the different existing methods that include an UFR assumption are introduced in Section 3, and their properties are discussed. Section 4 gives an overview of the main advantages and disadvantages of these methods, which leads to the presentation of a conclusion in the last section.

Netspar, Network for Studies on Pensions, Aging and Retirement, is a thinktank and knowledge network. Netspar is dedicated to promoting a wider understanding of the economic and social implications of pensions, aging and retirement in the Netherlands and Europe.

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