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 een denktank en kennisnetwerk. Netspar is gericht op een goed geïnformeerd pensioendebat.


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