"FRS17" and the Sterling Double A Corporate Yield Curve
We argue that the appropriate discount rate used to report defined benefit pension plan liabilities in the financial statements is a yield derived from an estimate of a double A corporate yield curve. We show that parsimonious yield curve techniques are easily applicable to the sterling double A corporate bond market. Moreover, we find that with a careful selection of the data an objective and reliable yield curve can be obtained. In all we find that using a yield from a sterling double A corporate yield curve to obtain the value of defined benefit pension plan liabilities is a feasible alternative to the current recommendations of "FRS17". Copyright Blackwell Publishers Ltd, 2005.
Year of publication: |
2005-06
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Authors: | Skinner, Frank S. ; Ioannides, Michalis |
Published in: |
Journal of Business Finance & Accounting. - Wiley Blackwell, ISSN 0306-686X. - Vol. 32.2005-06, 5-6, p. 1141-1169
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Publisher: |
Wiley Blackwell |
Saved in:
freely available
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