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A Computation Method for Discounting Stochastic Scenarios Under IFRS 17

A Computation Method for Discounting Stochastic Scenarios Under IFRS 17 Market consistent valuations require path-dependent discounting for scenarios. IFRS 17's requirement to discount ...
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Description: Market consistent valuations require path-dependent discounting for scenarios. IFRS 17's requirement to discount best-estimate cashflows using locked-in rates could give non-sensical results in many instances. This article describes a technique for calibrating each of the scenario's cashflows so that they can be discounted with other discount factors or curves without distorting the value of underlying options and guarantees.
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- Date: Sep 2019
- Competency: Results-Oriented Solutions
- Publication Name: The Financial Reporter
- Topics: Financial Reporting & Accounting; Financial Reporting & Accounting>International Financial Reporting Standards [IFRS]; Modeling & Statistical Methods; Modeling & Statistical Methods>Stochastic models

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A Computation Method for Discounting Stochastic Scenarios Under IFRS 17