20.500.12556/RUL-185760 Konstrukcija diskontnih krivulj po standardu MSRP 17 magistrsko delo Discount curve construction under the IFRS 17 Standard Magistrsko delo obravnava problem konstrukcije diskontnih krivulj v okviru Med- narodnega strandarda računovodskega poročanja 17 (MSRP 17), ki predstavlja ključni element vrednotenja zavarovalnih obveznosti. Standard zahteva uporabo tržno utemeljenih diskontnih stopenj, ki morajo odražati časovno vrednost denarja ter značilnosti denarnih tokov zavarovalnih pogodb, pri čemer ne predpisuje enotne metodologije njihove določitve. V delu sta obravnavana dva osnovna pristopa h konstrukciji diskontnih krivulj: pristop od spodaj navzgor, ki temelji na netveganih obrestnih merah s prilagoditvijo za nelikvidnost, ter pristop od zgoraj navzdol, ki izhaja iz donosnosti referenčnega portfelja in vključuje prilagoditve za nerelevantne komponente tveganja. Poseben poudarek je namenjen metodološkim vprašanjem določanja vhodnih parametrov ter uporabi metod interpolacije in ekstrapolacije pri oblikovanju terminske strukture obrestnih mer. Delo izpostavlja, da konstrukcija dis- kontnih krivulj v okviru MSRP 17 zahteva uporabo različnih finančnih in aktuarskih metod ter pomembno vlogo strokovne presoje pri izbiri ustreznega pristopa. The thesis examines the problem of constructing discount curves within the framework of International Financial Reporting Standard 17 (IFRS 17), which represents a key element in the valuation of insurance liabilities. The standard requires the use of market-consistent discount rates that must reflect the time value of money as well as the characteristics of the cash flows arising from insurance contracts, while not prescribing a single methodology for their determination. The thesis analyzes two main approaches to discount curve construction: the bottom-up approach, which is based on risk-free interest rates adjusted for illiquidity, and the top-down approach, which starts from the yield of a reference portfolio and includes adjustments for irrelevant risk components. Special attention is given to methodological issues related to the determination of input parameters and the application of interpolation and extrapolation methods in the construction of the yield term structure. The thesis highlights that the construction of discount curves under IFRS 17 requires the application of various financial and actuarial methods, as well as a significant degree of expert judgment in selecting an appropriate approach. MSRP 17 diskontne krivulje kreditno tveganje ekstrapolacija IFRS 17 discount curves credit risk extrapolation true false false Slovenski jezik Angleški jezik Magistrsko delo/naloga 2026-08-20 08:15:09 2026-08-20 08:15:21 2026-08-21 04:30:15 0000-00-00 00:00:00 2026 0 0 0000-00-00 NiDoloceno NiDoloceno NiDoloceno 0000-00-00 0000-00-00 0000-00-00 519.8:519.2 161729 288060675 22072.pdf 22072.pdf 1 59F2C68CB62D27B1E276A3CAA651907A 79eeab22a9bae18ab3843efbc3ac5dbcf24f769f77cb0e7476eabebdfdd77106 23095283-9c5e-11f1-9b0d-0050569b8976 https://repozitorij.uni-lj.si/Dokument.php?lang=slv&id=244679 Fakulteta za matematiko in fiziko 0 0 0