Tipus d'interès lliure de risc

El Tipus d'interès lliure de risc o Taxa d'interès lliure de risc (en anglès: Risk-free interest rate) és una taxa o tipus d'una inversió que, teòricament, no té risc. És a dir, el tipus d'interès lliure de risc és el tipus d'interès que un inversor obtindrà per invertir durant un període de temps en un actiu financer sense risc.

Actius lliures de risc

Teòricament es considera que els bons governamentals emesos per economies sòlides a curt termini són actius lliures de risc, doncs d'una banda la probabilitat que un estat amb una economia sòlida faci fallida és pràcticament nul·la, i de l'altra el termini de venciment és relativament curt, fet que minimitza la possibilitat que el tipus d'interès pugin tot just després de la compra (en aquest cas l'inversor deixaria de guanyar el diferencial de tipus d'interès si hagués esperat una mica més). En el marc de referència financer americà aquest rol correspon al US Treasury bill, mentre que en el marc financer europeu aquest rol correspon al Bund alemany. La mitjana del tipus d'interès real dels bons americans durant el segle XX fou del 0.9%. Donat que sota aquestes premises un inversor guanya un interès real sense cap mena de risc, s'intueix que davant d'un alternativa d'inversió que suposi un risc, l'inversor exigirà un plus de rendibilitat per invertir-hi.

Base teòrica de l'Economia Financera

The risk-free interest rate is thus of significant importance to Modern Portfolio Theory in general, and is an important assumption for rational pricing. It is also a required input in financial calculations, such as the Black-Scholes formula for pricing stock options and the Sharpe Ratio. Note that some finance and economic theories assume that market participants can borrow at the risk free rate; in practice, of course, very few borrowers have access to finance at the risk free rate.

Why risk-free?

One explanation for the assumption that no default risk exists is due to the nature of government debt. For a fiat currency, the government retains the theoretical capacity to print as much of that currency as will be required to pay its own debts (in that currency). In this case, true default is theoretically impossible: owners of government debt can always be paid, but with money that may have substantially lower value. Rather than reflecting the default risk of the government, the risk-free interest rate, therefore, reflects the likelihood that the government will print money to pay its debts,Plantilla:Dubious thereby debasing the currency. Note that this does not apply to some currencies, such as the Euro,Plantilla:Dubious because no individual government of the Eurozone has the authority to print currency. Of course, many countries have other measures and institutions, such as theoretically independent central banks, to reduce the likelihood of such an occurrence.

An alternative interpretation is that, while no investment is truly free of risk, scenarios in which a major government with a long track record of stability defaults on its obligations are so far outside what is known that one cannot make quantitative statements about their chances of happening, and, therefore, it is simply not feasible to include them in financial planning. A German investor living circa 1904 trying to decide whether to purchase long-term bonds issued by the German government could scarcely have been able to anticipate a World War followed by hyperinflation. The US Treasuries commonly used for risk free rates have not defaulted since 1933 [1].