In recent years, the preference for market-determined prices as the correct basis for valuation has become deeply ingrained. While agreeing with this view in principle, David Rowe argues it is not applicable...
Failures observed in valuation governance, documentation and models
In this paper, Magnus Wobben, Tilman Huhne, Yuri Ivanov and Sebastian Hanneken examine the impact of market incompleteness on the valuation of gas storage contracts. In contrast to prior research, their...
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More Valuation articles
In a bid to stay one step ahead of the regulators, a consortium of major German banks has volunteered to boost disclosure around the pricing and payout probabilities of their structured products
The incremental risk of including electricity contracts in a portfolio is computed by George Levy using a Monte Carlo regime-switching approach. The volume and price processes are modelled using empirical distributions and correlation is captured via...
Given the importance of the crude oil and natural gas futures markets, the intra-market correlations in these markets play an important role in pricing, hedging and managing the risks of energy portfolios. This paper by Ehud Ronn contributes to the...
In its latest letter, the SEC orders banks to highlight the difference between fair market value and issue price to help investors see what their investment is worth
The SEC will soon send issuers final guidance on structured note valuation disclosure, following a sweep letter sent last April
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
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