Burgard and Kjaer method is extended to include margin valuation adjustment
US bank accused of manipulating client valuation reports to mask profits
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More Valuation articles
Flexible, martingale duality-based method provides reliable valuation
Fund managers need to ensure internal controls are up to the mark
Sponsored interview: Commerzbank
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, ...
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 emp...
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 ...
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
Northern Trust appointed to replicate middle- and back-office functions of existing administrator BNY Mellon at $140bn hedge fund
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