Towards a global valuation model

Every bank uses pricing models that are specific to the instrument it is valuing. But even when they are perfectly implemented, there are inconsistencies between the models used for each instrument on a firm-wide basis.

Every valuation formula embodies two common weaknesses:

Each explicitly or implicitly makes assumptions about the future states of underlying risk factors. Therefore, the modelling of the future is specific to each individual instrument, rather than to each risk factor, and is

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: