Valuation

Sparring over global valuation

Dealers have typically used a variety of pricing models that are specific to certain asset classes and instruments. But is it possible for banks to build global models that can be used to price instruments across asset classes? Matt Cameron reports

AIFM texts adopted by EU parliament and council

Hedge fund managers based outside the European Union (EU) may have to comply with the alternative investment fund managers (AIFM) directive in order to market products to EU member states, under proposals approved last night (May 17).

Losing the asset swap lifeline?

A price difference between inflation-linked and nominal bonds last year created a huge opportunity for real-money investors to benefit through asset swaps. Now the opportunity has diminished, how important are asset swap investors in providing inflation…

Towards a global valuation model

Banks use a variety of pricing models across business lines, creating discrepancies in the way various financial instruments are priced. But developments in high-throughput computing could lead to the possibility of a global valuation model, argue…

Calculating the liquidity premium

Market dislocation at the end of 2008 prompted calls from many in the insurance industry for the addition of a liquidity premium to the MCEV discount rate. Barrie & Hibbert’s Craig Turnbull and Delme Pritchard examine whether its inclusion is really…

Conflict's end

The second phase of the International Swaps and Derivatives Association's collateral dispute resolution protocol prescribes a market polling mechanism for settling disputes involving illiquid and complex transactions. How will the market poll work and…

Value added

Valuation remains a major focus for banks and regulators. In this Class Notes article, Charles Smithson examines the academic approaches to valuation and applies them to structured credit assets

What's it worth?

The financial crisis has highlighted shortcomings in bank valuation practices for complex securities. With regulators clamouring for the use of independent prices, there could be an opportunity for third-party data providers. But are banks taking the…

Where rocky horror assets go

With injections of government capital seemingly having little effect on restoring confidence in ailing banks, thoughts have once again turned to quarantining distressed assets. Rob Davies examines the options available to policy-makers

Required reading

Over the past year, we have witnessed a unique experiment in what makes financial risk management effective. A succinct supervisory summary of what we have learned should be required reading for all interested parties, argues David Rowe

Valuing CDOs of ABSs

Charles Smithson and Neil Pearson discuss the valuation of collateralised debt obligations (CDOs). Following on from their December 2007 article, which focused on CDOs referenced to corporate credits, the authors turn their attention to CDOs of asset…

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