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Mortgage valuation, a discounted cash flow method

With the advance of the current low interest rate environment and increased regulatory requirements, modeling mortgages for valuation purposes is more complex. Additionally, the applicable valuation method depends on the purpose of the valuation.

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Negative interest rates and embedded floors

In September 2016, we published the article ‘How Negative interest-rates will affect treasury’. We now delve into one of the problems mentioned concerning hedge effectiveness calculations.

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Hedge accounting changes under IFRS 9

Although the general accounting mechanisms will largely remain unchanged, the long waited reforms of IFRS 9 encompass an array of changes that will influence your hedge accounting process in different ways.

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Dilemmas when valuing swaptions

Persistently low interest rates are presenting financial institutions with challenges when valuing and managing the risks on interest rate options. The limitations of traditional valuation models are being exposed. Increasingly, they do not offer a solution and are no longer suitable for calculating interest rate sensitivities. But why is that? And what can be done about it?

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Transition to IFRS 9

are you prepared to take advantage of opportunities?

In 2014 the International Accounting Standards Board (IASB) published the final version of the new standard IFRS 9 Financial Instruments.

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