Filtered by: Risk management, Risk management, Valuation desk, Financial institutions

Clear all filters


Value for valuation

The importance of determining the value of liabilities is increasing

When the financial world talks about market value, it usually concerns the asset side of the balance sheet. Asset managers are constantly determining the value of shares and bonds.

In turn, banks specialize in determining the value of loans and mortgages. But the market valuation of liabilities continues to receive little attention. This is about to change, however, because of the growing importance of accurately determining the current and future values of companies (which is, after all, the difference between their assets and their liabilities).

Read More

Benefit from inflation

with bonds, swaps, caps and floors

The problem of inflation is nearly as old as currency itself, and inflation-linked products have been around for centuries as well. In this article, consultant Rogier Galesloot discusses the history of inflation-linked products and shows how inflation-linked bonds, swaps, and caps/floors can be of interest to an organization or institution looking to hedge against inflation. 

Read More

Improve your risk calculations

Value at risk and Economic Capital

Hardly any risk models properly estimated the negative financial results of the past years. Even the most extreme risk calculations – typically expressed in such terms as ‘Value at Risk’ and required ‘Economic  Capital’ – made no allowance for such fierce fluctuations.

To some extent this is due to a lack of ‘negative’ data. But there is considerable room for improvement in the modeling of risks, and in particular their dependency.

Analyst Bas Tammens explains how this matter should be tackled.

Read More

Illiquid instruments

How to price illiquid or OTC instruments at market value

It’s hard to put a value on some things (think a loyal friend or a sunny day) but financial instruments shouldn’t fall into that category.

This article takes a look at calculating pricing for illiquid or OTC instruments not quoted by market services such as Reuters or Bloomberg.

Read More