IVSC consults on derivatives valuation

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02 Jul 2013

The International Valuations Standards Council (IVSC) has released an exposure draft on the valuation of equity derivatives, the first of a planned series that will include similar guidance on derivatives for foreign exchange, fixed income and commodities.

The IVSC is convinced that the lack of globally accepted and recognised standards for the valuation of derivatives has led to a lack of trust in the valuations that are produced. The problem is particularly acute with over the counter (OTC) products which are not traded on exchanges and for which current price information is not available. And yet all companies that hold any sort of financial instrument need to value these in their accounts.

The ED lists the main types of equity derivatives with a description for each of the listed products. It describes various valuation models and includes the key assumptions and other inputs required. However, products and valuation models are not mapped to each other, i.e. the ED does not contain comments on each model's relative applications and when it is appropriate to use one rather than another.

Comments on the ED are requested by 30 September 2013.

Please click for the following information on the IVSC's website:

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