Valuing 'Hard-to-Value' Assets and Liabilities: Notes on Valuing Structured Credit Products
Rutter Associates LLC
Journal of Applied Finance, Spring/Summer 2009, Vol. 19, Issue 1/2, pp. 7-18
The article presents commentary on valuation in general and valuing structured credit products such as credit default swaps and collateralized debt obligations in particular. Topics include features of difficult-to-value assets, illiquid and complex assets, where hard-to-value assets derive their value from, various type of value including liquidation and hold-to-maturity value, different methodologies for valuing structured credit products, and lessons learned about valuing difficult-to-value assets from a global financial crisis that emerged in 2007.
Keywords: Valuation, Derivative Securities, Swaps (Finance), Collateralized Debt Obligations, Global Financial Crisis 2008-2009, Credit DerivativesAccepted Paper Series
Date posted: July 29, 2012
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