Valuation

One of the main reasons for the recent financial crisis was (and unfortunately still is) the mispricing of financial assets, due to the lack of transparency in financial markets. One of Value & Risk's main goals is improving transparency in the market to help prevent the next collapse.

In recent years, buzz words like “fair value” and “independent valuation” have grown in popularity. Politicians, supervisory agencies, investors and bankers have begun to realise how important (and complex) independent valuation is. Today all key financial regulations, including the IFRS, FAS, SolvV, MaRisk and InvRBV, share a common understanding of the valuation of illiquid instruments. Our work at Value & Risk conforms to the most rigorous professional standards and complies with the requirements of both European and American valuation regulations.

We are glad to be a one-stop shop for our clients’ valuation services; all we need are the identifiers (e.g. ISIN or CUSIPS) and reference data of the instrument (e.g. the terms and conditions). From there, we handle the analysis, extraction of market data, pricing and SAS-70 quality assurance procedures. Our clients enjoy being able to outsource all pricing and pricing validation functions to our valuation experts at Value & Risk and concentrate on their own core business.

Liquidity and complexity:

Our market niche is the theoretical valuation of less liquid, OTC and complex assets. For the valuation of complete portfolios including more liquid assets, we work hand in hand with market data vendors. We focus on:

• less liquid instruments such as loans, private placements and illiquid bonds
• OTC Instruments
• structured products, including the most exotic assets
• ABS products: MBS, CMBS, CLO etc.
• hybrid, tailor-made and special products.

One of our core services is the independent valuation of financial assets. All of our other services are based on our understanding of valuation and risk.

We distinguish between three levels of liquidity:

• Liquid
• Partially liquid
• Illiquid

We employ theoretical valuation methods to assist in the process of identifying levels of liquidity, evaluating illiquid and partially liquid assets, and verifying liquid market prices.

Supported Asset classes:

• Equity (EQ)
• Fixed-income (FI)
• Interest rate-linked (IR)
• Foreign currency (FX)
• Credits (CR)
• Commodities (CM)
• Inflation-linked (INF)
• Hybrids (combination of different asset classes)