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Financial Valuation : Securities, Instruments, & Derivatives

By May 28, 2024July 31st, 2024Case Studies1 min read
Financial Valuation : Securities, Instruments, & Derivatives

Objective:

A Hedge fund sought independent valuation for its diverse portfolio of various financial securities, instruments, and derivatives to optimize investment strategies and meet regulatory requirements.

Challenges:

  • Complex Portfolio: Equities, fixed-income securities, structured products, and derivatives.
  • Market Volatility: Fluctuations hinder fair value assessment.
  • Regulatory Compliance: Must adhere to accounting standards (FASB ASC 820, IFRS 13).

Approach:

  • Equity Valuation: DCF, CCA, and precedent transactions analysis.
  • Fixed-Income Valuation: Yield curve analysis, credit risk assessment, and benchmark pricing.
  • Derivatives Valuation: Black-Scholes model, binomial option pricing model, Monte Carlo simulation.

Implementation:

  • Data Gathering: Financial statements, transaction details, market prices, economic indicators.
  • Valuation Model Selection: Tailored methodologies, sensitivity analysis.
  • Documentation: Detailed reports on methodologies, assumptions, and findings.

Outcome:

  • Aids the Hedge Fund in asset allocation, risk management, and performance optimization.
  • Enhances credibility with investors and regulatory compliance.

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