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Fair value reserves and independent price verification with a focus on index/index correlation

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Resumo:Within the Valuation Adjustments team at BNP Paribas, the assessment of Fair Value Reserves (FVR) and Independent Price Verification (IPV) stands as an indispensable process. It is imperative to regularly review the methodologies underpinning these computations, ensuring their foundation on reliable data and adherence to regulatory standards. This Master's Final Work had as a main goal to propose an enhancement to the IPV methodology, specifically within the context of index/index correlation, and to conduct a comparative analysis between FVR and IPV amounts in this context. Our study started by the presentation of the most important concepts and proceeded with a meticulous examination of the two methodologies. The identification of an improvement for the methodology was reached, while the goal to compare FVR and IPV faced constraints due to limitations in available data. Beyond the main project, a secondary assignment related to the Trigger Indicator for Reserves Charge Calibration (TIR2C) process was also a substantial component of the internship. The automation of this process was essential in reinforcing the reliability and transparency of our valuation practices.
Autores principais:Silva, Ana Carolina Gama
Assunto:Valuation Adjustments Fair Value Reserves Independent Price Verification Index Correlation Ajustes de Avaliação Reservas de Justo Valor Verificação Independente do Preço Índice Correlação
Ano:2023
País:Portugal
Tipo de documento:dissertação de mestrado
Tipo de acesso:acesso aberto
Instituição associada:Universidade de Lisboa
Idioma:inglês
Origem:Repositório da Universidade de Lisboa

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