Press release - 24 November 2008
OTC
Valuations Limited (OTC Val), a leading provider of independent
derivatives valuation and risk reports for structured products and
exotic derivatives, is pleased to announce it has expanded its
valuation service to include non-performance risk .
Under FAS 157, non-performance risk refers to the risk that the obligation will not be fulfilled and thus affects the value at which the liability is transferred. Therefore, FAS 157 requires the fair value of the liability to include an adjustment for the non-performance risk related to the liability.
In order to comply with FAS 157 and prior to adjusting a liability's fair value by the non-performance risk, one must understand how a liability's value is derived; especially for those hard-to-value derivatives with level 2 or 3 inputs. For hard-to-value derivatives, which require models to derive their values, OTC Val has implemented a procedure to account for non-performance ... more »
Under FAS 157, non-performance risk refers to the risk that the obligation will not be fulfilled and thus affects the value at which the liability is transferred. Therefore, FAS 157 requires the fair value of the liability to include an adjustment for the non-performance risk related to the liability.
In order to comply with FAS 157 and prior to adjusting a liability's fair value by the non-performance risk, one must understand how a liability's value is derived; especially for those hard-to-value derivatives with level 2 or 3 inputs. For hard-to-value derivatives, which require models to derive their values, OTC Val has implemented a procedure to account for non-performance ... more »
