FINANCIAL INSTRUMENTS

These analyses typically involve option pricing models such as Monte Carlo simulations or binomial tree lattice. Our quantitative finance professionals specialize in developing customized models and deriving supportable inputs to value these derivatives

How can we help

Our services address the valuation of the following instruments and more:

Embedded derivatives in connection with IFRS9 / ASC 815 (conversion option of a convertible bond, change of control put option, make-whole payment upon conversion, etc.)
Debt component of a convertible note issuance in connection with IFRS9 / ASC 470
Preferred stock for tax and financial reporting purposes
Call/Put options in connection with the remaining minority interest after the acquisition of a controlling interest
Securities with built in downside protection – payoff designed as a function of future stock price
Warrants with reset features that require liability accounting
Financial instruments such as interest rate swaps/options, currency swaps/options and equity derivatives
Credit derivatives such as CDS contracts and swaptions

FVA's valuation models are tailored to our clients' needs. We help companies select the most appropriate approach and estimate all required parameters (such as volatility, dividend yield, correlation, credit spread and illiquidity discount). We deliver a well-supported valuation that fulfills relevant reporting requirements, corporate income tax, estate tax, or other country specific financial/tax reporting requirements.

We have deep experience with the full range of equity valuation techniques, including:

Monte Carlo simulation analysis which captures path dependency and correlation
Binomial lattice models, customized to capture key features such as early exercise behavior
Closed form solutions such as the Black-Scholes formula
Least Squares Monte Carlo simulation which captures both path dependency and early exercise behavior
Default and recovery rate modeling