Posts Tagged: asset pricing

For obvious reasons, many of the largest asset management firms struggle with massive data volumes, silos and processes. Reconciling the data can sometimes feel like searching for two identical needles in a giant haystack.   In other words: very time consuming and expensive. This is why large firms need a joined up and single view… Read more » Read more…

DV01 is another measure of bond price sensitivity. DV01 is the monetary change in bond price for 1 basis point change in interest rates (by default it is usually expressed as price change for 1bp increase in interest rates). There can also be DV01’s for credit spreads (sometimes referred to as CR01) and inflation rates…. Read more » Read more…

The importance of 3rd Party Pricing Examined The debate between referencing broker pricing or independent pricing has been raging among asset managers in recent years. Broker pricing is often arrived at through the averaging of assets, which can cause a biased valuation. On the other hand, pricing technologies haven’t kept up with the pace of innovation Read more…

I posted my thoughts on a weak, possibly W-shaped, recovery and its affect on asset managers only two weeks ago and it seems the news has suddenly gone all bad on the economy. The first tell-tale sign that we might have a double dip recession is the weak Read more…

Ignoring the headlines in the popular press, many people in the asset management industry are worried that we may well get a W-shaped recovery, where having briefly recovered from the near-death experience of 2008, the economies of the world slide back into recession. Read more…

Asset managers and Custodians have a real problem valuing illiquid assets in their portfolios even though many of these assets are perfectly sound and the asset manager has no intention of selling them. Assets should be valued at mark to market prices as required by the Basle rules. However mark to market prices should not be used in isolation in my view, but rather compared to model prices to test their validity. Models should be improved to take into account the greater amount of market data available. Read more…