Advanced Workshop on Determining Volatility and Market Yield: Developing Inputs for the Valuation of Options and Debt Securities
BVR's Interactive Web Workshops
Thursday, August 7, 2014
10:00am-2:00pm PT • 1:00pm-5:00pm ET
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In valuing both options and debt securities, appraisers face the challenge of providing a valuation that will account for market changes. As with other valuation assignments, this requires the analyst to synthesize current and historical market data into a cogent argument about the future. And, as with other valuation assignments, a number of methods and tools are available for this purpose. Ensuring their proper application, however, along with a correct analysis of their implementation and output can mean the difference between a defensible valuation and certain disaster.
The Advanced Workshop on Determining Volatility and Market Yield will address these challenges and the best practices for their resolution in an intensive, four-hour interactive setting. Featuring experts David Dufendach, Oksana Westerbeke, and Jared Hannon, the workshop will examine what analysts can learn from the marketplace and how to put it to use for the valuation of both options debt securities. With guidance from best practices and professional standards, listeners will learn when and how to put these methods to use.
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- Introduction & welcome
- Developing the expected volatility assumption in the valuation of options and option-like securities:
- Types of volatility measures:
- Historical realized volatility
- Exchange traded option implied volatility
- General guidelines for developing estimates of volatility (ASC 718 and SAB 14)
- How to estimate the historical realized volatility and option-implied volatility of a company
- Methodology of developing a longer term volatility of newly public companies
- AICPA recommendations for estimating the expected volatility for privately-held companies
- Why size is important in estimating the volatility
- How to adjust for the size differences between the subject company and the guideline companies
- How to adjust for leverage differences between the subject company and the guideline companies
- Developing the market yield assumption in the valuation of debt and debt-like securities:
- Driving factors behind the debt's credit rating
- Methodologies to develop a synthetic credit rating for the subject company
- Pros and cons of synthetic credit rating methodologies
- How to factor in debt's seniority and presence of collateral into the market yield or spread
- How to develop the market yield for the debt
- Application of the Yield Method in the valuation of debt
- Learn how to accurately and defensibly develop expected volatility assumptions and market yield assumptions
- Learn what professional standards and guidelines say about volatility and market yield determination
- Learn how current and historical market data can be used in the determination of debt and equity valuation inputs
- Learn how target company information can be used in the determination of debt and equity valuation inputs
- Learn how security-specific information can be used in the determination of debt and equity valuation inputs
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