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Published: 25th March 2017 by William Webster
The valuation of assets and liabilities appears to be straightforward but isn’t. The problem centres on market liquidity and the information that is available.
In actively traded markets, where there is proper depth, liquidity and transparency valuation using current market prices should prove robust.
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BPV is a method that is used to measure interest rate risk. It is sometimes referred to as a delta or DV01. It is often used to measure the interest rate risk associated with swap trading books, bond trading portfolios and money market books.
Learn about the following: What basis point value is. How it is calculated. What influences basis point value. How firms use basis point value. The strengths and weaknesses of basis point value.