The recent turmoil in the financial markets has highlighted valuation of complex structured products as one of the most intractable issues faced by market participants and regulators alike. The paucity of readily observable market prices in non-liquid markets has led to firms using a variety of techniques to determine valuations, including interpolating or extrapolating a price from observed trades of similar products, modelling cash flows and relying on risk neutral pricing models. However, each of these approaches has been shown to have weaknesses. The basis risk or correlation of similar products can be misunderstood. The cash flows of structured products are clearly dependent on the cash flows of the underlying assets. As detailed analysis of these is not practicable for individual investors; they have had to rely on rating agencies, which have been revising their methodologies in light of recent experience. Turning to valuation models, they rely on subjective data inputs that have been found wanting in some cases.

Across the world, new approaches are being put forward. The Financial Stability Forum has suggested that a group of top banks should agree a common valuation methodology and establish benchmark prices for securities. The U.S. Treasury has floated the idea that standard descriptions of opaque mortgage-backed securities should be developed, thereby increasing transparency and investor confidence, and that benchmark prices could then be determined for all securities in the catalogue. Here in the UK, the FSA has been overseeing how well banks have been refining their valuation models, providing input as required. The FSA has also made the point that "fair" or "marked to market" values used for accounting purposes may have to be adjusted for the purposes of calculating regulatory capital to reflect actual liquidity.

This highly topical conference brings together a speaker panel of exceptional quality to discuss the key issues in the round. Keynote speakers from the Financial Services Authority and the Committee of European Banking Supervisors will give the regulatory perspective on valuation, while leading market practitioners, rating agencies and academics will guide delegates through the latest refinements to valuation techniques.

Attendance at this conference will be essential for investors, issuers, investment bankers, broker-dealers and accountants. 

Conference Chairman
Peter Jeffrey, Head of the European Securitisation Group, PricewaterhouseCoopers

Keynote Addresses
Stephen Condon, Technical Specialist, Prudential Risk Division, Financial Services Authority
Martin Etheridge, Head of Market Risk and Structured Finance Policy, Financial Services Authority
Arnoud Vossen, Deputy Secretary General, Committee of European Banking Supervisors

Other Expert Speakers
Tanguy Dehapiot, Head of Valuation, Group Risk Management, BNP Paribas
Julian Korek, Founding Member, Kinetic Partners
Tom McNerney, Managing Director, Analytics and Operations, Markit Partners
William Perraudin, Chair in Finance, Imperial College London
Robert Scanlon, Chief Risk Officer, Standard Chartered Bank
Dr Gareth Stoyle, Associate Director, Fitch Solutions

Issues covered by the expert speakers will include:

• The regulatory response to the valuation issue
• An examination of the latest guidance and best practice - AIMA, IOSCO, HFWG, MFA and IPEV
• Refinement of financial models in light of the credit crisis
• Review of rating agency services
• Role of data sharing in providing reliable product valuation
• Implications of valuation strategies for risk management systems
• Accounting treatment of highly structured products

The event is being held at:
One Whitehall Place
Westminster
London, SW1A 2HD
Tel: +44 (0) 870 333 9123      
Fax: +44 (0) 870 333 9223
Website: www.thistlehotels.com/onewhitehallplace

Nearest Tube Station:
Embankment (District & Circle Lines)

• Valuing Complex Structured Products (Documentation)