Private company valuation is typically performed by BV professionals who regularly estimate the value of nonmarketable interests. In order to develop a valuation estimate, BV professionals review and interpret empirical evidence to support decision making. For example, for the valuation of nonmarketable interests—within the context of a fair market value business valuation—there is typically a ...

We consider the valuation of contingent claims with delayed dynamics in a Black & Scholes complete market model. We find a pricing formula that can be decomposed into terms reflecting the market values of the past and the present, showing how the valuation of future cashflows cannot abstract away from the contribution of the past. As a practical application, we provide an explicit expression fo...

We show that the dispersion of private valuation reduces market liquidity and allocative e ciency of a dynamic OTC market. In this decentralized market, traders have time varying and heterogeneous private value over the asset and dealers act as competing mechanism designers. We characterize the optimal liquidity provision with endogenous valuation, outside options and type distributions. Depend...

Valuation has an externality: it creates information on which adverse selection can occur. We study a market in which investors (or lenders) buy uncertain future cash flows that are ex ante identical but ex post heterogeneous across assets from sellers (or borrowers) with reservation values. There exists a limited amount of a costly technology that can be purchased before the market opens that ...

The fair valuation of complex financial products for credit risk transfer (CRT) can provide a good basis for sustained growth of these markets and their recovery after the current financial crisis. Therefore, the risks of these structured credit securities (such as Collateralized Debt Obligations (CDO) and Credit Default Swap-Index tranches) have to be known as well as the investor’s current ri...