BV534 Investigating Volatility Haircuts/Caps in Convertible Bonds Valuation

  • Registration Closed

Class Date/Time

Thursday, April 20, 2023
1:00pm-3:00pm Eastern Standard Time

Registration Includes

  • Access to virtual webinar via zoom will be accessible via education dashboard (login required)
  • Electronic webinar handout(s)*

*Any webinar handouts will be made available to registrants the morning of the live event and made accessible via your education dashboard (login required). Once handouts have been posted for download, the class is no longer refundable. 

Continuing Education (CE) Credit

This webinar will award 2.4 CE/CPE hour(s) for the live event. 

If you are a designated member of ASA, CE credit will automatically be entered into your record after you participate in the live webinar. Certificate of completion access is immediate once all required components are completed in the Course Wrap-Up Tab.  

NASBA and Continuing Professional Education (CPE) Credit

ASA is registered with the National Association of State Boards of Accountancy (NASBA) as a sponsor of continuing professional education on the National Registry of CPE Sponsors.  State boards of accountancy have the final authority on the acceptance of individual courses for CPE credit.  Complaints regarding registered sponsors may be submitted to the National Registry of CPE Sponsors through its website

CPE Credit: Up to (2.4) CPE credits in Specialized Knowledge
Program Level: Advanced
Delivery Method: Only group-live courses are approved for CPE
Prerequisites: None
Advanced Preparation: None
Policies: ASA's Refund and Cancellation Policy and ASA's Complaint Resolution Policy 

Webinar Description

It is commonly seen in practice that a volatility “haircut” or “cap” – reducing the volatility if the market data suggests an elevated volatility level – is applied to appropriately price the convertible bonds, under the assumption that the convertible markets do not typically price in the full volatility at elevated levels. In this study, a set of traded convertible bonds with observable yields were selected and valued, and the model values were compared against observable traded values. Volatility caps were subsequently introduced and differences in model vs market prices were investigated. We find evidence to support the notion that market prices for convertibles do not always reflect the observed levels of volatility, and that using the observed volatility without an adjustment may result in overvaluing the convertible instruments in some cases.

Instructional Methods

Methods include lecture, visual PPT presentation and polling questions.  

Course Audience

Valuation practitioners in complex securities valuation

Learning Level 


Upon completion of this course, students will be able to:

  • Analyze the volatility input for convertible notes; 
  • Identify situations where a cap on a volatility may be appropriate;
  • Apply appropriate caps and/or haircuts to the volatility input; and
  • Discuss nuances of volatility estimation for convertible bonds with low vs high credit quality.


All course materials included with you registration are PDF Download Only items made available to students prior to the start of the class and are not for resale or distribution. All downloadable materials are accessible via your education dashboard (login required). Once eMaterials have been posted for download, the class is no longer refundable.

Accessing eMaterials

eMaterials are provided electronically in PDF format and posted to the class the morning of the live event and listed within the education dashboard for all registrants to securely access prior to the start of the webinar. When opting to print downloadable materials, it is recommended that settings be adjusted to print in black and white (or grayscale) and consider printing double-sided on recycled paper.

Certificate of Completion

A certificate of completion will be available to view and/or download immediately via your education dashboard once all required components are completed. 

Amir Alerasoul

Managing Director


Amir Alerasoul is a Managing Director at VRC’s Complex Instruments Group. Mr. Alerasoul specializes in the valuation of stock compensation, options, derivatives and complex securities. Prior to joining VRC, Mr. Alerasoul held the position of valuation manager at Deloitte Transactions and Business Analytics where he valued complex debt and equity positions. He also held positions at Morgan Stanley and Deutsche Bank where he valued different equity products including exotic equity derivatives. He earned an MBA with concentrations in finance and quantitative analysis from Carnegie Mellon University and a masters in financial engineering from Baruch University.

Marina Kagan



Marina Kagan is a Partner in the San Francisco office of PwC and works in the firm's Financial Analytics and Derivatives practice. Marina has 14+ years of experience implementing complex financial models for a variety of asset classes and transactions, including fixed income, commodity, and equity derivatives, contingent assets/liabilities, intellectual property, and corporate transactions, for accounting, tax, and management decision making purposes. Marina has extensive experience with statistical modeling, data and analytics, assisting clients with assessing risks and quantifying uncertainties in transactions and complex financial decisions through simulation models, decision analysis, and data visualization. Prior to joining PwC in 2008, Marina was an Associate Director at Fitch Ratings. Marina has an MS in Mathematics in Finance from New York University, and a BS in Computational Mathematics from the City University of New York. 


Live Virtual Event
Zoom Webinar Access
04/20/2023 at 1:00 PM (EDT)  |  120 minutes
04/20/2023 at 1:00 PM (EDT)  |  120 minutes Join link will be active 10 minutes before the scheduled live webinar. Once you click on the join link, you will be re-directed to the zoom event waiting room and the host will allow you to join shortly. If you experience technical issues joining via the link, we highly recommend to dial-in via a telephone until you are able to troubleshoot your access issue that may be related to personal settings, pop-up blockers, firewall etc. In addition, refreshing, or logging off and re-joining typically resolves access issues. Please email if you've exhausted all recommended troubleshooting tips. Thank you.
Course Wrap-up
BV534 Webinar Evaluation
15 Questions
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BV534 Webinar Certificate
2.40 CPE credits  |  Certificate available
2.40 CPE credits  |  Certificate available