BV535 Volatility Estimation Considering the Effect of COVID-19
- Registration Closed
Class Date/Time
Thursday, May 18, 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 www.learningmarket.org.
CPE Credit: Up to (2.4) CPE credits in Specialized Knowledge
Program Level: Intermediate
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
The period of early 2020 was one of extremely high volatility in the market. Valuation practitioners are required to assess a reasonable volatility level for valuation dates in 2020 and beyond. In this study, various approaches are considered and compared: (1) Use historical volatility based on the lookback period matching the term of the instrument (2) Use a blend of historical and implied volatility (3) Use a longer historical lookback period (4) Exclude the period of high volatility from the lookback period.
Instructional Methods
Methods include lecture, visual PPT presentation and polling questions.
Course Audience
Valuation practitioners who require estimation of volatility as input to their valuation framework, e.g. in providing ASC718, 409A or complex securities valuation reports
Learning Level
Intermediate
Upon completion of this course, students will be able to:
- Analyze and estimate the volatility assumption;
- Discuss approaches to estimating volatility during turbulent periods in the market;
- Describe the impact of COVID-19 on the volatility of public companies; and
- Examine volatility trends over time. Analyze the volatility input for convertible notes.
eMaterials
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
VRC
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
Partner
PwC
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.
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