BV535 Volatility Estimation Considering the Effect of COVID-19

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.

Learning Outcomes

Upon webinar completion, the participant 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.

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

Instructor Information

Amir Alerasoul | 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 | 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. 

Continuing Education

Review of this session recording will award 2 CE hour(s). 

CPE credit is not awarded for this pre-recorded offering.