Valuation Services
Independent Valuation Model Validation Audit Support Intraday/Daily Valuation
GFA specializes in complex illiquid securities known as FASB 157 level 3 securities. Our extensive experience and infrastructure permits valuation of many thousands of securities at whatever frequency may be needed.
Gifford Fong Associates has been continuously working to improve and streamline our valuation process, especially in the very complex structured products. Please feel free to contact us for further detail.
Independent Valuation
Gifford Fong Associates offers contemporaneous and
historical modeled pricing for fixed income securities and a
wide range of derivatives, in compliance with
FASB 157 fair value
measurements. This is based on many years of
experience using state of the art finance theory and modern
statistical methodologies. In addition, Gifford Fong Associates
provides its thirty plus years of dedication to assisting large
financial institutional clients to understand and manage
portfolio risks with care and prudence using the most
sophisticated and effective investment techniques.
Auction Rate Securities: Municipal Auction
Rate Securities, Auction Rate Preferred Stocks, Auction Rate
Securities backed by Structured Products
Commodities and Derivatives: Commodity swaps, forwards, and
futures
Credit Derivatives: Total return swaps on equity and fixed
income, Credit default swaps, Credit default options, Credit linked
notes
Fixed Income / Structured Products: Mortgage Backed
Securities (MBS), Asset Backed Securities (ABS), and Collateralized
Debt Obligations (CDO)
Interest Rate Derivatives: Vanilla IR swaps, Floating Rate
Notes Basis swaps, Floating rate notes, Asset swaps, Range Accrual
Notes, Vanilla IR options (caps and floors, swaptions, straddles,
cancelable swaps) Exotic IR options (forward starting swaptions,
straddles)
Foreign Exchange: Currency swaps, FX options
Model Validation
Evaluate and verify the performance of in-house/proprietary models
for different services and projects.
GFA provides effectiveness verification of internal
in-house/proprietary model methodologies, systems, and processes
compared to industry standards. These services enable GFA to produce
reports illustrating key performance indicators for different daily,
monthly, and quarterly projects.
The three major steps that compose the model validation process are
as follows:
1. Review of the concept and theory for each project. GFA will
review the model methodology, assumptions, risk factor inputs,
functions, outputs and associated processes.
2. Verification of the model’s operations. GFA performs separate
analyses of each of the model’s functions by verifying system
operations to ensure data integrity during the model building and
validation processes.
3. Conduct back testing to ensure accuracy and realization of the
model’s philosophy.
Audit Support
GFA specializes in but is not limited to audit support in the
following two areas:
1. Fair value evaluation of illiquid fixed income
securities and derivatives
2. Fixed income security
Other-Than-Temporary-Impairment (OTTI) analysis
Intraday/Daily Valuation
GFA provides independent valuation on T-Bill, Treasury and Agency
notes and bonds, Separate Trading of Registered Interest and
Principal of Securities (STRIPS), Treasury Inflation-Protected
Securities (TIPS), and Strips of the Treasury Inflation-Protected
Securities (STRIPS TII).