HullRMFI2ndEdCh20金融风险管理.pptVIP

Marking the Prices of an Instrument to Market Use price quoted by market maker (usually financial institutions mark to mid of bid and offer) Use price at which financial institution has traded product Use interdealer broker prices Use interdealer price indications Use model (marking to model) Risk Management and Financial Institutions 2e, Chapter 20, Copyright ? John C. Hull 2009 * Accounting FASB 157 and IASB 39 classify instruments as “held for sale” or “held to maturity” Those classified as held for sale have to be marked to market Level 1: uses quoted prices in active markets Level 2: