Pricing Death Bonds: Fair Value Measurement in the Life Settlement Market

Journal of Fixed Income Pub Date : 2020-05-14 DOI:10.3905/6285

Alexander Braun, Jiahua Xu

引用次数: 0

Abstract

IFRS (International Financial Reporting Standards) 13 and the AIFMD (Alternative Investment Fund Managers Directive) require assets to be held at fair value. Life settlement prices are commonly determined by present value calculus. Yet, the asset class lacks an established approach for the determination of adequate discount rates. We estimate historical yield spreads used for pricing based on 2,863 transactions that occurred between 2011 and 2016. We then explain their cross section through hedonic regression methodology. Out-of-sample results indicate that market-consistent life settlement prices can be conclusively predicted using discount rates from our model.

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死亡债券定价:寿险结算市场的公允价值计量

IFRS(国际财务报告准则)13和AIFMD(另类投资基金经理指令)要求资产以公允价值持有。寿险结算价格通常由现值演算确定。然而，该资产类别缺乏确定适当贴现率的既定方法。我们根据2011年至2016年间发生的2,863笔交易估算了用于定价的历史收益率差。然后，我们通过享乐回归方法解释了它们的横截面。样本外结果表明，使用我们模型中的贴现率可以最终预测市场一致的寿命结算价格。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Fixed Income Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.