Integrity of the benchmark price for price testing of US municipal bonds
External financial market data institutions (vendors) may provide different prices for the same US municipal bond due to differences among market participants in perception about its market value. The valuation control function will include only selected vendors in the calculation of the cons...
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| Format: | Article |
| Language: | deu |
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Faculty of Economics University of Rijeka
2020-06-01
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| Series: | Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu |
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| Online Access: | https://www.efri.uniri.hr/upload/Zbornik_1_2020/11-Devjak-2020-1.pdf |
| _version_ | 1818111855104622592 |
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| author | Srečko Devjak |
| author_facet | Srečko Devjak |
| author_sort | Srečko Devjak |
| collection | DOAJ |
| description | External financial market data institutions (vendors) may provide different prices for the same US municipal bond due to differences among market participants in perception about its market value. The valuation control function will include only selected vendors in the calculation of the consensus price, which enters as a benchmark price in the price testing process. Selection of vendors is largely driven by the valuation control function’s consideration of their valuation capabilities and their market coverage. Empirical analysis in this paper shows that additional pricing service may bring additional pricing information to the final consensus price, which may significantly alter the benchmark price and final price testing results. The approach described in this paper is in interest of any financial institution with US municipal bonds in the trading portfolio. Contribution of this paper to valuation of US municipal bonds is high because remaining literature does not explain alternative approach to measurement of additional pricing information in the benchmark price. |
| first_indexed | 2024-12-11T03:09:40Z |
| format | Article |
| id | doaj.art-4390787b6b0b4e229d2f6f0370ec0bc8 |
| institution | Directory Open Access Journal |
| issn | 1331-8004 1846-7520 |
| language | deu |
| last_indexed | 2024-12-11T03:09:40Z |
| publishDate | 2020-06-01 |
| publisher | Faculty of Economics University of Rijeka |
| record_format | Article |
| series | Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu |
| spelling | doaj.art-4390787b6b0b4e229d2f6f0370ec0bc82022-12-22T01:22:53ZdeuFaculty of Economics University of RijekaZbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu1331-80041846-75202020-06-0138121523510.18045/zbefri.2020.1.215Integrity of the benchmark price for price testing of US municipal bondsSrečko Devjak0treasury risk management in banking, quant engineering in bankingExternal financial market data institutions (vendors) may provide different prices for the same US municipal bond due to differences among market participants in perception about its market value. The valuation control function will include only selected vendors in the calculation of the consensus price, which enters as a benchmark price in the price testing process. Selection of vendors is largely driven by the valuation control function’s consideration of their valuation capabilities and their market coverage. Empirical analysis in this paper shows that additional pricing service may bring additional pricing information to the final consensus price, which may significantly alter the benchmark price and final price testing results. The approach described in this paper is in interest of any financial institution with US municipal bonds in the trading portfolio. Contribution of this paper to valuation of US municipal bonds is high because remaining literature does not explain alternative approach to measurement of additional pricing information in the benchmark price.https://www.efri.uniri.hr/upload/Zbornik_1_2020/11-Devjak-2020-1.pdftreasury risk management in banking |
| spellingShingle | Srečko Devjak Integrity of the benchmark price for price testing of US municipal bonds Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu treasury risk management in banking |
| title | Integrity of the benchmark price for price testing of US municipal bonds |
| title_full | Integrity of the benchmark price for price testing of US municipal bonds |
| title_fullStr | Integrity of the benchmark price for price testing of US municipal bonds |
| title_full_unstemmed | Integrity of the benchmark price for price testing of US municipal bonds |
| title_short | Integrity of the benchmark price for price testing of US municipal bonds |
| title_sort | integrity of the benchmark price for price testing of us municipal bonds |
| topic | treasury risk management in banking |
| url | https://www.efri.uniri.hr/upload/Zbornik_1_2020/11-Devjak-2020-1.pdf |
| work_keys_str_mv | AT sreckodevjak integrityofthebenchmarkpriceforpricetestingofusmunicipalbonds |