La valorisation des instruments financiers dans les banques européennes entre 2009 et 2011: valeurs de marché ou valeurs issues de modèles ?

Dominique Dufour and Gregory Heem

Revue d'économie financière, 2013, vol. N° 112, issue 4, 317-338

Abstract: When financial markets are no more active, as in 2008, the question of fair value valuation techniques becomes crucial. IFRS 7 specifies a three-level hierarchy for fair value measurement disclosures: market value, model using significant observable market data and models not using significant observable market data. The aim of this work is to study the evolution of fair value measurement techniques in European Banks since the beginning of the crisis. Our results show that banks ? and more specifically great banks ? increased the use of model valuation. Classification JEL: G01, G12, G21, G28, M41.

JEL-codes: G01 G12 G21 G28 M41 (search for similar items in EconPapers)
Date: 2013
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