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• W3002289038 abstract "IFRS 13 and the AIFMD 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. The authors estimate historical yield spreads used for pricing based on 2,863 transactions that occurred between 2011 and 2016. The cross-section is explained through hedonic regression methodology. Out-of-sample results indicate that market-consistent life settlement prices can be conclusively predicted using discount rates generated by our model. <b>TOPICS:</b>Fixed income and structured finance, risk management, performance measurement <b>Key Findings</b> • The authors provide an explanation of historically observed yield spreads for life settlements. • The authors develop a parsimonious model for the prediction of risk-adjusted discount rates in the life settlements market. • The results demonstrate that life settlement assets can be marked to market based on observable inputs." @default.
• W3002289038 created "2020-01-30" @default.
• W3002289038 creator A5017109481 @default.
• W3002289038 creator A5088559960 @default.
• W3002289038 date "2020-01-22" @default.
• W3002289038 modified "2023-10-17" @default.
• W3002289038 title "Fair Value Measurement in the Life Settlement Market" @default.
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• W3002289038 doi "https://doi.org/10.3905/jfi.2020.1.084" @default.
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