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Quantitative Finance · Glossário

O que é Valuation reserve?

Definition 27.2 Derivatives and Volatility · Capítulo 27 — Managing an Exotic Book

A valuation reserve is an amount by which a firm lowers the booked value of a position below its model mid, for a specific source of uncertainty in what the position could be exited at; reserves are computed position by position, kept in the books, and reviewed at every valuation date.

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