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When a derivative counterparty declares bankruptcy, it triggers the termination of its derivative contracts. The derivatives counterparties to the bankrupt entity would make claims in bankruptcy courts based on the value of each derivative position as of the termination date. This process is referred to as derivative closeout. Although the International Swaps and Derivatives Association (ISDA) has prescribed standard processes for determining the value of derivatives in closeout situations, the implementation of these processes often yields results that are highly contested and require sophisticated analysis. This is especially true for illiquid or complex derivative contracts.
NERA has assisted clients in numerous derivative closeouts, including those that arise due to failure in meeting collateral calls. We have valued large derivative books that contained thousands of contracts, both vanilla and exotic in nature. Our valuations of complex financial instruments use real options, probability-weighted and dynamic cash flow models, the stock and debt approach to real property appraisal, and event studies to measure lost profits. Our experience with a variety of financial instruments, including structured products, credit default swaps, and other complex derivatives, allows us to quickly assess the impact of market conditions on the value of the derivatives.
Name | Title | Location | Phone | |
---|---|---|---|---|
Dr. Faten Sabry |
Managing Director
Chair of NERA's Global Securities and Finance Practice Bankruptcy Practice Chair |
New York City
London |
+1 212 345 3285
+44 20 7659 8618 |
faten.sabry@nera.com |
Jorge Baez | Director |
Miami
New York City |
+1 305 341 5060
+1 212 345 5753 |
jorge.baez@nera.com |
Dr. Airat Chanyshev | Associate Director | New York City | +1 212 345 7336 | airat.chanyshev@nera.com |
William P. Hrycay | Associate Director | New York City | +1 212 345 1518 | william.hrycay@nera.com |
Title | Type | Author | ||
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How COVID-19 Impact Analysis May Shape MAE Disputes | Published Article | Dr. David Tabak and Edward Flores | ||
COVID-19, MAEs, and Preliminary Evidence of Disproportionate Impacts Within Industrie... | Brief | Dr. David Tabak and Edward Flores | ||
S&P 500 Index: Daily Price Movements | Brief | Dr. David Tabak and Edward Flores | ||
Manufactured Defaults and the Use of Credit Default Swaps | Report | Dr. Faten Sabry, Dr. Ignacio Franceschelli, David Cen | ||
Fair Value, Transaction Price, and Common Equity Price in Delaware Appraisal Litigati... | Published Article | William P. Hrycay | ||
Recent Trends in Securities Class Action Litigation: Q1 2018 Update | Published Article | By Stefan Boettrich and Svetlana Starykh | ||
What Does the CFPB Complaint Database Tell Us About the Quality of Servicing of Stude... | White Paper | By Dr. Faten Sabry, Dr. Ignacio Franceschelli, and David Cen | ||
Not All MBS Settlements Are Equal | White Paper | By Faten Sabry, Sungi Lee, and Linh Nguyen | ||
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Title | Date | |||
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Two Sides of the Coin: Future Cryptocurrency Regulatory and Litigation Risks | 17 March 2021 | |||
Trends and Updates on Financial Damages Calculations and Valuations: Best Practices E... | 21 January 2020 | |||
New York City Bankruptcy Conference | 22 May 2019 | |||
Asbestos Litigation Risks: How Recent Changes in Asbestos Landscape May Affect Your R... | 14 March 2019 | |||
13th Annual Conference on Empirical Legal Studies | 09 November 2018 | |||
Puerto Rico Restructuring Crisis As Compared to Detroit: Roundtable | 29 November 2017 | |||
ABI New York City Bankruptcy Conference | 18 May 2017 | |||
VALCON 2015: Emerging Valuation Issues in Bankruptcy and Beyond | 25 February 2015 | |||
VALCON 2014: Contested Valuation Issues in Bankruptcy | 26 February 2014 | |||
31st Annual Advanced Business Bankruptcy Course | 20 February 2014 | |||
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Title | Date | Type | ||
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Trends in 2019 Securities Class Actions: Filings Remain High, Resolutions Have Slowed... | 21 January 2020 | Press Release | ||
NERA Economic Consulting Opens Office in Milan, Italy | 19 November 2019 | Press Release | ||
2018 US Securities Class Action Filings Break New Records; NERA Economic Consulting R... | 29 January 2019 | Press Release | ||
Record Increase in 2017 US Securities Class Action Filings Driven by Merger-Objection... | 30 January 2018 | Press Release | ||
NERA Economic Consulting Opens Office in Miami, Florida | 14 November 2017 | Press Release | ||
NERA Economic Consulting Recognized in Who’s Who Legal: Consulting Experts Guide | 06 October 2016 | Press Release | ||
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