Financial Instrument Valuation in European Banks between 2009 and 2011: Market Value or Model Value?

Dominique Dufour Maître de conférences, université de Nice Sophia Antipolis, laboratoire GRM. Contact : domduf@wanadoo.fr.
Grégory Heem Maître de conférences, université de Nice Sophia Antipolis, laboratoire GREDEGUMR7321 CNRS. Contact : gregory.heem@unice.fr.


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.


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