Valuation of structured products: foreign practice and Russian reality
The structured products market has grown dramatically over the past decade by all dimensions: by the volume of registered and outstanding issues, by the forms of payments in structured products and by the types of underlying assets. Active development of this market segment has led to the need to ensure its transparency and to protect the interests of private investors. The purpose of this work is to determine the necessary and sufficient set of methods for estimating the fair value of structured products and assessing the applicability of their use in Russian practice. Regarding the insufficient development of the domestic segment of the structured products regulation, European and American experience has been used as a basis for the study. To solve this problem, the paper considers actual aspects of pricing regulation of structured products in foreign markets and methods used to estimate the fair value of structured products. Based on scientific research of foreign authors, two key methods for determining the fair value of structured products are identified and an assessment of the potential of using these methods to evaluate structured products in the Russian jurisdiction is given.