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Convertible Bifurcation


One of the most common forms of embedded derivatives is in a convertible debenture or preferred stock issue. Fluctuations in the company stock price, or other factors, can have significant impact on the issuer's balance sheet and even income statement (in some circumstances).

Relying on purely theoretical models, like Black-Scholes, that do not properly account for the illiquidity of the instruments involved, will tend to overstate the value of embedded derivatives and generate excessive balance sheet or income statement volatility. Please email us at to inquire further.