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Appraisers frequently value non-traded convertible debt, either to estimate the fair value of the debt component of the convertible, or to estimate the value of one or more derivatives embedded in the convertible debt. I have performed many of these valuations. They always require important judgments by the appraiser about the inputs to use in the selected valuation model.
The paper shown here, “Comparing Three Convertible Bond Valuation Models,” Business Valuation Review, 36, 1, (2017) address a judgment that precedes the choice of inputs, namely the choice of convertible debt valuation model.
To see an illustration of my valuation work for a convertible note go to Valuation Case Studies/Convertible Debt.
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