Fair Value Measurement in Inactive Crypto Asset Markets
针对加密资产不直接交易或交易量低导致无法获得可靠定价信息的问题，提出主路径法（PPM）从合规市场提取价格，改进当前估值技术，实证表明该方法能提供更相关和如实反映的定价信息。
This article proposes a new dynamic method, the Principal Path Method (PPM), for pricing crypto asset against a primary or functional (fiat) currency in situations where these assets do not trade directly against the functional currency or trade at volumes that prevent resulting pricing information to qualify as Level 1 (ASC 820) for financial reporting. We base our method on the guidance provided in ASC 820, IFRS 13, and IAS 21. Our method is designed to extract prices from “compliant” markets that result in reliable inputs to the valuation process. We believe that our methodology improves the current techniques used to value thinly traded crypto assets such as using the last observable transaction price, creating a weighted-average price across multiple markets, or using data on comparable tokens, if available. Furthermore, we present empirical evidence that suggests pricing information generated by our method for non-exchangeable, thinly traded, or illiquid crypto assets better reflects the fundamental qualitative characteristics of useful information, relevance and faithful representation, and results in more reliable inputs used in the valuation process. Unlike methods currently used in practice, our method ensures the integrity of the valuation data employed by selecting prices from compliant markets.