debt value adjustment (DVA)

Should you charge for FVA?

Thursday, February 27, 2020

In our previous article published in Total Derivatives (The impact of FVA on swaps - A primer) we introduced FVA - Funding Valuation Adjustment - and outlined different scenarios when it has to be calculated. We also demonstrated the role of wrong-way risk, including one arising from a correlation between the default risk of a bank and its counterparty. Here we describe the on-going industry debate on how to treat FVA – as a part of risk-neutral pricing or as an extra cost of a trade.

Sell-Side Risk Management, Chartis RiskTech Quadrant®

Wednesday, January 27, 2016

by Chartis Research

Risk management systems for sell-side institutions cover a range of capabilities across different categories of risk such as liquidity risk, market risk, credit risk and operational risk. They are required to support a broad range of asset classes, as well as a variety of risk analytics including both pre-deal and post-trade analytics. Sell-side risk management involves front, middle and back office operations. In this report Chartis covers the leading technology providers capable of addressing essential aspects of the emerging demand for sell-side risk management and focuses on the key capabilities and strengths of Quantifi as a provider of sell-side risk management solutions.

IFRS13: The Implications for Hedge Accounting

Wednesday, January 27, 2016

by Dmitry Pugachevsky, Rohan Douglas (Quantifi) and 
Searle Silverman, Philip Van den Berg (Deloitte)

With the introduction of the new accounting standard, IFRS 13, the requirement to calculate complex variables, such as CVA and DVA has renewed emphasis. IFRS 13 has significant implications for all entities, including corporates and those in the financial services sector that hold derivatives, which are measured at fair value. CVA and DVA also result in additional challenges when performing hedge effectiveness testing under IAS 39.  This whitepaper examines these challenges and also the different approached for testing hedge effectiveness.

IFRS13 - Accounting for CVA and DVA

Wednesday, January 27, 2016

by Dmitry Pugachevsky, Rohan Douglas (Quantifi) and Roman Bedau (Deloitte)

According to IFRS 13, model-based fair value measurements have to take into account all risk factors that market participants would consider, including credit risk. In order to reflect the credit risk of the counterparty in an OTC-derivative transaction, an adjustment of its valuation has to be made. Therefore, depending on the type of derivative, not only does the market value of the counterparty’s credit risk (CVA) need to be taken into account, but also the company’s own credit risk (debit valuation adjustment - DVA) has to be considered in order to calculate the correct fair value. This whitepaper explores the different Fair Value Adjustments and valuation techniques under IFRS 13.

Should Banks Charge for FVA?

Wednesday, January 27, 2016

by Dmitry Pugachevsky, Quantifi

Interest on the topic of Funding Valuation Adjustment (FVA) was renewed, particularly in light of the JPMorgan’s Q4 2013 earnings report on January 14th 2014, which for the first time included FVA. This whitepaper focuses on the investor presentation delivered by JPMs Chief Financial Officer, Marianne Lake on JPMorgan adopting FVA. 

The VA with the Kicking-K

Friday, October 2, 2015

Recent years have seen valuation adjustments take centre stage in the pricing and valuation of OTC derivatives. Costs and benefits arising from credit (CVA), debt (DVA), funding (FVA) and collateral (ColVA) have become critically important in defining the dynamics of OTC markets.  Read More

Leading German Bank, Helaba, Selects Quantifi’s Single xVA Solution for Enterprise-Wide Derivatives Counterparty Risk Management

Wednesday, September 16, 2015

A key focus for Helaba is to enhance its counterparty risk management infrastructure for their OTC derivatives business. This is in response to current market practice associated with counterparty risk regulation, xVA management and funding, and changes in accounting rules. To support these requirements the bank recognised the need to complement their existing risk and core trading infrastructure with a more complete, modern and robust architecture. After a rigorous and transparent selection process, involving ten other solution providers, Quantifi was chosen as the preferred partner. read more

Deloitte and Quantifi Whitepaper Examines IFRS13 – CVA, DVA and the Implications for Hedge Accounting

Monday, March 16, 2015

“We have seen organisations struggle to incorporate CVA and DVA adjustments when performing hedge effectiveness testing. In some cases, CVA and DVA volatility has caused hedge ineffectiveness. It is critical for organisations to explore IFRS 13 compliant approaches that maximise hedge effectiveness.” Phillip van den Berg, Senior Manager, Deloitte read more


Thursday, February 12, 2015
This webinar examines the challenges, risk factors, calculation techniques, and concepts for measuring financial instruments under IFRS 13, as well as the hedge accounting implications. Deloitte recently consulted globally on the hedge accounting... read more