IFRS 13 – Accounting for CVA & DVA

With the introduction of IFRS 13, the requirements for calculating complex variables including CVA and DVA remain. In this webinar Deloitte and Quantifi talk about the challenges, risk factors, calculation techniques, and concepts for measuring financial instruments under IFRS13


Agenda

  • Challenges and implications of measuring financial instruments under IFRS 13
  • Review of the different Fair Value Adjustements – CVA/ DVA/ FVA
  • Risk factors and requirements for calculating CVA, DVA & FVA (XVA)

Presenters

  • Dr. Dmitry Pugachevsky, Director of Research, Quantifi
  • Dr. Roman Bedau, Consultant, Deloitte

“A comprehensive evaluation of bilateral CVA needs to take into account the time dependent dynamics of the derivatives’ market values as well as an estimate for the probability of default of both contractual partners.”

Dr. Roman Bedau, Consultant, Deloitte

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Innovative thinking

Whitepapers

IFRS13: The Implications for Hedge Accounting

This whitepaper explores the challenges, risk factors, calculation techniques, and concepts for measuring financial instruments under IFRS 13. It examines the effect of CVA and DVA on hedge effectiveness, the different approaches for testing hedge effectiveness and best practice for inclusion or exclusion of CVA and DVA in setting up hypothetical derivatives.

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Whitepapers

CVA, DVA and Hedging Earnings Volatility

Credit Value Adjustment (CVA) is the amount subtracted from the mark-to-market (MTM) value of derivative positions to account for the expected loss due to counterparty defaults. Debt Value Adjustment (DVA) is basically CVA from the counterparty’s perspective. If one party incurs a CVA loss, the other party records a corresponding DVA gain.

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Whitepapers

CVA, DVA and Bank Earnings

Credit Value Adjustment (CVA) is the amount subtracted from the mark-to-market (MTM) value of derivative positions to account for the expected loss due to counterparty defaults.

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