IFRS 13: CVA, DVA, FVA and the Implications on Hedge Accounting

Quantifi & Deloitte examine the influence 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.

 

IFRS 13: CVA, DVA, FVA and the Implications on Hedge Accounting video

Agenda

  • Challenges and Implications of Measuring Financial Instruments under IFRS13
  • Review of the different Fair Value Adjustments - CVA/DVA/FVA
  • Impact of Valuation Adjustments& OIS discounting on Hedge Accounting
  • Risk Factors and Requirements for Calculating CVA, DVA, FVA (XVA)

Presenters

  • Dr. Dmitry Pugachevsky, Director of Research, Quantifi
  • Searle Silverman, Consultant, Deloitte
  • Philip van den Berg, Consultant, Deloitte 

 

Recommended Whitepapers and Articles

IFRS13 - Accounting for CVA and DVA

CVA, DVA and Hedging Earnings Volatility

A First View on the New CVA Risk Capital Charge

CVA, DVA and Bank Earnings