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.


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

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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.

Whitepapers

IFRS13 – Accounting for CVA and DVA

IFRS 13 "fair value measurement" became effective 1st of January 2013. The International Accounting Standard Board (IASB) issued IFRS (International Financial Reporting Standards) 13 in May 2011 to improve the consistency of fair value measurements.

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. CVA is easy to understand in the context of a loan – it is the loan principal, minus anticipated recovery, multiplied by the counterparty’s default probability over the term of the loan. For derivatives, the loan amount is the net MTM value of derivative positions with that counterparty.

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