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

insights

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.

Whitepapers

IFRS13 – Accounting for CVA and DVA

With the introduction of IFRS 13, the requirements to calculate complex variables such as CVA and DVA remains. IFRS 13 will have significant implications for all firms that measure financial assets at fair value.

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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