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 whitepapers examines these challenges and also the different approached for testing hedge effectiveness.