Accounting for KVA under IFRS 13

An accounting treatment for the economic effect of KVA in accordance with IFRS13

balance sheet

The capital requirements of Basel 2.5 (BCBS-193, 2011) and Basel III (BCBS-189, 2011) have contributed to major reorganisations in trading activity post-crisis. Recent surveys (Sherif and Chambers 2015; Ernst and Young 2015) indicate that banks are pricing the lifetime  cost of capital, reflected in KVA into trades, and pricing methods have been formalised (Green, Kenyon and Denis, 2014; Kenyon and Green, 2015; Elouerkhaoui, 2016) but no accounting treatment has been presented. By accoun

To continue reading...