Fair value accounting
The black art of FVA: Banks spark double-counting fears
Dealers broadly agree that funding costs and benefits should be priced into uncollateralised trades, and some banks have started recognising this in their financial statements. But there is no standard...
Marking whole positions to the current clearing price as in mark-to-market accounting ignores the effect that liquidating a position can have. Such valuations overstate the cash that will be received and...
Marking whole positions to the current clearing price as in mark-to-market accounting ignores the effect that liquidating a position can have. Such valuations overstate the cash that will be received and...
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More Fair value accounting articles
DVA: a 'shameful scam'
Despite the attempts of some quants to give it a sturdy foundation, debit valuation adjustment remains a scam, one critic argues. Laurie Carver introduces this month’s technical articles
Risk Annual Summit: CVA rethink needed, says HSBC risk specialist
Market risk hedges should be recognised when calculating CVA capital charge, says HSBC market risk modelling head
Basel DVA capital deduction could cost banks billions
Billions of dollars in capital could be excluded under Basel proposals on derivatives DVA - with US banks hardest hit
Basel DVA proposals could subtract billions from bank capital
Accountants want banks to report as profits the impact of widening credit spreads on their liabilities, but regulators are moving in the other direction. The result could be painful deductions from capital, and two very different sets of incentives. Laurie...
FASB softening stance in bid for convergence, say analysts
US standard-setter tilting towards IFRS on accounting for financial instruments
Fair-value accounting for CVA, part two
In the second of a two-part series, Dirk Schubert analyses fair-value accounting for credit value adjustment, and considers how consistency can be achieved between bank counterparty risk management practices and requirements under International Accounting...
Fair-value accounting for CVA
Banks are required to recognise fair-value adjustments for credit value adjustment under International Financial Reporting Standards, but the rules are extremely complex. In the first of a two-part article, Dirk Schubert explains the boundary conditions...
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