Fair-value accounting for CVA

Dirk Schubert
10 Jan 2011

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

Banks are required to measure the fair value of over-the-counter derivatives trades under International Accounting Standard (IAS) 39, which includes the recognition of fair-value adjustments due to counterparty risk. Accounting rules are clear: the measurement and recognition of credit value adjustment (CVA) is mandatory (see footnote 1). But IAS 39 does not specify how to evaluate CVA (see footnote 2).

Despite this, it is possible to determine the appropriate accounting treatment by considering

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to print this content. Please contact [email protected] to find out more.

You are currently unable to copy this content. Please contact [email protected] to find out more.

You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]

You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]