Accounting
Time is tight: Implementing the IFRS 9 three-stage approach
Sponsored interview: Oracle
New accounting rules expected to hit US banks hardest
FASB’s Cecl rule could mean loss provisions for loans are three times higher compared with IFRS 9
Mind the Gaap: US banks brace for $50–100bn capital hit
New loan loss accounting regime could shrink US banks' Common Equity Tier 1 ratios by 25–50bp
Basel CVA bombshell widens gulf with bank accounting
Dealers face conflicting incentives and capital hike after internal models are blown away
Accounting – a quant's job?
Quants have a new interest - developing accounting frameworks
Capital and funding
Quants propose KVA and FVA accounting framework based on Solvency II regulation
IFRS 9 loss rules distracting banks from models and data
Banks neglecting necessary work on data and model governance, warn tech vendors
Basel plans would weaken leverage ratio
Adoption of 'risk-sensitive' SA-CCR will allow more leverage, argues FDIC vice-chair
XVAs: a gap between theory and practice
Hull and White see splits on FVA, MVA, KVA as irreconcilable
Banks struggle to crack 'very complex nut' of IFRS 9
Move to expected loss impairment regime brings major challenges, say banks and accountants
Banks seek capital pill for accounting headache
IFRS 9 loan loss provisions should be offset by reduction in capital, banks argue
New research shows FVA is not part of P&L – Duffie
Pricing experts defend practices that resulted in huge FVA losses
Accounting puts brake on move to daily settled swaps
New margin approach threatens hedge accounting status, could hurt effectiveness
Banks struggling with IFRS 9 impairment rules
Firms seek clarity on use of probabilistic scenarios ahead of January 2018 deadline
Banks shun internal models in CVA impact study
Accounting exposures win out as banks seek to align capital with front-office practice
Noble Group defends off-balance sheet inventory deals
Firm’s treatment of optional commodity inventory sales is appropriate, CEO says
PRA reviewing need for new accounting at UK banks – Carney
Bank accounting has improved in past two years, BoE governor tells hearing
Switching from UK GAAP unlikely to boost hedge fund profits
Accountants caution UK managers seeking IFRS tax arbitrage
FVA accounting, risk management and collateral trading
Albanese, Andersen and Iabichino present a method for accounting and risk managing FVAs
OCC 'disappointed' at lack of accounting convergence
FASB and IASB must keep trying to unite standards, say bank regulators
Prudent valuation vs confidence accounting
Accounts shouldn't pretend valuations are exact - but how best to fix the problem?
Leverage rumpus: Banks protest impact of ratio revisions
Client clearing, repo markets, credit derivatives – the leverage ratio casts a shadow over them all. But the overarching complaint is that the ratio should remain a backstop, and it’s a point on which many regulators agree. Lukas Becker and Tom Newton…
Linn Energy SEC inquiry sparks hedge accounting debate
Linn Energy, once fêted as a leader in risk management, is under scrutiny by US regulators for its derivatives accounting practices – something that is casting a shadow over other master limited partnerships in the upstream oil and gas business, finds…
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