Fair value
Berkshire Hathaway dinged $300m by equity index options
Derivatives have netted conglomerate $2.2 billion in gains since 2004
Lifetime achievement award: Craig Broderick
Risk Awards 2019: Goldman’s long-serving CRO helped bank survive the crisis, and then adapt to new world
Korean insurers shun structured notes ahead of IFRS 9
Prospect of earnings volatility blamed as big buyers of notes turn to less exotic assets
US banks cut available-for-sale portfolios
Securities classifications have shifted materially since AOCI filters were removed in 2014
Commerzbank cuts loan charges in wake of IFRS 9
German lender posts “risk result” – costs associated with changes to loan-loss provisions and remeasurement of assets – of €77 million in March
Japanese banks eye phased CVA introduction
Working group reports “growing need” for valuation adjustment but cherry-picking fears persist
All MVA needs is a first-mover
Fair value adjustment for initial margin should be reflected in accounting statement
Accounting – a quant's job?
Quants have a new interest - developing accounting frameworks
New research shows FVA is not part of P&L – Duffie
Pricing experts defend practices that resulted in huge FVA losses
Market pricing of credit linked notes: the influence of the financial crisis
This paper analyzes whether the financial crisis of 2007–9 had an effect on the mispricing of CLNs.
Banks split on accounting for KVA – Risk survey
Accounting standard is coming, say some - others see no KVA requirement
UBS takes Sfr267 million FVA charge
Swiss bank takes FVA charge and removes DVA double-count
The death of an accounting dream
IASB and FASB have failed to bring standards together, stakeholders say
Fair value accounting's blind spot
Market prices ignore time-to-liquidation, says David Rowe
IASB: Liquidity buffers seek a safe home
Fair-value friend
Cross-currency flap leaves cloud over IFRS 9
Purely hypothetical
Show me the money: banks explore DVA hedging
Show me the money
