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IFRS 13 webinar: CVA, DVA, FVA and the implications on hedge accounting

Published on: 26 Sep 2014

With the introduction of IFRS 13 Fair Value Measurement, more emphasis has been placed on valuation adjustments such as credit valuation adjustment (CVA), debt valuation adjustment (DVA), funding valuation adjustment (FVA), as well as other evolving valuation practises such as overnight index swap (OIS) discounting.

IFRS 13 has significant implications for all firms, including corporates that measure financial assets at fair value. As a result, these changes also impact hedge designation and effectiveness testing. Deloitte, in partnership with Quantifi, presented a webinar on 27 August 2014 which looked at the challenges, risk factors, calculation techniques, and concepts for measuring financial instruments under IFRS 13, as well as the hedge accounting implications.

This webinar covers the following topics:

  • Challenges and implications of measuring financial instruments under IFRS 13
  • Fair value adjustments - CVA, DVA, FVA
  • Impact of valuation adjustments and OIS discounting on hedge accounting
  • Risk factors and requirements for calculating CVA, DVA, and FVA (XVA).

Expert speakers

Dmitry Pugachevsky is responsible for managing Quantifi’s global research efforts. Prior to joining Quantifi in 2011, Dmitry was Managing Director and a Head of Counterparty Credit Modeling at JP Morgan. Before starting with JPMorgan in 2008, Dmitry was a Global Head of Credit Analytics of Bear Stearns for seven years. Prior to that, he worked for eight years with analytics groups of Bankers, Trust and Deutsche Bank. Dr. Pugachevsky received his PhD in applied mathematics from Carnegie Mellon University. He is a frequent speaker at industry conferences and has published several papers and book chapters on modelling counterparty credit risk and pricing derivatives instruments

Philip van den Berg is a Senior Manager in the Capital Markets division of Deloitte. He consults on IFRS 13 to Deloitte’s top banking, insurance, asset manager and corporate treasury clients. He has experience in the valuation of financial instruments and the use of these instruments for investment, risk management and hedging purposes. He has written an article on hedge accounting which was published by the Association of Corporate Treasurers (ACTSA) and by the Accountancy SA magazines. He holds a Chartered Accountant (South Africa) qualification, a Financial Risk Manager (FRM) qualification and he passed Level I, II and III of the Chartered Financial Analyst (CFA) examination.

Searle Silverman is a senior manager working within the Capital Markets division of Deloitte South Africa member firm. He started his career at Deloitte in November 2012, having previously worked at Rand Merchant Bank as a quantitative analyst for over 5 years. Part of his focus in that role entailed building a financial modelling library used by the traders and risk managers, validating and assisting with traders’ pricing templates, and investigating proxy hedges in the commodity, FX and inflation markets.

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