Transcription of Credit valuation adjustments for derivative …
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Credit valuation adjustments for derivative …
Applying IFRS. IFRS 13 Fair Value Measurement Credit valuation adjustments for derivative contracts April 2014. Contents In this issue: 1. Background .. 2. 2. What has changed? .. 2. 3. How do Credit adjustments work? .. 4. 4. valuation methods .. 5. 5. Data challenges .. 7. 6. Portfolio approaches and Credit mitigation arrangements .. 9. Collateral arrangements .. 9. Netting 9. Allocation of portfolio-level Credit adjustments .. 10. 7. Interaction with hedge accounting .. 11. Appendix: Credit risk modelling for derivatives .. 13. Challenging market conditions following the economic crisis and the introduction of IFRS 13 Fair Value Measurement (IFRS 13). have highlighted the need to reflect Credit risk appropriately in the fair value of derivative contracts. This publication provides insight into some of the methods used in practice to determine valuation adjustments for Credit risk on all derivatives measured at fair value, except those for which a quoted price in an active market is available ( , over-the-counter (OTC) derivatives ).
April 2014 Credit valuation adjustments for derivative contracts 1 Contents In this issue: Challenging market conditions following the economic crisis and
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