International Financial Reporting Standards (IFRS)
EBA: small banks will be worst hit by IFRS 9
Standard approach banks disadvantaged by higher capital impact and implementation burden
Carbon life force: derivatives defy coal's bleak future
Coal producers shorting volatility to collect premium, say traders
Risk Chartis Market Report: IFRS 9
Sponsored by Oracle, Moody's Analytics and AxiomSL
Under construction: Renovations for CECL begin
Sponsored content: SAS
Some options for evaluating significant deterioration under IFRS 9
The authors of this paper address some issues to do with IFRS 9 and explain how to determine if an instrument has suffered serious deterioration in credit risk.
A bond consistent derivative fair value
This paper presents a rigorously motivated pricing equation for derivatives.
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
Q&A: FDIC’s Hoenig warns on daily settled swaps
FDIC vice-chair on leverage-cutting schemes, TLAC and TBTF
Liability-side pricing of swaps
Wujiang Lou presents a framework to compute recursive CVA and FVA via Monte Carlo simulation
Accounting for KVA under IFRS 13
An accounting treatment for the economic effect of KVA in accordance with IFRS13
DVA shift a net positive for structured notes
Most structured note businesses likely to welcome accounting change
Accounting change threatens structured note DVA hedges
Move could force unwinds, but an IFRS exemption may prove a saviour
HBOS investigation reveals possible ‘loose rivet’ in UK regulation
Accounting standards and auditing may be a weak point
Applying risk technology and data in a ‘brave new world’
Sponsored feature: FIS
Firms tap Solvency II know-how for accounting overhaul
IFRS changes will be next challenge for European insurers
Traders see DVA adjustment as 'accounting fudge'
Dealers at London event remain unconvinced by controversial funding adjustment
Banks split on accounting for KVA – Risk survey
Accounting standard is coming, say some - others see no KVA requirement
Noble Group defends off-balance sheet inventory deals
Firm’s treatment of optional commodity inventory sales is appropriate, CEO says
Noble Group challenged over mark-to-market accounting
Mysterious critic calls trader's long-dated contract valuations into question
Audit firms driving CVA uptake by Hong Kong and Singapore banks
Local banks have so far been reluctant to move beyond regulatory CVA requirements
Taiwan mandates CVA implementation for all listed banks
Banks will have to account for CVA, but are not expected to price it into OTC deals
PRA reviewing need for new accounting at UK banks – Carney
Bank accounting has improved in past two years, BoE governor tells hearing