International Financial Reporting Standard 13: fair value measurement (IFRS 13) was originally issued in May 2011 and applies to annual periods beginning on or after 1 January 2013. IFRS 13 provides a framework for determining fair value, clarifies the factors to be considered for estimating fair value and identifies key principles for estimating fair value. IFRS 13 facilitates preparers to apply, and users to better understand, the fair value measurements in financial statements, therefore helping improve consistency in the application of fair value measurement.
Impact of Valuation Adjustments (CVA, DVA, FVA, KVA) on Bank's Processes - An...Andrea Gigli
The talk hold in London on September 10th at the 5th Annual XVA Forum on Funding, Capital and Valuation. It covered some implications of Valuation Adjustments like CVA, DVA, FVA and KVA (XVAs) in the Pricing of Derivatives, Data Model Definition, Risk Management, Accounting, Trade Workflow processing.
Dr. Tony Webb, Director of Analytics, FINCAD lead a discussion on CVA best practices and current techniques at Random Walkers Roundtable on CVA organized by Maroon Analytics and hosted by 7city Learning. Random Walkers is a regular, open discussion on current topics in quantitative finance. With topics proposed by participants, each session is led by an expert in the field and is formatted to encourage active participation from all attendees.
FINCAD's F3 is a fast & flexible CVA pricing solution. Watch a demo at http://bit.ly/Rdv7lf
Balance-sheet dynamics impact on FVA, MVA, KVAAndrea Gigli
In this talk I show how balance-sheet dynamics and changes in the Asset/Liability portfolio have and impact on the calculation of FVA, MVA and KVA through a simple multi-period structural model.
RiskAsean 2017: the relevance of CVA & XVAs in Asia Alexandre Bon
1. OTC derivatives valuation after the global financial crisis
2. XVA from the economic, accounting & regulatory viewpoints
3. XVA management & Asia specific challenges
4. The new Margining rules & FRTB CVA charge: potential game changers?
Impact of Valuation Adjustments (CVA, DVA, FVA, KVA) on Bank's Processes - An...Andrea Gigli
The talk hold in London on September 10th at the 5th Annual XVA Forum on Funding, Capital and Valuation. It covered some implications of Valuation Adjustments like CVA, DVA, FVA and KVA (XVAs) in the Pricing of Derivatives, Data Model Definition, Risk Management, Accounting, Trade Workflow processing.
Dr. Tony Webb, Director of Analytics, FINCAD lead a discussion on CVA best practices and current techniques at Random Walkers Roundtable on CVA organized by Maroon Analytics and hosted by 7city Learning. Random Walkers is a regular, open discussion on current topics in quantitative finance. With topics proposed by participants, each session is led by an expert in the field and is formatted to encourage active participation from all attendees.
FINCAD's F3 is a fast & flexible CVA pricing solution. Watch a demo at http://bit.ly/Rdv7lf
Balance-sheet dynamics impact on FVA, MVA, KVAAndrea Gigli
In this talk I show how balance-sheet dynamics and changes in the Asset/Liability portfolio have and impact on the calculation of FVA, MVA and KVA through a simple multi-period structural model.
RiskAsean 2017: the relevance of CVA & XVAs in Asia Alexandre Bon
1. OTC derivatives valuation after the global financial crisis
2. XVA from the economic, accounting & regulatory viewpoints
3. XVA management & Asia specific challenges
4. The new Margining rules & FRTB CVA charge: potential game changers?
Long horizon simulations for counterparty risk Alexandre Bon
The Challenges of Long Horizon Simulations in the context of Counterparty Risk modeling : CVA, PFE and Regulatory reporting.
This joint presentation reviews the key decisions that need making regarding the choice of risk factor evolution models and calibration methods. In particular, we will analyse the performance of classical historical calibration methods (such as Maximum Likelihood and the Efficient Method of Moments) in estimating the volatility and drift terms of the Hull & White class of Interest Rate models ; both in terms of convergence and stability.
As most methods perform satisfactorily for volatility but disappoint on the mean reversion estimation, we propose a new modified Variance Estimation method that significantly outperform the classical approaches.
Lastly, after reviewing historical economic evidence of mean-reversion dynmics in high interest rate regime, we propose modifying classical models by making mean reversion non-linear and accelerating for high rates - that can be referred as "+R" models.
This model address unrealistically large and persistent interest rates values often observed at high quantile in PFE and CVA simulations.
Global Derivatives 2014 - Did Basel put the final nail in the coffin of CSA D...Alexandre Bon
FVA in presence of stochastic funding spreads, Inititial Margins and imperfect collateralisation conditions.
Since the birth of CSA discounting during the GFC, major regulatory changes have been reshaping collateral practices in a way that challenges the fundamental assumptions of the method.
Agenda:
- FVA for economic value & incremental pricing
- FVA via CSA discounting or Exposure simulation
- Funding spreads and exposure co-dependence
- Collateralisation regimes in the New Normal and Initial Margins
OTC Collateralisation : implementations issues in the context of CVA & FVA
- The ideal CSA hypothesis : Imperfect collateralisation for credit mitigation and/or funding
- FVA vs. CSA-discounting
- Implications in terms of curves calibrations and management
- FVA for Cleared positions
- FVA or CSA-discounting : which funding management model?
These Lecture series are relating the use R language software, its interface and functions required to evaluate financial risk models. Furthermore, R software applications relating financial market data, measuring risk, modern portfolio theory, risk modeling relating returns generalized hyperbolic and lambda distributions, Value at Risk (VaR) modelling, extreme value methods and models, the class of ARCH models, GARCH risk models and portfolio optimization approaches.
These Lecture series are relating the use R language software, its interface and functions required to evaluate financial risk models. Furthermore, R software applications relating financial market data, measuring risk, modern portfolio theory, risk modeling relating returns generalized hyperbolic and lambda distributions, Value at Risk (VaR) modelling, extreme value methods and models, the class of ARCH models, GARCH risk models and portfolio optimization approaches.
Quantifi Whitepaper: The Evolution Of Counterparty Credit Riskamoini
Written by David Kelly (Head of Credit and Counterparty Risk Product Development, Quantifi) and Jon Gregory (former Head of Counterparty Risk at Barclays Capital)
Traditionally, quantitative finance practitioners are divided into two populations: those who seek fair values, i.e. means of price distributions, and those who seek risk measures, i.e. quantiles of price distributions. Fair value people and risk people typically live in separate lands, and worship different gods: the profit and loss balance sheet, and regulatory capital, respectively.
Prudent Valuation is a rather unexplored midland which has recently emerged somewhere in between the well known mainlands of Pricing and Risk Management. In fact, the Capital Requirements Regulation (CRR), requires financial institutions to apply prudent valuation to all fair value positions. The difference between the prudent value and the fair value, called Additional Valuation Adjustment (AVA), is directly deducted from the Core Equity Tier 1 (CET1) capital. The Regulatory Technical Standards (RTS) for prudent valuation proposed by the EBA have been adopted by the EU (reg. 2016/101) on 28th Jan. 2016.
The 90% confidence level required by regulators for prudent valuation links quantiles of price distributions (exit prices) to capital, thus bridging the gap between the Pricing and Risk Management mainlands, and forcing the crossbreeding of the fair value and risk populations above.
In this seminar, we will explore the Prudent Valuation land.
Credit Value Adjustment in the Extended Structural Default Modelquantfinance
Lipton, A. and Sepp, A. (2011). Credit value adjustment in the extended structural default model. In The Oxford Handbook of Credit Derivatives, pages 406-463. Oxford University.
Long horizon simulations for counterparty risk Alexandre Bon
The Challenges of Long Horizon Simulations in the context of Counterparty Risk modeling : CVA, PFE and Regulatory reporting.
This joint presentation reviews the key decisions that need making regarding the choice of risk factor evolution models and calibration methods. In particular, we will analyse the performance of classical historical calibration methods (such as Maximum Likelihood and the Efficient Method of Moments) in estimating the volatility and drift terms of the Hull & White class of Interest Rate models ; both in terms of convergence and stability.
As most methods perform satisfactorily for volatility but disappoint on the mean reversion estimation, we propose a new modified Variance Estimation method that significantly outperform the classical approaches.
Lastly, after reviewing historical economic evidence of mean-reversion dynmics in high interest rate regime, we propose modifying classical models by making mean reversion non-linear and accelerating for high rates - that can be referred as "+R" models.
This model address unrealistically large and persistent interest rates values often observed at high quantile in PFE and CVA simulations.
Global Derivatives 2014 - Did Basel put the final nail in the coffin of CSA D...Alexandre Bon
FVA in presence of stochastic funding spreads, Inititial Margins and imperfect collateralisation conditions.
Since the birth of CSA discounting during the GFC, major regulatory changes have been reshaping collateral practices in a way that challenges the fundamental assumptions of the method.
Agenda:
- FVA for economic value & incremental pricing
- FVA via CSA discounting or Exposure simulation
- Funding spreads and exposure co-dependence
- Collateralisation regimes in the New Normal and Initial Margins
OTC Collateralisation : implementations issues in the context of CVA & FVA
- The ideal CSA hypothesis : Imperfect collateralisation for credit mitigation and/or funding
- FVA vs. CSA-discounting
- Implications in terms of curves calibrations and management
- FVA for Cleared positions
- FVA or CSA-discounting : which funding management model?
These Lecture series are relating the use R language software, its interface and functions required to evaluate financial risk models. Furthermore, R software applications relating financial market data, measuring risk, modern portfolio theory, risk modeling relating returns generalized hyperbolic and lambda distributions, Value at Risk (VaR) modelling, extreme value methods and models, the class of ARCH models, GARCH risk models and portfolio optimization approaches.
These Lecture series are relating the use R language software, its interface and functions required to evaluate financial risk models. Furthermore, R software applications relating financial market data, measuring risk, modern portfolio theory, risk modeling relating returns generalized hyperbolic and lambda distributions, Value at Risk (VaR) modelling, extreme value methods and models, the class of ARCH models, GARCH risk models and portfolio optimization approaches.
Quantifi Whitepaper: The Evolution Of Counterparty Credit Riskamoini
Written by David Kelly (Head of Credit and Counterparty Risk Product Development, Quantifi) and Jon Gregory (former Head of Counterparty Risk at Barclays Capital)
Traditionally, quantitative finance practitioners are divided into two populations: those who seek fair values, i.e. means of price distributions, and those who seek risk measures, i.e. quantiles of price distributions. Fair value people and risk people typically live in separate lands, and worship different gods: the profit and loss balance sheet, and regulatory capital, respectively.
Prudent Valuation is a rather unexplored midland which has recently emerged somewhere in between the well known mainlands of Pricing and Risk Management. In fact, the Capital Requirements Regulation (CRR), requires financial institutions to apply prudent valuation to all fair value positions. The difference between the prudent value and the fair value, called Additional Valuation Adjustment (AVA), is directly deducted from the Core Equity Tier 1 (CET1) capital. The Regulatory Technical Standards (RTS) for prudent valuation proposed by the EBA have been adopted by the EU (reg. 2016/101) on 28th Jan. 2016.
The 90% confidence level required by regulators for prudent valuation links quantiles of price distributions (exit prices) to capital, thus bridging the gap between the Pricing and Risk Management mainlands, and forcing the crossbreeding of the fair value and risk populations above.
In this seminar, we will explore the Prudent Valuation land.
Credit Value Adjustment in the Extended Structural Default Modelquantfinance
Lipton, A. and Sepp, A. (2011). Credit value adjustment in the extended structural default model. In The Oxford Handbook of Credit Derivatives, pages 406-463. Oxford University.
Pricing vulnerable European options when the option’s payoff can increase the risk of financial distressPeter Klein, Michael InglisJournal of Banking & Finance
SlideshareData management implications of the Fundamental Review of the Tradi...Leigh Hill
Fundamental Review of the Trading Book (FRTB) is two years away. Significant data management changes and challenges presented by the regulation call for an early start on implementation. The webinar will discuss the challenges of FRTB and provide practical guidance on how best to achieve efficient and effective compliance.
Join the webinar to find out about:
- The requirements of FRTB
- Data management challenges
- Best practice approaches
- Benefits of compliance
- Expert implementation guidance
Counterparty Credit Risk and CVA under Basel IIIHäner Consulting
Financial institutions which apply for an IMM waiver under Basel III need to fullfill a broad set of requirements. We present the quantitative, organizational and operational implications and provide some hand-on guidance how to fulfill the regulatory requirements.
Brexit or Bremain ? Evidence from bubble analysisMarco Bianchetti
We applied the Johansen-Ledoit-Sornette (JLS) model to detect possible bubbles and crashes related to the Brexit/Bremain referendum scheduled for 23rd June 2016. Our implementation includes an enhanced model calibration using Genetic Algorithms. We selected a few historical financial series sensitive to the Brexit/Bremain scenario, representative of mutiple asset classes.
We found that equity and currency asset classes show no bubble signals, while rates, credit and real estate show super-exponential behaviour and instabilities typical of bubble regime. Out study suggests that, under the JLS model, equity and currency markets do not expect crashes or bursts following the referendum results, thus supporting a Bremain scenario. Instead, rates and credit markets consider the referendum a risky event, expecting either a Bremain scenario or a Brexit scenario edulcorated by central banks intervention. In the case of real estate, a crash is expected, but its relationship with the referendum results is questionable.
Exchanges are centralized places where certain securities, commodities, derivatives, and other financial instruments are traded. In order to facilitate trading among buyers and sellers of these products, exchanges take the central position of being the counterparty to both buyers and the sellers of the product. This is done to remove the possibility of disputes that may arise from the non-performance of the counterparty. The exchange guarantees trades will be honored. This creates credit risk for the exchange attributable to the buyers and the sellers of its products. To address the potential loss due to the credit risk undertaken by exchanges from these buyers and sellers of the exchange traded products, exchanges demand certain margin requirements from their counterparties.
This presentation addresses in detail the issues that are considered for calculation of margin requirements and maintenance.
Counterparty Credit RISK | Evolution of standardised approachGRATeam
In this Article, we have made a focus on the new standard methodology (SA-CCR) for computing the EAD related to Counterparty Credit Risk portfolios. The implementation of a SA-CCR approach will become increasingly important for the Banks given the publication of the finalised Basel III reforms; in which it will require from financial institutions to compute an output floor to compare their level of RWAs between Internal and Standard approaches.
Counterparty Credit Risk | Evolution of
the standardised approach to determine the EAD of counterparties
This article focuses on Counterparty Credit Risk. The topic of this article is on the evolution and need of standardised method for the assessment of Exposure at Default of counterparties and their Capitalisation under regulatory requirements.
FIG Partners provides our clients with detailed valuation analysis of Bank Trust Preferred (TRUPS) CDO securities. We analyze the underlying issuers and provide cash flow scenarios are each security.
Risk valuation for securities with limited liquidityJack Sarkissian
Everything seems simple with liquid securities - price is known, risks are more or less known too. It becomes a lot harder when we get illiquid instruments in the book. This is why we developed this model to enable modeling of securities with low liquidity and evaluate impact of risk sources associated with liquidity. And in order to do that we had to demonstrate that price formation has quantum chaotic character.
IFRS 9 defines “Credit Loss” in terms of “Cash Shortfall” or credit loss estimation through projected cash flow discounting. However, there is little explicit information available as to how “Cash Shortfall” should be computed; should it be computed separately or along with “Expected” default path of the borrower, leading to ambiguity around the subject. IFRS 9 has specifically given inputs on PD estimation however, on LGD there is no such specific directives available. The ambiguity around the subject raises a few questions. The blog explores the limits of current knowledge (theoretical and empirical), and offers some preliminary guidance on such questions.
The Art of Business ValuationMany investors insist on affixing e.docxmehek4
The Art of Business Valuation
Many investors insist on affixing exact values to their investments, seeking precision in an imprecise world, but business value cannot be precisely determined. Reported book value, earnings, and cash flow are, after all, only the best guesses of accountants who follow a fairly strict set of standards and practices designed more to achieve conformity than to reflect economic value. Projected results are less precise still. You cannot appraise the value of your home to the nearest thousand dollars. Why would it be any easier to place a value on vast and complex businesses?
Not only is business value imprecisely knowable, it also changes over time, fluctuating with numerous macroeconomic, microeconomic, and market-related factors. So while investors at any given time cannot determine business value with precision, they must nevertheless almost continuously reassess their estimates of value in order to incorporate all known factors that could influence their appraisal.
Any attempt to value businesses with precision will yield values that are precisely inaccurate. The problem is that it is easy to confuse the capability to make precise forecasts with the ability to make accurate ones. Anyone with a simple, hand-held calculator can perform net present value (NPV) and internal rate of return (IRR) calculations. The NPV calculation provides a single-point value of an investment by discounting estimates of future cash flow back to the present. IRR, using assumptions Of future cash flow and price paid, is a calculation of the rate of return on an investment to as many decimal places as desired. The seeming precision provided by NPV and IRR calculations can give investors a false sense of certainty for they are really only as accurate as the cash flow assumptions that were used to derive them.
The advent of the computerized spreadsheet has exacerbated this problem, creating the illusion of extensive and thoughtful analysis, even for the most haphazard of efforts. Typically, investors place a great deal of importance on the output, even though they pay little attention to the assumptions. "Garbage in, garbage out" is an apt description of the process.
NPV and IRR are wonderful at summarizing, in absolute and percentage terms, respectively, the returns for a given series of cash flows. When cash flows are contractually determined, as in the case of a bond, and when all payments are received when due, IRR provides the precise rate of return to the investor while NPV describes the value of the investment at a given discount rate. In the case of a bond, these calculations allow investors to quantify their returns under one set of assumptions, that is, that contractual payments are received when due. These tools, however, are of no use in determining the likelihood that investors will actually receive all contractual payments and, in fact, achieve the projected returns.
A Range of Value
Businesses, unlike debt instruments, do ...
The spring 2017 Insight newsletter from Quantifi, discussing FRTB and whether it is strengthening market risk practices, and whether banks are prepared for the changes it will bring
The spring 2015 Insight newsletter from Quantifi, discussing microservices and the recently published consultative document ‘Review of the Credit Valuation Adjustment (CVA) risk framework’
by the Basel Committee
The July 2015 Insight newsletter, discussing the changing regulatory landscape and including a conversation with Matthew Lynes, Senior Investment Manager at Aberdeen Asset Management
The spring 2014 Insight newsletter from Quantifi, including a conversation with Hannan Mohammed, deputy head of the funding and markets division of AFD, and a Q&A with Mark Traudt, CTO of Quantifi.
The spring 2013 Insight newsletter from Quantifi, discussing the management of counterparty credit risk.
A conversation with Arne Loftingsmo, Portfolio Manager at KLP Kapitalforvaltning AS.
The autumn 2012 newsletter from Quantifi, discussing alternative methods for calculating CVA charges under Basel III. Robert Goldstein, Director of Client Services at Quantifi talks about Quantifi V10.3 and we chat with Joost Zuidberg, Managing Director of The Currency Exchange Fund
Conversation with Matthew Lynes, Aberdeen Asset Management. Buy-Side System Requirements - Whitepaper by Quantifi and OTC Partners. The Cost of Collateral - Webinar Survey.
In the last few years, the financial markets have undergone dramatic change. While some of this is down to natural evolution, much of the change can be directly attributed to new rules introduced in the wake of the 2007 crisis. Regulators, legislators and central bank governors have been determined to avert another bubble bursting or an unexpected event that could threaten markets. Lawmakers have targeted key financial practices for reform, radically altering the expectations and behavior of industry participants. The combination of the Dodd-Frank Act, European Markets Infrastructure Regulation (EMIR), MiFID ll and Basel lll signify the biggest regulatory change in decades. These reforms have resulted in major change to how financial products are traded, settled, collateralized and reported, resulting in deep and ongoing structural changes to the markets.
There is no doubt that these new rules are directly impacting buy-side firms — be they asset managers, hedge funds, insurance companies or pension funds. But while the changes have certainly brought challenges, they have also brought opportunities. Firms that can proactively evaluate structural and operational dislocations in the marketplace and tailor business models to leverage the opportunities while addressing the challenges will be in the best position to stand apart from their competitors. Revised business models call for revisions to supporting processes and systems. Buy-side firms should look to re-architect their processes and technology infrastructure, with a goal to strengthen risk control and oversight, enhance transparency and improve efficiency of front-to-back office control functions.
The credit crisis, and the regulatory response it spawned have fundamentally reshaped financial markets for buy-side firms. But while the changes have brought about challenges, they have also ushered in opportunities. The key to success will be the speed with which firms are able to understand the changing marketplace and adapt their business models to align with the changes.
What website can I sell pi coins securely.DOT TECH
Currently there are no website or exchange that allow buying or selling of pi coins..
But you can still easily sell pi coins, by reselling it to exchanges/crypto whales interested in holding thousands of pi coins before the mainnet launch.
Who is a pi merchant?
A pi merchant is someone who buys pi coins from miners and resell to these crypto whales and holders of pi..
This is because pi network is not doing any pre-sale. The only way exchanges can get pi is by buying from miners and pi merchants stands in between the miners and the exchanges.
How can I sell my pi coins?
Selling pi coins is really easy, but first you need to migrate to mainnet wallet before you can do that. I will leave the telegram contact of my personal pi merchant to trade with.
Tele-gram.
@Pi_vendor_247
Currently pi network is not tradable on binance or any other exchange because we are still in the enclosed mainnet.
Right now the only way to sell pi coins is by trading with a verified merchant.
What is a pi merchant?
A pi merchant is someone verified by pi network team and allowed to barter pi coins for goods and services.
Since pi network is not doing any pre-sale The only way exchanges like binance/huobi or crypto whales can get pi is by buying from miners. And a merchant stands in between the exchanges and the miners.
I will leave the telegram contact of my personal pi merchant. I and my friends has traded more than 6000pi coins successfully
Tele-gram
@Pi_vendor_247
The Evolution of Non-Banking Financial Companies (NBFCs) in India: Challenges...beulahfernandes8
Role in Financial System
NBFCs are critical in bridging the financial inclusion gap.
They provide specialized financial services that cater to segments often neglected by traditional banks.
Economic Impact
NBFCs contribute significantly to India's GDP.
They support sectors like micro, small, and medium enterprises (MSMEs), housing finance, and personal loans.
The secret way to sell pi coins effortlessly.DOT TECH
Well as we all know pi isn't launched yet. But you can still sell your pi coins effortlessly because some whales in China are interested in holding massive pi coins. And they are willing to pay good money for it. If you are interested in selling I will leave a contact for you. Just telegram this number below. I sold about 3000 pi coins to him and he paid me immediately.
Telegram: @Pi_vendor_247
how to sell pi coins effectively (from 50 - 100k pi)DOT TECH
Anywhere in the world, including Africa, America, and Europe, you can sell Pi Network Coins online and receive cash through online payment options.
Pi has not yet been launched on any exchange because we are currently using the confined Mainnet. The planned launch date for Pi is June 28, 2026.
Reselling to investors who want to hold until the mainnet launch in 2026 is currently the sole way to sell.
Consequently, right now. All you need to do is select the right pi network provider.
Who is a pi merchant?
An individual who buys coins from miners on the pi network and resells them to investors hoping to hang onto them until the mainnet is launched is known as a pi merchant.
debuts.
I'll provide you the Telegram username
@Pi_vendor_247
how to sell pi coins in all Africa Countries.DOT TECH
Yes. You can sell your pi network for other cryptocurrencies like Bitcoin, usdt , Ethereum and other currencies And this is done easily with the help from a pi merchant.
What is a pi merchant ?
Since pi is not launched yet in any exchange. The only way you can sell right now is through merchants.
A verified Pi merchant is someone who buys pi network coins from miners and resell them to investors looking forward to hold massive quantities of pi coins before mainnet launch in 2026.
I will leave the telegram contact of my personal pi merchant to trade with.
@Pi_vendor_247
how can I sell pi coins after successfully completing KYCDOT TECH
Pi coins is not launched yet in any exchange 💱 this means it's not swappable, the current pi displaying on coin market cap is the iou version of pi. And you can learn all about that on my previous post.
RIGHT NOW THE ONLY WAY you can sell pi coins is through verified pi merchants. A pi merchant is someone who buys pi coins and resell them to exchanges and crypto whales. Looking forward to hold massive quantities of pi coins before the mainnet launch.
This is because pi network is not doing any pre-sale or ico offerings, the only way to get my coins is from buying from miners. So a merchant facilitates the transactions between the miners and these exchanges holding pi.
I and my friends has sold more than 6000 pi coins successfully with this method. I will be happy to share the contact of my personal pi merchant. The one i trade with, if you have your own merchant you can trade with them. For those who are new.
Message: @Pi_vendor_247 on telegram.
I wouldn't advise you selling all percentage of the pi coins. Leave at least a before so its a win win during open mainnet. Have a nice day pioneers ♥️
#kyc #mainnet #picoins #pi #sellpi #piwallet
#pinetwork
how can i use my minded pi coins I need some funds.DOT TECH
If you are interested in selling your pi coins, i have a verified pi merchant, who buys pi coins and resell them to exchanges looking forward to hold till mainnet launch.
Because the core team has announced that pi network will not be doing any pre-sale. The only way exchanges like huobi, bitmart and hotbit can get pi is by buying from miners.
Now a merchant stands in between these exchanges and the miners. As a link to make transactions smooth. Because right now in the enclosed mainnet you can't sell pi coins your self. You need the help of a merchant,
i will leave the telegram contact of my personal pi merchant below. 👇 I and my friends has traded more than 3000pi coins with him successfully.
@Pi_vendor_247
how to sell pi coins on Bitmart crypto exchangeDOT TECH
Yes. Pi network coins can be exchanged but not on bitmart exchange. Because pi network is still in the enclosed mainnet. The only way pioneers are able to trade pi coins is by reselling the pi coins to pi verified merchants.
A verified merchant is someone who buys pi network coins and resell it to exchanges looking forward to hold till mainnet launch.
I will leave the telegram contact of my personal pi merchant to trade with.
@Pi_vendor_247
How to get verified on Coinbase Account?_.docxBuy bitget
t's important to note that buying verified Coinbase accounts is not recommended and may violate Coinbase's terms of service. Instead of searching to "buy verified Coinbase accounts," follow the proper steps to verify your own account to ensure compliance and security.
USDA Loans in California: A Comprehensive Overview.pptxmarketing367770
USDA Loans in California: A Comprehensive Overview
If you're dreaming of owning a home in California's rural or suburban areas, a USDA loan might be the perfect solution. The U.S. Department of Agriculture (USDA) offers these loans to help low-to-moderate-income individuals and families achieve homeownership.
Key Features of USDA Loans:
Zero Down Payment: USDA loans require no down payment, making homeownership more accessible.
Competitive Interest Rates: These loans often come with lower interest rates compared to conventional loans.
Flexible Credit Requirements: USDA loans have more lenient credit score requirements, helping those with less-than-perfect credit.
Guaranteed Loan Program: The USDA guarantees a portion of the loan, reducing risk for lenders and expanding borrowing options.
Eligibility Criteria:
Location: The property must be located in a USDA-designated rural or suburban area. Many areas in California qualify.
Income Limits: Applicants must meet income guidelines, which vary by region and household size.
Primary Residence: The home must be used as the borrower's primary residence.
Application Process:
Find a USDA-Approved Lender: Not all lenders offer USDA loans, so it's essential to choose one approved by the USDA.
Pre-Qualification: Determine your eligibility and the amount you can borrow.
Property Search: Look for properties in eligible rural or suburban areas.
Loan Application: Submit your application, including financial and personal information.
Processing and Approval: The lender and USDA will review your application. If approved, you can proceed to closing.
USDA loans are an excellent option for those looking to buy a home in California's rural and suburban areas. With no down payment and flexible requirements, these loans make homeownership more attainable for many families. Explore your eligibility today and take the first step toward owning your dream home.
Empowering the Unbanked: The Vital Role of NBFCs in Promoting Financial Inclu...Vighnesh Shashtri
In India, financial inclusion remains a critical challenge, with a significant portion of the population still unbanked. Non-Banking Financial Companies (NBFCs) have emerged as key players in bridging this gap by providing financial services to those often overlooked by traditional banking institutions. This article delves into how NBFCs are fostering financial inclusion and empowering the unbanked.
This assessment plan proposal is to outline a structured approach to evaluati...
IFRS 13 CVA DVA FVA and the Implications for Hedge Accounting - By Quantifi and Deloitte
1. www.quantifisolutions.com
WHITEPAPER
IFRS 13 - CVA, DVA AND THE IMPLICATIONS
FOR HEDGE ACCOUNTING
By Dmitry Pugachevsky, Rohan Douglas (Quantifi)
Searle Silverman, Philip Van den Berg (Deloitte)
2. IFRS 13 – ACCOUNTING FOR CVA & DVA
International Financial Reporting Standard 13: Fair Value Measurement (IFRS
13) was originally issued in May 2011 and applies to annual periods beginning
on or after 1 January 2013. IFRS 13 provides a framework for determining
fair value, clarifies the factors to be considered for estimating fair value and
identifies key principles for estimating fair value.
IFRS 13 facilitates preparers to apply, and users to better
understand, the fair value measurements in financial
statements, therefore helping improve consistency in the
application of fair value measurement. IFRS 13 replaces
the sometimes inconsistent fair value measurement
guidance, currently included in individual IFRS standards,
with a single source of authoritative guidance on how to
measure fair value.
Fair value is defined as the price that would be received
when selling an asset or paid to transfer a liability in
an orderly transaction between market participants at
the measurement date. IFRS 13 defines fair value as an
“exit price”. For similar instruments, traded in an active
market, the market price is representative of an “exit
price“ and IFRS 13 requires an entity to use the market
price without adjustment1
. IFRS 13 defines an active
market as one in which transactions for assets take
place with sufficient frequency and volume to provide
pricing information on an on-going basis.
A quoted or listed price does not always represent fair
value if the market is not active. For example, when a
corporate bond is listed, the bond may not be actively
traded and as a result the listed bond price may not be
representative of an “exit price“. In this case a valuation
adjustment is required.
Even if a market is active, the prices observed may
not neccessarily be for similar instruments held
by the reporting entity. For example, although
many OTC derivative markets are active, the prices
observed in those markets are often only reflective
of the collateralised interbank market prices. These
collateralised prices are not representative of fair value
or an “exit price“ for corporates with uncollateralised but
otherwise similar OTC derivatives.
1 IFRS 13:69 states that if there is a quoted price in an active
market (for an identical asset) an entity shall use that price
without adjustment.
In the absence of an active market for similar
instruments, IFRS 13:69 states that adjustments are
required to the fair value of the instrument based
on the characteristics of the instruments. These
adjustments must be consistent with the instrument‘s
unit of account2
. For example premiums or discounts
that reflect size as a characteristic of the entity’s holding,
rather than as a characteristic of the instrument, are not
permitted in fair value measurement.
“Fair value is defined as the price that
would be received when selling an asset
or paid to transfer a liability in an orderly
transaction between market participants at
the measurement date.”
Fair value measurement should take into account all
characteristics and risk factors of the asset or liability
that would be considered by market participants. IFRS
13 specifically requires the credit risk of a counterparty
as well as an entity’s own credit risk to be taken into
account when valuing financial instruments. In addition,
all the adjustments market participants would make in
setting the price for an instrument should be taken into
account, in order to arrive at an exit price. Therefore
counterparty credit risk, liquidity risk, funding risk,
etc. could all be elements that need to be taken into
account in order to arrive at an exit price3
.
Derivatives contracts are commonly priced in terms of a
“risk-neutral” framework and therefore it is assumed
that neither party will default during the lifetime of the
contracts. Credit Valuation Adjustment (CVA) is
used to adjust the market value to take into account
counterparty credit risk and Debit Valuation Adjustment
(DVA) is used to adjust the market value to take into
2 The unit of account is generally the smallest unit of a financial
instrument that can be traded (for example a single share), but in
some instances could be the entire investment or portfolio.
3 The exit price is equivalent to the fair value.
account an entity’s own default risk. CVA and DVA are
in essence expected credit loss valuation adjustments
to the risk neutral value of the derivative. Both
adjustments are in line with the valuation adjustmets
envisaged in IFRS 13.
“Fair value measurement should take into
account all characteristics and risk factors
of the asset or liability that would be
considered by market participants.“
CALCULATING CVA AND DVA
There is a relatively straightforward approach,
occasionally referred to as Quasi CVA (DVA), whereby
the counterparty (own) credit spread is added to the
discount curve applied to the cash flow values of the
contract. For example, to evaluate Quasi CVA (DVA)
for an interest rate swap with a flat par rate of 2% and
a counterparty (own) spread of 3%, one has to first
discount the cash flows at the riskless interest rate (2%),
then discount them at the risk carrying rate (5% = 2%
+ 3%), and then capture the difference between these
two valuations. Note that this method only provides
an approximation of the CVA (DVA) for instruments
with positive (negative) cash flows or trades heavily
in-the-money (out-of-the-money). By over-simplifying
the calculation, the Quasi CVA (DVA) methodology
excludes certain key considerations, for example:
• Default losses can be incurred if the future MTM is
positive, even if the current MTM is negative
• Market volatility
• Bilateral character of CVA (DVA)
• Non-linear probability of default and effect of the
counterparty recovery rate
• Wrong way risk
• Effects of netting and CSA
The reason that at-the-money or even out-of-the-
money (in-the-money) swaps produce a non-zero
CVA (DVA) is because CVA (DVA) is an expectation of
future losses (gains). Losses are incurred by the bank
if the counterparty (bank) defaults when the MTM of
the trade is positive (negative). Therefore, CVA (DVA)
is proportional to a zero-strike call (put) option on a
future MTM, referred to as Expected Exposure – EE
(Negative Expected Exposure – NEE). In general, the
exposure of the trade depends on the volatilities of
the underlying assets, even if the trade itself does not.
When calculating exposures for simple stand-alone
instruments like swaps and forwards, one can use
European swaptions priced with Black’s formula.
However, taking into account netting and collateral
requires performing multiple valuations under a host
of different scenarios. This allows netted exposure
profiles, for any given portfolio of contracts, to be
calculated and for collateral to be applied consistently,
therefore reducing potential exposure for both
counterparties. Specific collateral features to take into
consideration include:
• Independent amounts
• Threshold amounts
• Minimum transfer amounts
• Call period (frequency at which the collateral is
monitored)
• Cure period (the period of time given to close out
and re-hedge a position)
Consistent CVA (DVA) evaluation involves running
a Monte Carlo simulation of the market dynamics
underlying the valuation of each financial instrument
or portfolio. Each market scenario is a realisation
of a set of price factors, which affect the value
of the financial instrument; for example, foreign
exchange rates, interest rates, commodity prices,
etc. Scenarios are either generated under the real
probability measure, where both drifts and volatilities
are calibrated to the historical data of the factors, or
under the risk-neutral measure, where drifts must be
calibrated to ensure there is no arbitrage of traded
securities on the price factors. In addition, volatilities
should be calibrated to match market-implied
volatilities of options on price factors where such
information is available.
3. Having calculated the EE (NEE) profile, CVA (DVA)
is calculated by multiplying the exposure with the
probability of default (PD) and loss given default
(LGD). CVA (DVA) can also be approximated by
multiplying the average of the EE, the so called
Expected Positive Exposure - EPE (Expected Negative
Exposure – ENE), by the counterparty (own) credit
spread and risky annuity. There are several techniques
to obtain the credit spread, although the current Basel
III requirement is to use CDS credit spreads of the
counterparty or its proxy.
.
Note that the same Monte Carlo simulation can be
used for calculating PFE (Potential Future Exposure)
and EEPE (Expected Effective Positive Exposure). While
PFE is important for calculating Economic Capital and
setting internal limits for trading desks, EEPE is part of
IMM (Internal Model Method) calculations for deriving
Risk Weighted Asset (RWA). Therefore, by building
comprehensive Monte Carlo models, consistent
valuations for regulatory, accounting and internal limit
purposes can be achieved.
The Fair Value adjustment for bilateral credit risk
equals the risk free valuation minus CVA plus DVA.
Calculations for both CVA and DVA can be performed
during the same Monte Carlo run without any extra
expenditure of time. Common market practice involves
taking into account correlation between own and
counterparty defaults. This is achieved by either using
separate copula-like calculations or as part of a general
wrong-way risk set-up. The latter approach makes it
easier to incorporate correlations between own default,
counterparty default and market factors.
HEDGE ACCOUNTING IMPLICATIONS
International Accounting Standard 39: Financial
Instruments (IAS 39) sets out the requirements of hedge
accounting. The objective of hedge accounting is to
ensure that the gain or loss on the derivative (hedging
instrument) is recognised in profit or loss in the same
period when the underlying hedged item affects profit
or loss.
There are two ways in which hedge accounting achieves
this objective:
• Fair value hedge accounting - changes in the fair
value of the hedging instrument are recognised
in profit or loss, at the same time as a recognised
asset or liability, that is being hedged, is adjusted
for movements in the designated hedged risk
(adjustment also recognised in profit or loss).
• Cash flow hedge accounting - changes in the fair
value of the hedging instrument are recognised
initially in equity (other comprehensive income -
OCI) and reclassified from equity (OCI) to profit or
loss when the hedged item affects profit or loss.
IAS 39 requires both a prospective and retrospective
assessment of hedge effectiveness. Hedge
effectiveness is measured as the change in fair value
of the hedging instrument as a percentage of the
change in fair value of the underlying hedged item. To
apply hedge accounting, the hedge effectiveness ratio
needs to be within a range of 80% to 125%. Instead of
measuring the change in fair value of the hedged item
(for example loan asset or liability, sales, cost of sales),
a hypothetical derivative could be used as a proxy for
determining the change in fair value of the hedged
item, mostly for cash flow hedging relationships. The
hypothetical derivative is the derivative that perfectly
matches the hedged item.
As explained above, IFRS 13 requires credit risk to be
incorporated in the valuation of the actual derivative,
however, IAS 39 is not prescriptive on how to
incorporate credit risk in the hypothetical derivative.
IFRS 13 clarifies the factors that need to be
considered when estimating the fair value of a
derivative. A key area where IFRS 13 provides guiding
principles is the inclusion of counterparty and own
credit risk. These IFRS 13 principles have implications
for hedge accounting.
Firstly, it is clear that an entity needs to consider
counterparty credit risk in the evaluation of hedge
effectiveness4
. An entity cannot ignore whether it will
be able to collect all amounts due in terms of the
contractual provisions of the hedging instrument. When
assessing hedge effectiveness, both at the inception
of the hedge and on an on-going basis, the entity
needs to consider the risk that the counterparty, to the
hedging instrument, could default.
The devil is often in the detail and thus the challenge
is how to set up the hypothetical derivative5
. At the
inception of the trade, should credit risk be included in
determining the critical terms (including the pricing) of
the hypothetical derivative? If so, should the credit risk
be updated in future periods when determining the fair
value of the hypothetical derivative?
“IAS 39 requires both a prospective
and retrospective assessment of hedge
effectiveness. The hedge effectiveness ratio
needs to be within a range of 80% to 125%.”
The way counterparty credit risk is incorporated
into the fair value of the hypothetical derivative can
have a significant impact on the hedge effectiveness
ratio. Incorporating CVA and DVA in the fair value
of the hedging instrument, but excluding it from the
hypothetical derivative, could result in ineffectiveness.
As mentioned above, there is no clear guidance in
IAS 39 on how to incorporate CVA and DVA in hedge
effectiveness testing. We are of the opinion that there
are two acceptable methods.
The first method is to exclude the credit risk when
setting up the hypothetical derivative. Thus, changes
in credit risk are not included in determining the fair
value of the hypothetical derivative over the term
of the hedge i.e. do not include a CVA and DVA
adjustment for the ‘at-inception’ fixed rate on the
hypothetical derivative6
.
4 Based on IAS 39:F.4.3 and F.4.7.
5 Mostly for a cash flow hedge.
6 The hypothetical derivative must be set up such that it is worth
• Diagram: Full Revaluation of Portfolio using Monte Carlo
“Consistent CVA (DVA) evaluation involves
running a Monte Carlo simulation of the
market dynamics underlying the valuation of
each financial instrument or portfolio.”
zero at inception. This is achieved by solving for the fixed rate
that results in a zero net present value of the contract.
5. Quantifi is a specialist provider of analytics, trading and risk management software. Our suite of
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For further information, please visit www.quantifisolutions.com
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