Credit, Debit & Funding Value Adjustments in the Valuation of Financial Instruments: The Economic Reality Behind Accounting Adjustment
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Jul 13, 2017
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Abstract
This document aims to highlight the growing importance of knowledge and continuous learning of profound concepts of finance and risk for the accounting profession. By means of an economic-accounting analysis of
the counterparty credit risk and own credit risk adjustments proposed by IFRS 13, the author reveals recurrent weaknesses in the issuance and application processes of accounting standards that must be addressed in the short and medium term as challenges characteristic of the profession to ensure
that the economic and financial essence of accounting is not distorted. We conclude that having politically strong but technically poorly elaborated standards is to serve interests different to financial and decision-making ones. Accounting should mimic the complexity of transactions and not hide
realities as an apparent solution to problems.
the counterparty credit risk and own credit risk adjustments proposed by IFRS 13, the author reveals recurrent weaknesses in the issuance and application processes of accounting standards that must be addressed in the short and medium term as challenges characteristic of the profession to ensure
that the economic and financial essence of accounting is not distorted. We conclude that having politically strong but technically poorly elaborated standards is to serve interests different to financial and decision-making ones. Accounting should mimic the complexity of transactions and not hide
realities as an apparent solution to problems.
Keywords
Ajuste do valor de crédito, ajuste do valor de débito, ajuste a valor de financiamento, valor justo, contraparte de risco, crédito, risco, risco de crédito, IFRSAjuste por riesgo de crédito, ajuste por riesgo de débito, ajuste del valor de financiamiento, valor justo, riesgo de contrapartida, crédito, riesgo, riesgo crediticio, NIIF.credit value adjustment, debit value adjustment, funding value adjustment, fair value, counterparty risk, credit, risk, lending risk, IFRS
References
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autoridades competentes, el procedimiento para su expedición y se determinan las entidades responsables de vigilar su cumplimiento, Diario Oficial, 47.409, 13 de julio de 2009. Disponible en: http://www.
secretariasenado.gov.co/senado/basedoc/ley_1314_2009.html
Comité de Supervisión Bancaria de Basilea (2001). El Nuevo Acuerdo de Capital de Basilea. Disponible en: http://www.bis.org/publ/bcbsca03_s.pdf
Financial Accounting Standard Board, FASB (2006). Fair Value Measurements. Statement of Financial Accounting Standards 157. Disponible en: http://www.fasb.org/cs/BlobServer?blobcol=urldata&bl
obtable=MungoBlobs&blobkey=id&blobwhere=1175820927537&blobheader=application%2Fpdf
Gregory, Jon (2012). Counterparty Credit Risk: A Continuing Challenge for Global Financial Markets. London: John Wiley & Sons Ltd.
Hull, John & White, Alan (2014). Valuing Derivatives: Funding Value Adjustments and Fair Value. Financial Analysts Journal, 70 (3), 46-56. Disponible en: http://www-2.rotman.utoronto.ca/~hull/downloadablepublications/FVAandFairValue.pdf
International Accounting Standard Board, IASB (June 2009). Credit Risk in Liability Measurement. Disponible en: http://www.ifrs.org/Current-Projects/IASB-Projects/Credit-Risk-in-Liability-Measurement/DP-Jun-09/Documents/CreditRiskLiabilitStaff.pdf
International Accounting Standards Board, IASB (2011). IFRS 13: Fair Value Measurement. Disponible en: http://www.ifrs.org/Current-Projects/IASB-Projects/Fair-Value-Measurement/IFRS-13-Fair-Value-Measurement/Pages/IFRS-13-Fair-Value-Measurement.aspx
International Accounting Standards Board, IASB, Expert Advisory Panel (2009). Medición y revelación del valor razonable de instrumentos financieros en mercados que ya no están activos. En Samuel Alberto Mantilla (comp., trad.). Contabilidad a valor razonable: en el contexto de la crisis actual de los mercados, 133-218. Bogotá: ECOE Ediciones.
Martínez-Pineda, Pablo Enrique (2010). Una dificultad inherente de la profesión analizada desde el punto de vista de la medición. Revista Estudiantil Identidad Contable, 1 (1), 77-89.
Merton, Robert C. (1974). On the Pricing of Corporate Debt: The Risk Structure of Interest
Rates. Journal of Finance, 29 (2), 449-470.
Morales-Díaz, José (2010). Pasivos financieros a valor razonable: la consideración del propio riesgo de crédito. Foro AECA Instrumentos Financieros (FAIF). Disponible en: http://aeca.es/old/faif/articulos/comunicacion5.pdf
Ramírez, Juan (2015). Accounting for Derivatives: Advanced Hedging under IFRS 9. London: John Wiley & Sons Ltd.
Ryan, Stephen (2008). Fair Value Accounting: Understanding the Issues Raised by the Credit
Crunch. Disponible en: http://www.cii.org/files/publications/white_papers/07_11_08_fair_value_accounting.pdf
United States, Security and Exchange Commission, SEC, Office of the Chief Accountant, Division of
Corporation Finance (2008). Report and Recommendations Pursuant to Section 133 of the Emergency Economic Stabilizing Act of 2008: Study on Mark-to-Market Accounting. Disponible en: https://www.sec.gov/files/marktomarket123008.pdf
autoridades competentes, el procedimiento para su expedición y se determinan las entidades responsables de vigilar su cumplimiento, Diario Oficial, 47.409, 13 de julio de 2009. Disponible en: http://www.
secretariasenado.gov.co/senado/basedoc/ley_1314_2009.html
Comité de Supervisión Bancaria de Basilea (2001). El Nuevo Acuerdo de Capital de Basilea. Disponible en: http://www.bis.org/publ/bcbsca03_s.pdf
Financial Accounting Standard Board, FASB (2006). Fair Value Measurements. Statement of Financial Accounting Standards 157. Disponible en: http://www.fasb.org/cs/BlobServer?blobcol=urldata&bl
obtable=MungoBlobs&blobkey=id&blobwhere=1175820927537&blobheader=application%2Fpdf
Gregory, Jon (2012). Counterparty Credit Risk: A Continuing Challenge for Global Financial Markets. London: John Wiley & Sons Ltd.
Hull, John & White, Alan (2014). Valuing Derivatives: Funding Value Adjustments and Fair Value. Financial Analysts Journal, 70 (3), 46-56. Disponible en: http://www-2.rotman.utoronto.ca/~hull/downloadablepublications/FVAandFairValue.pdf
International Accounting Standard Board, IASB (June 2009). Credit Risk in Liability Measurement. Disponible en: http://www.ifrs.org/Current-Projects/IASB-Projects/Credit-Risk-in-Liability-Measurement/DP-Jun-09/Documents/CreditRiskLiabilitStaff.pdf
International Accounting Standards Board, IASB (2011). IFRS 13: Fair Value Measurement. Disponible en: http://www.ifrs.org/Current-Projects/IASB-Projects/Fair-Value-Measurement/IFRS-13-Fair-Value-Measurement/Pages/IFRS-13-Fair-Value-Measurement.aspx
International Accounting Standards Board, IASB, Expert Advisory Panel (2009). Medición y revelación del valor razonable de instrumentos financieros en mercados que ya no están activos. En Samuel Alberto Mantilla (comp., trad.). Contabilidad a valor razonable: en el contexto de la crisis actual de los mercados, 133-218. Bogotá: ECOE Ediciones.
Martínez-Pineda, Pablo Enrique (2010). Una dificultad inherente de la profesión analizada desde el punto de vista de la medición. Revista Estudiantil Identidad Contable, 1 (1), 77-89.
Merton, Robert C. (1974). On the Pricing of Corporate Debt: The Risk Structure of Interest
Rates. Journal of Finance, 29 (2), 449-470.
Morales-Díaz, José (2010). Pasivos financieros a valor razonable: la consideración del propio riesgo de crédito. Foro AECA Instrumentos Financieros (FAIF). Disponible en: http://aeca.es/old/faif/articulos/comunicacion5.pdf
Ramírez, Juan (2015). Accounting for Derivatives: Advanced Hedging under IFRS 9. London: John Wiley & Sons Ltd.
Ryan, Stephen (2008). Fair Value Accounting: Understanding the Issues Raised by the Credit
Crunch. Disponible en: http://www.cii.org/files/publications/white_papers/07_11_08_fair_value_accounting.pdf
United States, Security and Exchange Commission, SEC, Office of the Chief Accountant, Division of
Corporation Finance (2008). Report and Recommendations Pursuant to Section 133 of the Emergency Economic Stabilizing Act of 2008: Study on Mark-to-Market Accounting. Disponible en: https://www.sec.gov/files/marktomarket123008.pdf
How to Cite
Martínez, P. (2017). Credit, Debit & Funding Value Adjustments in the Valuation of Financial Instruments: The Economic Reality Behind Accounting Adjustment. Cuadernos De Contabilidad, 17(44). https://doi.org/10.11144/Javeriana.cc17-44.cdfv
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