Visual Risk has released an advanced CVA module to assist treasuries struggling to comply with IFRS 13. Similar to the models applied by banks, it utilises a simulation-based approach to calculate an instrument’s potential future exposure and applies industry standard formulae to calculate credit adjustments.
Visual Risk claims that this methodology provides the most accurate credit valuations for deals such as cross currency swaps and long-dated interest rate swaps and is consistent with the advanced approaches recommended by the Big 4 accounting firms.
CCIRS Potential Future Exposure Breakdown
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The model is fully integrated with Visual Risk’s hedge accounting functionality in their TMS and will generate all appropriate accounting entries.
Visual Risk provide their new advanced CVA and hedge accounting reporting service on an outsourced basis.