Calculation of fair value for derivative transactions between a bank and a counterparty.




Rishit Shah Romania


AwardedApr 14, 2019
We need advice about understanding of IFRS 13. Specifically about the part which says that if there is a difference between the fair value measurement and the transaction price (exit price) of a derivative between a bank and a counterparty , then this difference must be deffered by the bank. This doesnt apply if all the inputs into calculation of fair value can be observed in the market. But we need to know about the case when the credit spread of the counterpaty cannot be observed (no bonds available), but all the inputs into pricing the derivative can be observed.

Skills & Expertise Required

Derivatives International Accounting Standards 

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