IDEAS home Printed from https://ideas.repec.org/p/ris/eibefr/2002_002.html
   My bibliography  Save this paper

Hedge Accounting Within Ias 39

Author

Listed:
  • Rossi, Alessandro

    (Joint Research Centre of the European Commission)

  • Canpolongo, Francesca

    (Joint Research Centre of the European Commission)

  • Bichisao, Guido

    (European Investment Bank, Finance Directorate)

Abstract

This work proposes an accounting calculation scheme for hedging swaps based on the requirements listed under International Accounting Statement (IAS) 39. In particular we developed a procedure that assists risk managers in the identification of the hedging efficiency between a group of loans (or bonds) and swaps held in a bank portfolio qualifying for hedge accounting. The proposed scheme aims at associating to any given swap of the bank portfolio, a certain collection of loans (or bonds) whose risk exposures offset each other. The final result is the construction of a number of hedges that are effective according to IAS 39.

Suggested Citation

  • Rossi, Alessandro & Canpolongo, Francesca & Bichisao, Guido, 2002. "Hedge Accounting Within Ias 39," Economic and Financial Reports 2002/2, European Investment Bank, Economics Department.
    • Handle: RePEc:ris:eibefr:2002_002
    as

    Download full text from publisher

    File URL: http://www.eib.org/attachments/efs/efr_2002_v02_en.pdf
    File Function: Full text
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Wagenvoort, Rien & de Nicola, Carlo & Kappeler, Andreas, 2010. "Infrastructure finance in Europe: Composition, evolution and crisis impact," EIB Papers 1/2010, European Investment Bank, Economics Department.
    2. Estache, Antonio, 2010. "Infrastructure finance in developing countries: An overview," EIB Papers 8/2010, European Investment Bank, Economics Department.
    3. Bitsch, Florian & Buchner, Axel & Kaserer, Christoph, 2010. "Risk, return and cash flow characteristics of infrastructure fund investments," EIB Papers 4/2010, European Investment Bank, Economics Department.
    4. Fay, Marianne & Iimi, Atsushi & Perrissin-Fabert, Baptiste, 2010. "Financing greener and climate-resilient infrastructure in developing countries - challenges and opportunities," EIB Papers 7/2010, European Investment Bank, Economics Department.
    5. Eduardo Engel & Ronald Fischer & Alexander Galetovic, 2010. "The economics of infrastructure finance: Public-private partnerships versus public provision," Documentos de Trabajo 276, Centro de Economía Aplicada, Universidad de Chile.
    6. Stewart, James, 2010. "The UK National Infrastructure Plan 2010," EIB Papers 6/2010, European Investment Bank, Economics Department.
    7. Bunea-Bontaş, Cristina Aurora, 2009. "Basic Principles of Hedge Accounting," MPRA Paper 17072, University Library of Munich, Germany.
    8. Helm, Dieter, 2010. "Infrastructure and infrastructure finance: The role of the government and the private sector in the current world," EIB Papers 5/2010, European Investment Bank, Economics Department.
    9. Inderst, Georg, 2010. "Infrastructure as an asset class," EIB Papers 3/2010, European Investment Bank, Economics Department.

    More about this item

    Keywords

    Accounting; IAS 39; International Accounting System 39; swap; Hedge;
    All these keywords.

    JEL classification:

    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ris:eibefr:2002_002. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Polyxeni Kanelliadou (email available below). General contact details of provider: https://edirc.repec.org/data/ceeiblu.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.