Hedge Accounting Within Ias 39
AbstractThis 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.
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Bibliographic InfoPaper provided by European Investment Bank, Economics Department in its series Economic and Financial Reports with number 2002/2.
Length: 15 pages
Date of creation: 01 Nov 2002
Date of revision:
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Accounting; IAS 39; International Accounting System 39; swap; Hedge;
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