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IAS 39 Hedge Accounting e Interest Rate Risk Management

Author

Listed:
  • Andrea Gheno
  • Carlo Domenico Mottura

Abstract

The object of this paper is to investigate the role of interest rate risk measures set out in an immunization theory framework for the control of the hedge effectiveness test, as specified in IAS 39. In particular, the case of a cash flow hedge is analyzed and attention is drawn to how the use of interest rate risk management strategies based on the alignment of first order risk indexes does not guarantee the effectiveness of the prospective (ex-ante) and retrospective (ex-post) tests.

Suggested Citation

  • Andrea Gheno & Carlo Domenico Mottura, 2007. "IAS 39 Hedge Accounting e Interest Rate Risk Management," Departmental Working Papers of Economics - University 'Roma Tre' 0079, Department of Economics - University Roma Tre.
  • Handle: RePEc:rtr:wpaper:0079
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    File URL: http://host.uniroma3.it/dipartimenti/economia/pdf/wp79.pdf
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    Keywords

    IAS 39; hedge accounting; financial immunization; hedge effectiveness test; interest rate risk.;

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting

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