Arbeitspapier

Hedge accounting within IAS39

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.

Sprache
Englisch

Erschienen in
Series: Economic and Financial Report ; No. 2002/02

Klassifikation
Wirtschaft

Ereignis
Geistige Schöpfung
(wer)
Rossi, Alessandro
Bichisao, Guido
Campolongo, Francesca
Ereignis
Veröffentlichung
(wer)
European Investment Bank (EIB)
(wo)
Luxembourg
(wann)
2002

Handle
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Rossi, Alessandro
  • Bichisao, Guido
  • Campolongo, Francesca
  • European Investment Bank (EIB)

Entstanden

  • 2002

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