IAS 39 Hedge Accounting e Interest Rate Risk Management

Andrea Gheno and Carlo Domenico Mottura

No 79, Departmental Working Papers of Economics - University 'Roma Tre' from Department of Economics - University Roma Tre

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.

Keywords: IAS 39; hedge accounting; financial immunization; hedge effectiveness test; interest rate risk. (search for similar items in EconPapers)
JEL-codes: G32 M41 (search for similar items in EconPapers)
Pages: 25
Date: 2007-07
New Economics Papers: this item is included in nep-mac and nep-rmg
References: Add references at CitEc
Citations:

Downloads: (external link)
http://host.uniroma3.it/dipartimenti/economia/pdf/wp79.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rtr:wpaper:0079

Access Statistics for this paper

More papers in Departmental Working Papers of Economics - University 'Roma Tre' from Department of Economics - University Roma Tre Via Silvio d'Amico 77, - 00145 Rome Italy. Contact information at EDIRC.
Bibliographic data for series maintained by Telephone for information ().