HEDGE ACCOUNTING WITHIN IAS 39

Alessandro Rossi, Francesca Canpolongo () and Guido Bichisao ()
Additional contact information
Francesca Canpolongo: Joint Research Centre of the European Commission, Postal: Ispra (VA), Italy
Guido Bichisao: European Investment Bank, Finance Directorate

No 2002/2, Economic and Financial Reports from European Investment Bank, Economics Department

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.

Keywords: Accounting; IAS 39; International Accounting System 39; swap; Hedge (search for similar items in EconPapers)
JEL-codes: M41 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2002-11-01
References: View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:eibefr:2002_002

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