• Details
    • Industry: Financial Services
    Type: Business and industry issue
    Date: 8/23/2011
    Global - Issues & insights - Articles & publications

    The Financial Economics of Hedge Accounting of Interest Rate Risk according to IAS 39 

    This book analyzes hedge accounting of interest rate risk according to IAS 39. It covers hedges with deterministic and stochastic cashflows explaining the corresponding financial economics. It is the first book discussing hedge accounting and its definitions in the context of financial economic modeling/pricing models.
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    The valuation approach inherently applied in IAS 39 follows the costs of hedging principle, which could be stated in simplified terms as follows:

    • Under the assumption of a liquid derivative market for a particular risk derive the “prices” from this market for the particular risk,
    • Use these prices and evaluate the (general) hedging costs for the hedged item
     

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