Abstract Statement of Financial Accounting Standards (SFAS) standardizes the accounting
treatment for derivative instruments by requiring all entities to report their derivatives as …

This paper provides an in-depth analysis of financial information related to hedge
accounting in European banks from 2005 to 2014. We show that both “as-if” earnings and …

In this research, we develop a guaranteed option hedge system to protect against capital
market risks using a genetic algorithm (GA). We test the hedge effectiveness of our …

In this work we propose a new prospective model for testing the economic hedge
effectiveness. Our model is derived from the initial approach based on the measure of the …

HEAT™ or Hedge Effectiveness Analysis Toolkit is JPMorgan's latest addition to a long list of
innovative and cutting-edge risk management solutions. HEAT is destined to help …

IFRS 9 has introduced certain radical changes to the hedge effectiveness assessment
criteria of IAS 39 for entities desirous of availing hedge accounting. It is necessary for …

Radical changes have been introduced in the hedge accounting framework by the new IFRS
accounting standards. In particular, the hedge effectiveness regime has been completely …

FAS 133 is a substantial body of work, reflecting the inherent complexity of derivatives and
the enormous range of possible hedging situations. It also reflects a Darwinian evolutionary …

As risk-taking is an essential part of the banking industry, banks must practise efficient risk
management to ensure survival in uncertain financial climates. Banking operations are …

Using return data from other studies, we show that traditional short hedgers often face a cost
in the form of a positive derivative risk premium. Consequently, the hedge ratio chosen …