Hedge effectiveness testing for derivative financial instruments-designated IRS for hedging instruments
碩士 === 輔仁大學 === 會計學系碩士班 === 95 === Recently, there is a rapid development both of international financial market and derivatives. Companies can use derivative instruments to hedge economic exposures or to earn the excess rewards. However, derivatives are also high leverage instruments. In order to r...
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ndltd-TW-094FJU003850172015-10-13T10:45:19Z http://ndltd.ncl.edu.tw/handle/92947059003263896034 Hedge effectiveness testing for derivative financial instruments-designated IRS for hedging instruments 衍生性金融商品避險有效性測試之探討-指定IRS為避險工具 Ho Chin-yu 何金瑜 碩士 輔仁大學 會計學系碩士班 95 Recently, there is a rapid development both of international financial market and derivatives. Companies can use derivative instruments to hedge economic exposures or to earn the excess rewards. However, derivatives are also high leverage instruments. In order to regulate the reporting issues about derivatives, the Financial Accounting Standard Board in Taiwan issue Statements of Financial Accounting Standards No.34 and No.36 respectively. Hedge accounting users have to qualify a derivative position for hedge accounting, specifying the hedged item, identifying the hedging strategy and the derivative, and supporting documents by statistical or other means that the hedge to be highly effective in offsetting the designated risk exposure. Without these special treatments, derivative gains or losses and the gains or losses associated with the risk being hedge would classify as earnings components in different time periods. The Statement did not identify specific testing method to measure hedge effectiveness and how to attain “highly effective” hedge position. Six common used methods for testing hedge effectiveness were applied, which include the dollar-offset method, the relative-difference method, the variability-reduction method, the variance-reduction method, the standard deviation-reduction method and the regression method. We found that the results both of the relative-difference method and the regression method are much stable relatively than other testing methods. Min-Jeng Shiue 薛敏正 2007 學位論文 ; thesis 101 zh-TW |
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碩士 === 輔仁大學 === 會計學系碩士班 === 95 === Recently, there is a rapid development both of international financial market and derivatives. Companies can use derivative instruments to hedge economic exposures or to earn the excess rewards. However, derivatives are also high leverage instruments. In order to regulate the reporting issues about derivatives, the Financial Accounting Standard Board in Taiwan issue Statements of Financial Accounting Standards No.34 and No.36 respectively. Hedge accounting users have to qualify a derivative position for hedge accounting, specifying the hedged item, identifying the hedging strategy and the derivative, and supporting documents by statistical or other means that the hedge to be highly effective in offsetting the designated risk exposure. Without these special treatments, derivative gains or losses and the gains or losses associated with the risk being hedge would classify as earnings components in different time periods. The Statement did not identify specific testing method to measure hedge effectiveness and how to attain “highly effective” hedge position.
Six common used methods for testing hedge effectiveness were applied, which include the dollar-offset method, the relative-difference method, the variability-reduction method, the variance-reduction method, the standard deviation-reduction method and the regression method. We found that the results both of the relative-difference method and the regression method are much stable relatively than other testing methods.
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author2 |
Min-Jeng Shiue |
author_facet |
Min-Jeng Shiue Ho Chin-yu 何金瑜 |
author |
Ho Chin-yu 何金瑜 |
spellingShingle |
Ho Chin-yu 何金瑜 Hedge effectiveness testing for derivative financial instruments-designated IRS for hedging instruments |
author_sort |
Ho Chin-yu |
title |
Hedge effectiveness testing for derivative financial instruments-designated IRS for hedging instruments |
title_short |
Hedge effectiveness testing for derivative financial instruments-designated IRS for hedging instruments |
title_full |
Hedge effectiveness testing for derivative financial instruments-designated IRS for hedging instruments |
title_fullStr |
Hedge effectiveness testing for derivative financial instruments-designated IRS for hedging instruments |
title_full_unstemmed |
Hedge effectiveness testing for derivative financial instruments-designated IRS for hedging instruments |
title_sort |
hedge effectiveness testing for derivative financial instruments-designated irs for hedging instruments |
publishDate |
2007 |
url |
http://ndltd.ncl.edu.tw/handle/92947059003263896034 |
work_keys_str_mv |
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