Hedging a bank´s interest rate risk with interest rate swaps accouting treatment and auditing procedures
Interest rate risk is one of the most crucial types of risk that banks face as financial intermediaries. This risk can be hedged using traditional methods, like duration matching, or using derivatives such as interest rate swaps, so that banks face less interest rate uncertainty. Hedging with deriva...
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| Formato: | masterThesis |
| Idioma: | eng |
| Publicado em: |
2019
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| Assuntos: | |
| Texto completo: | http://hdl.handle.net/10362/49555 |
| País: | Portugal |
| Oai: | oai:run.unl.pt:10362/49555 |
| Resumo: | Interest rate risk is one of the most crucial types of risk that banks face as financial intermediaries. This risk can be hedged using traditional methods, like duration matching, or using derivatives such as interest rate swaps, so that banks face less interest rate uncertainty. Hedging with derivatives also has implications for the accounting part. In the light of the IFRS 9, as the new prevailing accounting regime in Europe, this thesis presents the hedge accounting treatment by banks, highlighting the auditor responsibilities in the context of these instruments |
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