Accounting for Financial Instruments in the Banking Industry: Conclusions From a Simulation Model

Topics:
GAAP,
GAAP and GAAS
Tags:
Accounting,
Banking,
Center For Financial Studies,
Commercial Banking,
Finance,
Financial,
Financial Accounting,
Financial Instrument,
Financial Services
Source:
Center for Financial Studies

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Overview: The paper analyses the effects of three sets of accounting rules for financial instruments - Old IAS before IAS 39 became effective, Current IAS or US GAAP, and the Full Fair Value (FFV) model proposed by the Joint Working Group (JWG) - on the financial statements of banks. It develops a simulation model that captures the essential characteristics of a modern universal bank with investment banking and commercial banking activities. It runs simulations for different strategies (fully hedged, partially hedged) using historical data from periods with rising and falling interest rates.

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Format: PDF | Size: 948KB | Date: Nov 2003 | Pages: 46

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