Publicação
Modeling the impact of the volatility of the perceived counterparty credit risk on hedge accounting effectiveness
| Resumo: | The recent publication of IFRS 9 facilitates the use of hedge accounting, although some challenges arise as well. Hedge effectiveness is to be more align with risk management meaning that hedge accounting ineffectiveness will now be only related to factors such as counterparty credit risk whenever uncollateralized derivatives are to be used as hedge instruments. This master thesis is concerned with what may go wrong in a designated hedging relationship due to CVA and DVS volatility. Using Monte Carlo simulations and regression analysis the probability of hedging ineffectiveness as a function of probability of default perceived implied volatility is to be modelled. |
|---|---|
| Autores principais: | Neto, José Eduardo Justo |
| Assunto: | Hedge accounting Credit valuation adjustment (CVA) Default correlation Contabilidade de cobertura Ajuste de Avalição de Crédito (CVA) Correlação de default |
| Ano: | 2019 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| _version_ | 1868982966914383872 |
|---|---|
| author | Neto, José Eduardo Justo |
| author_facet | Neto, José Eduardo Justo |
| author_role | author |
| contributor_name_str_mv | Bravo, Jorge Miguel Ventura RUN |
| country_str | PT |
| creators_json_txt | [{\"Person.name\":\"Neto, José Eduardo Justo\"}] |
| datacite.contributors.contributor.contributorName.fl_str_mv | Bravo, Jorge Miguel Ventura RUN |
| datacite.creators.creator.creatorName.fl_str_mv | Neto, José Eduardo Justo |
| datacite.date.Accepted.fl_str_mv | 2019-05-03T00:00:00Z |
| datacite.date.available.fl_str_mv | 2019-07-02T13:21:56Z |
| datacite.date.embargoed.fl_str_mv | 2019-07-02T13:21:56Z |
| datacite.rights.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| datacite.subjects.subject.fl_str_mv | Hedge accounting Credit valuation adjustment (CVA) Default correlation Contabilidade de cobertura Ajuste de Avalição de Crédito (CVA) Correlação de default |
| datacite.titles.title.fl_str_mv | Modeling the impact of the volatility of the perceived counterparty credit risk on hedge accounting effectiveness |
| dc.contributor.none.fl_str_mv | Bravo, Jorge Miguel Ventura RUN |
| dc.creator.none.fl_str_mv | Neto, José Eduardo Justo |
| dc.date.Accepted.fl_str_mv | 2019-05-03T00:00:00Z |
| dc.date.available.fl_str_mv | 2019-07-02T13:21:56Z |
| dc.date.embargoed.fl_str_mv | 2019-07-02T13:21:56Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | http://hdl.handle.net/10362/74239 |
| dc.language.none.fl_str_mv | eng |
| dc.rights.cclincense.fl_str_mv | http://creativecommons.org/licenses/by/4.0/ |
| dc.rights.none.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| dc.subject.none.fl_str_mv | Hedge accounting Credit valuation adjustment (CVA) Default correlation Contabilidade de cobertura Ajuste de Avalição de Crédito (CVA) Correlação de default |
| dc.title.fl_str_mv | Modeling the impact of the volatility of the perceived counterparty credit risk on hedge accounting effectiveness |
| dc.type.none.fl_str_mv | http://purl.org/coar/resource_type/c_bdcc |
| description | The recent publication of IFRS 9 facilitates the use of hedge accounting, although some challenges arise as well. Hedge effectiveness is to be more align with risk management meaning that hedge accounting ineffectiveness will now be only related to factors such as counterparty credit risk whenever uncollateralized derivatives are to be used as hedge instruments. This master thesis is concerned with what may go wrong in a designated hedging relationship due to CVA and DVS volatility. Using Monte Carlo simulations and regression analysis the probability of hedging ineffectiveness as a function of probability of default perceived implied volatility is to be modelled. |
| dirty | 0 |
| eu_rights_str_mv | openAccess |
| format | masterThesis |
| fulltext.url.fl_str_mv | https://run.unl.pt/bitstreams/4e822b05-090e-421b-b735-d96af064df89/download |
| id | run_9fcbc77cd294b302c4e96c26ecd5dd48 |
| identifier.url.fl_str_mv | http://hdl.handle.net/10362/74239 |
| inst_facet_str | urn:organizationAcronym:unl{{{_:::_}}}Universidade Nova de Lisboa |
| instacron_str | unl |
| institution | Universidade Nova de Lisboa |
| instname_str | Universidade Nova de Lisboa |
| language | eng |
| network_acronym_str | run |
| network_name_str | Repositório Institucional da UNL |
| oai_identifier_str | oai:run.unl.pt:10362/74239 |
| organization_str_mv | urn:organizationAcronym:unl |
| person_str_mv | Neto, José Eduardo Justo |
| publishDate | 2019 |
| repo_facet_str | urn:repositoryAcronym:run{{{_:::_}}}Repositório Institucional da UNL |
| reponame_str | Repositório Institucional da UNL |
| repository_id_str | urn:repositoryAcronym:run |
| service_str_mv | urn:repositoryAcronym:run |
| spelling | engpt_PTThe recent publication of IFRS 9 facilitates the use of hedge accounting, although some challenges arise as well. Hedge effectiveness is to be more align with risk management meaning that hedge accounting ineffectiveness will now be only related to factors such as counterparty credit risk whenever uncollateralized derivatives are to be used as hedge instruments. This master thesis is concerned with what may go wrong in a designated hedging relationship due to CVA and DVS volatility. Using Monte Carlo simulations and regression analysis the probability of hedging ineffectiveness as a function of probability of default perceived implied volatility is to be modelled.application/pdfpt_PTModeling the impact of the volatility of the perceived counterparty credit risk on hedge accounting effectivenessNeto, José Eduardo JustoBravo, Jorge Miguel VenturaHostingInstitutionOrganizationalRUNe-mailmailto:run@unl.ptrun@unl.ptURNurn:tid:2022587692019-07-02T13:21:56Z2019-05-032019-05-03T00:00:00ZHandlehttp://hdl.handle.net/10362/74239http://purl.org/coar/access_right/c_abf2open accessHedge accountingCredit valuation adjustment (CVA)Default correlationContabilidade de coberturaAjuste de Avalição de Crédito (CVA)Correlação de default1674083 bytesliteraturehttp://purl.org/coar/resource_type/c_bdccmaster thesis2019-05-03http://creativecommons.org/licenses/by/4.0/http://purl.org/coar/access_right/c_abf2application/pdffulltexthttps://run.unl.pt/bitstreams/4e822b05-090e-421b-b735-d96af064df89/download |
| spellingShingle | Modeling the impact of the volatility of the perceived counterparty credit risk on hedge accounting effectiveness Neto, José Eduardo Justo Hedge accounting Credit valuation adjustment (CVA) Default correlation Contabilidade de cobertura Ajuste de Avalição de Crédito (CVA) Correlação de default |
| status | SINGLETON |
| subject.fl_str_mv | Hedge accounting Credit valuation adjustment (CVA) Default correlation Contabilidade de cobertura Ajuste de Avalição de Crédito (CVA) Correlação de default |
| title | Modeling the impact of the volatility of the perceived counterparty credit risk on hedge accounting effectiveness |
| title_full | Modeling the impact of the volatility of the perceived counterparty credit risk on hedge accounting effectiveness |
| title_fullStr | Modeling the impact of the volatility of the perceived counterparty credit risk on hedge accounting effectiveness |
| title_full_unstemmed | Modeling the impact of the volatility of the perceived counterparty credit risk on hedge accounting effectiveness |
| title_short | Modeling the impact of the volatility of the perceived counterparty credit risk on hedge accounting effectiveness |
| title_sort | Modeling the impact of the volatility of the perceived counterparty credit risk on hedge accounting effectiveness |
| topic | Hedge accounting Credit valuation adjustment (CVA) Default correlation Contabilidade de cobertura Ajuste de Avalição de Crédito (CVA) Correlação de default |
| topic_facet | Hedge accounting Credit valuation adjustment (CVA) Default correlation Contabilidade de cobertura Ajuste de Avalição de Crédito (CVA) Correlação de default |
| url | http://hdl.handle.net/10362/74239 |
| visible | 1 |