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Modeling the impact of the volatility of the perceived counterparty credit risk on hedge accounting effectiveness

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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

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