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Displaying results 1 to 5 of 5.

  1. "Taking diversity into account"
    real effects of accounting measurement on asset allocation
    Author: LeQuang, Gaëtan
    Published: [2018]
    Publisher:  EconomiX - UMR7235, Université Paris Nanterre, Nanterre

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 334
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / EconomiX ; 2018, 28
    Subjects: IFRS 9; Fair Value Accounting; Historical Cost Accounting; Asset Allocation; Real Effects of Accounting; Banks; Insurers
    Scope: 1 Online-Ressource (circa 30 Seiten)
  2. Accounting for financial instruments in the banking industry
    Author: Gebhardt, Günther; Reichardt, Rolf; Wittenbrink, Carsten
    Published: 2002
    Publisher:  Univ., Fachbereich Wirtschaftswiss., Frankfurt am Main

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  3. Accounting for financial instruments in the banking industry: conclusions from a simulation model
    Author: Gebhardt, Günther; Reichardt, Rolf; Wittenbrink, Carsten
    Published: 2003
    Publisher:  Univ.-Bibliothek Frankfurt am Main, Frankfurt am Main

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  4. The economic consequences of including fair value adjustments to shareholders' equity in regulatory capital calculations
    Author: Chircop, Justin; Novotny-Farkas, Zoltán
    Published: 2014
    Publisher:  Institute of Economics, Hungarian Academy of Sciences, Budapest

    We investigate the economic consequences of the implementation of a particular aspect of Basel III in the U.S. Specifically, the Basel III proposal and the corresponding U.S. rule (hereafter referred to as the removal of the AOCI filter) to make the... more

    Location:
    Staats- und Universitätsbibliothek Bremen
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 151 (2014,26)
    Inter-library loan:
    No inter-library loan

     

    We investigate the economic consequences of the implementation of a particular aspect of Basel III in the U.S. Specifically, the Basel III proposal and the corresponding U.S. rule (hereafter referred to as the removal of the AOCI filter) to make the inclusion of unrealized fair value gains and losses of available-for-sale (AFS) securities in regulatory capital mandatory for all banks was highly controversial. The regulators' view that such an inclusion would result in greater bank regulatory discipline was met with the concern that the regulatory costs of such regulatory tightening would exceed any possible benefits. Specifically, opponents of this rule argue that the inclusion of unrealized gains and losses would result in unrealistic volatility in regulatory capital and would force banks to make costly changes to their investment and risk management behavior. Using a comprehensive sample of U.S. banks we provide three pieces of evidence: First, we find that inclusion of unrealized fair value gains and losses on AFS securities for the period 2009 to 2013 would have resulted in increased volatility of regulatory capital. Second, bank share prices reacted negatively (positively) to pronouncements that increased (decreased) the likelihood that this rule would be implemented and these market reactions are strongly positively related to the relative amount of unrealized gains and losses. Third, we find evidence that banks affected by the AOCI filter removal (i.e., advanced approaches banks) changed their investment portfolio management. Specifically, affected banks reduce the maturity of their investment portfolio and decrease the proportion of AFS securities more significantly than unaffected benchmark banks. Interestingly, our results also suggest that affected banks reduce the size of their illiquid investment securities held in the AFS category more than unaffected banks. Given that we observe these changes before the actual implementation date of the new rule, we believe our results speak to the ex ante effects of fair value accounting on banks' risk taking behavior.

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9786155447457
    Other identifier:
    hdl: 10419/108357
    Edition: First draft: April 10, 2014, This draft: September 18, 2014
    Series: Discussion papers / Institute of Economics Hungarian Academy of Sciences ; 2014/26
    Subjects: Banks; Fair Value Accounting; Prudential regulation; Regulatory Capital
    Scope: Online-Ressource (4, [1], 63 S.)
    Notes:

    Zsfassung in ungar. Sprache
  5. Accounting for financial instruments in the banking industry
    conclusions from a simulation model
    Author: Gebhardt, Günther; Reichardt, Rolf; Wittenbrink, Carsten
    Published: 2003
    Publisher:  Center for Financial Studies, Frankfurt, Main

    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... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 108 (2003,21)
    Inter-library loan:
    No inter-library loan

     

    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. We develop a simulation model that captures the essential characteristics of a modern universal bank with investment banking and commercial banking activities. We run simulations for different strategies (fully hedged, partially hedged) using historical data from periods with rising and falling interest rates. We show that under Old IAS a fully hedged bank can portray its zero economic earnings in its financial statements. As Old IAS offer much discretion, this bank may also present income that is either positive or negative. We further show that because of the restrictive hedge accounting rules, banks cannot adequately portray their best practice risk management activities under Current IAS or US GAAP. We demonstrate that - contrary to assertions from the banking industry - mandatory FFV accounting adequately reflects the economics of banking activities. Our detailed analysis identifies, in addition, several critical issues of the accounting models that have not been covered in previous literature.

     
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    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/72631
    Edition: Revised: November 2003
    Series: CFS Working Paper ; 2003/21
    Subjects: Accounting for Banks; Bank Simulation; Fair Value Accounting; Financial Instruments; Hedge Accounting; IAS; US GAAP
    Scope: Online-Ressource (43 S.), graph. Darst.