TY  - UNPD
A1  - Gebhardt, Günther
A1  - Reichardt, Rolf
A1  - Wittenbrink, Carsten
T1  - Financial instruments fair value accounting for (not against) the banking industry
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2003,21
N2  - 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. December 2002. Revised: June 2003. Later version: http://publikationen.ub.uni-frankfurt.de/volltexte/2005/1026/ with the title: "Accounting for financial instruments in the banking industry : conclusions from a simulation model"
T3  - CFS working paper series - 2003, 21 
KW  - Financial Instruments
KW  - Fair Value Accounting
KW  - Hedge Accounting
KW  - Accounting for Banks
KW  - IAS
KW  - US GAAP
KW  - Bank Simulation
KW  - Finanzierungstheorie
KW  - Derivat, Wertpapier
KW  - International Accounting Standard 39
KW  - Fair-Value-Bewertung
KW  - USA
KW  - Generally Accepted Accounting Principles
Y1  - 2003
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4397
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-10959
N1  - spätere Version: http://publikationen.ub.uni-frankfurt.de/volltexte/2005/1026/ unter dem Titel: "Accounting for financial instruments in the banking industry : conclusions from a simulation model"
ER  -