Search results for " IAS 39"
showing 2 items of 2 documents
The Cyclicality of Bank Credit Losses and Capital Ratios under Expected Loss Model
2023
We model the evolution of stylised bank loan portfolios to assess the impact of IFRS 9 and US GAAP expected loss model (ECL) on the cyclicality of loan loss provisions (LLPs), realised losses and capital ratios of banks, relative to the incurred loss model of IAS 39. We focus on the interaction between the changes in LLPs charges (the flow channel) and stocks (the stock channel) under ECL. Our results show that, when GDP growth doesn’t demonstrate high volatility, ECL model smooths the impact of credit losses on profits and capital resources, reducing the pro-cyclicality of capital and leverage ratios, especially under US GAAP. However, when GDP growth is highly volatile, the large differen…
A note on fair value accounting in a crisis: The influence of the hedge accounting regulations
2010
Published version of an article published in the journal: Business and Economics Journal. Also available from the publisher at: http://astonjournals.com/manuscripts/Vol2010/BEJ-13_Vol2010.pdf The role of fair value accounting in the financial crisis is contorversial and heavily debated. Some claim that fair value accounting of financial instruments contributed to the recent crisis. This note acknowledges that, in many industries, a significant proportion of the financial instruments are entered into for hedging purposes. I examine if a crisis through the hedge accounting regulations, can affect the overall use og fair value accounting in an economy. I present analytical evidence that the bo…