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Hedging a bank’s interest rate risk with interest rate swaps: accounting treatment and auditing procedures
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Resumo(s)
Interest rate risk is one of the most crucial types of risk that banks face as financial intermediaries. This risk can be hedged using traditional methods, like duration matching, or using derivatives such as interest rate swaps, so that banks face less interest rate uncertainty. Hedging with derivatives also has implications for the accounting part. In the light of the IFRS 9, as the new prevailing accounting regime in Europe, this thesis presents the hedge accounting treatment by banks, highlighting the auditor responsibilities in the context of these instruments
Descrição
A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
Palavras-chave
Interest rate risk Interest rate swaps Hedge accounting Auditor responsibilities