Regnskabsmæssig sikring efter IFRS: En implementering af regnskabsmæssig sikring, samt en analyse af måling af dagsværdier på finansielle instrumenter og test af effektivitet

Christian Hansen Ravensholt

Student thesis: Master thesis

Abstract

This thesis is about hedge accounting according to IFRS, and it examines how hedges relationships are treated in the financial reporting. The subject is quit complex, and therefore the thesis will only examines the part of hedge accounting that includes measuring the fair value of financial instruments and testing of effectiveness of hedged relationships. First an explanation of the relevant theories will be done. The theories that will be displayed are as followed: Hedge accounting according to IFRS, valuation of financial instruments and the construction of discount curve of forward curves. After explaining the theories, they will be implemented using data collected from the financial markets. The data will mainly consist of interest rates of different maturities. The scenario is to value a generic interest rate swap using different methods of calculating, and value at different dates. The interest rate swap is valued at a date before the crunch-crisis and at a date recently. After valuing the interest rate swap under different conditions the effectiveness of the hedges relationship are measured. The hedged relationship consists of the valued interest rate swap and a loan. Regretfully the results look like they have been exposed to error, as the fair values are very unrealistic. The sources of errors could be many, but they are probably coming from: wrong choice of data and mistakes in calculating the discount curve and the forward curve. Nevertheless the results are analyzed and discussed in the end of the thesis.

EducationsMSc in Auditing, (Graduate Programme) Final Thesis
LanguageDanish
Publication date2013
Number of pages81