| Summary: | 碩士 === 國立臺灣大學 === 會計學研究所 === 107 === In 2014, International Accounting Standards Board (IASB) published the full version of International Financial Reporting Standards 9 (IFRS 9), which the hedge accounting component was significantly modified compared to the International Accounting Standards 39 (IAS39). The new standards are more applicable for practical risk management of entity, including allowing more risk management activities to apply to hedge accounting and reducing the complexity and difficulties.
The liberalization and internationalization of the financial market have increased the risks borne by commercial banks. In this situation, banks should establish complete risk management systems to deal with them. As a result, the use of derivatives to hedge risks, an important means of risk management, have made banks a main users of hedge accounting. Among the many risks that banks bear, interest rate risk is one of the most frequently avoided risks in hedging activities because the business model of banks and interest rate risk hedging instruments are more accessible.
This study focuses on interest rate risk management of banks and new hedge accounting standards, giving an overview of interest rate risk management technics of banks and requirements of IFRS9 hedge accounting. The study further links them to each other to explore the impact of bank interest rate hedging activities and related accounting treatments.
This study selects the most related parts of bank interest rate risk in IFRS 9 hedge accounting, which includes hedging groups (including net position), aggregate exposure and the IAS 39 amendment to fair value hedge accounting for a portfolio hedge of interest rate risk, and discuss how these changes impact interest rate risk management and hedge accounting of banks. In addition, this research also tries to deepen reader’s understanding about these topics though illustrating with rules and examples.
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