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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 劉啟群 | |
dc.contributor.author | Chun-Hsiao Yeh | en |
dc.contributor.author | 葉俊孝 | zh_TW |
dc.date.accessioned | 2021-06-17T07:06:08Z | - |
dc.date.available | 2024-08-05 | |
dc.date.copyright | 2019-08-05 | |
dc.date.issued | 2019 | |
dc.date.submitted | 2019-07-25 | |
dc.identifier.citation | 財團法人中華民國會計研究發展基金會財務會計準則委員會,2005,國際會計準則第二十一號「匯率變動之影響」。
財團法人中華民國會計研究發展基金會財務會計準則委員會,2009,國際會計準則第三十九號「金融工具:認列與衡量」。 財團法人中華民國會計研究發展基金會財務會計準則委員會,2011,國際財務報導準則第十三號「公允價值衡量」。 財團法人中華民國會計研究發展基金會財務會計準則委員會,2016,國際財務報導準則第十號「合併財務報表」。 財團法人中華民國會計研究發展基金會財務會計準則委員會,2017,國際財務報導準則第九號「金融工具」。 黃昱程,2013,期貨與選擇權:衍生性金融商品入門經典(三版),華泰文化事業股份有限公司。 劉啟群與張窈菱,2012,美國銀行業採用公平價值選擇權之決定因素-提前與正常採用之差異,管理學報,29卷5期,頁513-538。 Bank Of America. 2019. “2018 Annual Report”. Barton, J. 2001. Does the Use of Financial Derivatives Affect Earnings Management Decisions? The Accounting Review, 76(1), 1-26. Basel Committee on Banking Supervision. 2004. Principles for the Management and Supervision of Interest Rate Risk. Basel Committee on Banking Supervision. 2011. Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systems. Basel Committee on Banking Supervision. 2015. Consultative Document: Interest rate risk in the banking book. Basel Committee on Banking Supervision. 2016. Standards: Interest Rate Risk in the banking book. Ernst & Young.2014. Hedge accounting under IFRS 9. European Financial Reporting Advisory Group. 2017. Dynamic risk management; how do banks manage interest rate risk; Findings from EFRAG’s 2016 outreach KPMG. 2013. First Impressions: IFRS9(2013) – Hedge accounting and transition. Maciej J. Kocon. 2007. Hedge accounting in banks in the light of the international financial reporting standards,(Master’s thesis, Aarhus School of Business M.Sc. in Finance and International Business, Aarhus, Danmark) Pincus, M., & Rajgopal, S. 2002. The Interaction between Accrual Management and Hedging: Evidence from Oil and Gas Firms. The Accounting Review, 77(1), 127-160. PricewaterhouseCoopers. 2017. In Depth: Achieving hedge accounting in practice under IFRS 9. Societe Generale. 2018. 2017 Risk Report. Soretha Beets. 2004. The use of derivatives to manage interest rate risk in commercial banks. Investment Management and Financial Innovations, 1(2) | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/72785 | - |
dc.description.abstract | 2014年國際會計準則委員會推出國際報導準則(International Financial Reporting Standards, IFRS)第九號完整版,其中避險會計之部分有重大修改,相較於原先國際會計準則(International Accounting Standards, IAS)三十九號之規範更得貼近企業實際之風險管理實務,除了允許更多避險活動得適用避險會計,亦降低了適用避險會計之複雜度與困難度。
自金融市場自由化及國際化後,商業銀行承受之風險不斷增加,該情形促使銀行必須建置良好之風險管理機制,而利用衍生工具對其暴險進行避險活動即是其一種風險管理之手段,故銀行也成為避險會計之主要使用者。而銀行營運所承受之眾多風險中,因銀行特殊之商業模式及避險工具取得之簡易性,利率風險更係於避險活動中最常被規避之風險之一。 本研究主要介紹銀行利率風險管理與 IFRS 9 避險會計,將銀行對於利率風險管理之方法以及IFRS 9完整之避險會計規範作詳細說明,再將其互相連結,探討於適用 IFRS 9 避險會計後,對於銀行之利率避險活動及相關之會計處理會有何種影響。 此篇研究選出與利率風險避險較為攸關之項目群組(包含淨部位)避險、彙總暴險以及沿用 IAS 39 利率組合之公允價值避險例外規範作深入解說,探討上述更動對於銀行風險管理及其避險會計之影響,並藉由準則介紹與釋例呈現加深讀者對於此部分避險會計之認識。 | zh_TW |
dc.description.abstract | 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. | en |
dc.description.provenance | Made available in DSpace on 2021-06-17T07:06:08Z (GMT). No. of bitstreams: 1 ntu-108-R06722037-1.pdf: 9388668 bytes, checksum: d492f96e948b258f1d8b7f317f794908 (MD5) Previous issue date: 2019 | en |
dc.description.tableofcontents | 摘要 ii
Abstract iii 目錄 v 表目錄 vi 圖目錄 vii 第一章 緒論 1 第一節 研究目的及研究背景 1 第二節 研究架構 4 第二章 銀行利率風險管理 5 第一節 利率風險之辨識 7 第二節 利率風險之衡量及管理 11 第三節 利率風險之衍生性金融商品避險工具 20 第三章 IFRS9避險會計介紹 32 第一節 避險工具 33 第二節 被避險項目 37 第三節 避險會計之符合要件 45 第四節 符合要件之避險關係之會計處理 51 第五節 項目群組之避險 69 第六節 選擇將信用暴險指定為透過損益按公允價值衡量 76 第四章 適用IFRS9後之銀行利率風險避險會計 79 第一節 利率風險之項目群組(含淨部位)避險 80 第二節 利率相關之彙總暴險 86 第三節 沿用IAS 39之利率組合之公允價值避險 110 第五章 結論 130 附註一 兆豐銀行2018年下半年風險管理之相關資訊揭露 133 附註二 CBOT十年期美國公債期貨合約 142 參考文獻 144 | |
dc.language.iso | zh-TW | |
dc.title | 適用IFRS 9避險會計對銀行利率風險管理之影響 | zh_TW |
dc.title | The Impact of Applying IFRS 9 Hedge Accounting on Bank Interest Rate Risk Management | en |
dc.type | Thesis | |
dc.date.schoolyear | 107-2 | |
dc.description.degree | 碩士 | |
dc.contributor.coadvisor | 尤琳蕙 | |
dc.contributor.oralexamcommittee | 張窈菱,林純央 | |
dc.subject.keyword | 銀行,利率風險管理,IFRS9,避險會計, | zh_TW |
dc.subject.keyword | Bank,Interest Rate Risk Management,IFRS9,Hedge Accounting, | en |
dc.relation.page | 145 | |
dc.identifier.doi | 10.6342/NTU201901712 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2019-07-25 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 會計學研究所 | zh_TW |
顯示於系所單位: | 會計學系 |
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