By developing an analytical model, this paper examines the role of the ＂external appraiser＂ as a tool to face the informational asymmetry issue related to fair value measurements. A comparison between such a signali...By developing an analytical model, this paper examines the role of the ＂external appraiser＂ as a tool to face the informational asymmetry issue related to fair value measurements. A comparison between such a signaling mechanism and a ＂full fair value disclosure＂ is firstly carried out, highlighting variables affecting the efficiency and the effectiveness of both information strategies. Then, recovering the traditional distinction between ＂protective disclosure＂ （hard information） and ＂informative disclosure＂ （soft information）, this paper demonstrates how the former could significantly increase the positive effects associated to an employment of an independent valuer, reaching some conclusions useful to the standard setting process.展开更多
This paper aims to examine whether or not the adoption of fair value accounting （FVA） has an effect on the level of information transparency and the degree of earnings management, to identify whether the legal insti...This paper aims to examine whether or not the adoption of fair value accounting （FVA） has an effect on the level of information transparency and the degree of earnings management, to identify whether the legal institutions have powers to explain those effects of the adoption of FVA, and to explore the relationship between the effects of the adoption of FVA and several specific characteristics of the banking industry. By investigating the banking sectors of four Asian countries/regions including China, Hong Kong, the Philippines, and Singapore which have adopted International Financial Reporting Standards （IFRS）, this paper finds that after the application of FVA, the estimated cost of equity of the sampled banks significantly decreases and the relationship between banks＇ loan loss provisions （LLP） and earnings before provisions and tax （EBPT） becomes irrelevant. The evidence supports the effects of FVA adoption on the enhancement of accounting quality. In addition, sound legal/extra-legal systems are closely linked to the degree of accounting quality and still have a strong influence on FVA.展开更多
We apply to the concrete setup of a bank engaged into bilateral trade portfolios the XVA theoretical framework of Albanese and Crepey(2017),whereby´so-called contra-liabilities and cost of capital are charged by ...We apply to the concrete setup of a bank engaged into bilateral trade portfolios the XVA theoretical framework of Albanese and Crepey(2017),whereby´so-called contra-liabilities and cost of capital are charged by the bank to its clients,on top of the fair valuation of counterparty risk,in order to account for the incompleteness of this risk.The transfer of the residual reserve credit capital from shareholders to creditors at bank default results in a unilateral CVA,consistent with the regulatory requirement that capital should not diminish as an effect of the sole deterioration of the bank credit spread.Our funding cost for variation margin(FVA)is defined asymmetrically since there is no benefit in holding excess capital in the future.Capital is fungible as a source of funding for variation margin,causing a material FVA reduction.We introduce a specialist initial margin lending scheme that drastically reduces the funding cost for initial margin(MVA).Our capital valuation adjustment(KVA)is defined as a risk premium,i.e.the cost of remunerating shareholder capital at risk at some hurdle rate.展开更多
文摘By developing an analytical model, this paper examines the role of the ＂external appraiser＂ as a tool to face the informational asymmetry issue related to fair value measurements. A comparison between such a signaling mechanism and a ＂full fair value disclosure＂ is firstly carried out, highlighting variables affecting the efficiency and the effectiveness of both information strategies. Then, recovering the traditional distinction between ＂protective disclosure＂ （hard information） and ＂informative disclosure＂ （soft information）, this paper demonstrates how the former could significantly increase the positive effects associated to an employment of an independent valuer, reaching some conclusions useful to the standard setting process.
文摘This paper aims to examine whether or not the adoption of fair value accounting （FVA） has an effect on the level of information transparency and the degree of earnings management, to identify whether the legal institutions have powers to explain those effects of the adoption of FVA, and to explore the relationship between the effects of the adoption of FVA and several specific characteristics of the banking industry. By investigating the banking sectors of four Asian countries/regions including China, Hong Kong, the Philippines, and Singapore which have adopted International Financial Reporting Standards （IFRS）, this paper finds that after the application of FVA, the estimated cost of equity of the sampled banks significantly decreases and the relationship between banks＇ loan loss provisions （LLP） and earnings before provisions and tax （EBPT） becomes irrelevant. The evidence supports the effects of FVA adoption on the enhancement of accounting quality. In addition, sound legal/extra-legal systems are closely linked to the degree of accounting quality and still have a strong influence on FVA.
基金The research of Stephane Cr´epey benefited from the support of the“Chair Markets´in Transition,”Fed´eration Bancaire Franc´¸aise,of the ANR project 11-LABX-0019 and from the EIF grant“Collateral management in centrally cleared trading.”。
文摘We apply to the concrete setup of a bank engaged into bilateral trade portfolios the XVA theoretical framework of Albanese and Crepey(2017),whereby´so-called contra-liabilities and cost of capital are charged by the bank to its clients,on top of the fair valuation of counterparty risk,in order to account for the incompleteness of this risk.The transfer of the residual reserve credit capital from shareholders to creditors at bank default results in a unilateral CVA,consistent with the regulatory requirement that capital should not diminish as an effect of the sole deterioration of the bank credit spread.Our funding cost for variation margin(FVA)is defined asymmetrically since there is no benefit in holding excess capital in the future.Capital is fungible as a source of funding for variation margin,causing a material FVA reduction.We introduce a specialist initial margin lending scheme that drastically reduces the funding cost for initial margin(MVA).Our capital valuation adjustment(KVA)is defined as a risk premium,i.e.the cost of remunerating shareholder capital at risk at some hurdle rate.
