Testing for Convexity Relevance: An IFRS 9 Benchmark Cashflow Test Proposal (with Stochastic Volatility)

2017 ◽  
Author(s):  
Luigi A. Cefis ◽  
David Eliezer
Keyword(s):  
Stochastic Volatility ◽  
Ifrs 9

Business Model Literature Overview

2014 ◽  
pp. 79-130 ◽  
Author(s):  
Ales Novak
Keyword(s):  
Business Model ◽  
Financial Reporting ◽  
Business Models ◽  
Potential Role ◽  
Financial Instruments ◽  
Business Logic ◽  
Literature Overview ◽  
Ifrs 9 ◽  
Definition Of

The term ?business model' has recently attracted increased attention in the context of financial reporting and was formally introduced into the IFRS literature when IFRS 9 Financial Instruments was published in November 2009. However, IFRS 9 did not fully define the term ‘business model'. Furthermore, the literature on business models is quite diverse. It has been conducted in largely isolated fashion; therefore, no generally accepted definition of ?business model' has emerged. Therefore, a better understanding of the notion itself should be developed before further investigating its potential role within financial reporting. The aim of this paper is to highlight some of the perceived key themes and to identify other bases for grouping/organizing the literature based on business models. The contributions this paper makes to the literature are twofold: first, it complements previous review papers on business models; second, it contains a clear position on the distinction between the notions of the business model and strategy, which many authors identify as a key element in better explaining and communicating the notion of the business model. In this author's opinion, the term ‘strategy' is a dynamic and forward-looking notion, a sort of directional roadmap for future courses of action, whereas, ‘business model' is a more static notion, reflecting the conceptualisation of the company's underlying core business logic. The conclusion contains the author's thoughts on the role of the business model in financial reporting.

Zum inkonsistenten Inhalt des Geschäftsmodellbegriffs in IFRS 9

2019 ◽  
Vol 31 (3) ◽  
pp. 217-223
Author(s):  
Felix Krauß
Keyword(s):  
Ifrs 9

Zusammenfassung Obwohl innerhalb der IFRS keine explizite Begriffsdefinition des Geschäftsmodells erfolgt, ist dennoch eine einheitliche Verwendung des Terms in IFRS 9 grundsätzlich wünschenswert. Allerdings lässt sich auf Grundlage der Kategorisierungsvorschriften auf der einen und der Umgliederungsvorschriften auf der anderen Seite ein jeweils abweichender Inhalt des Geschäftsmodellbegriffs ableiten, was die allgemein mit dem Begriff verbundenen Verständnisprobleme befördert. Dem kommt auch eine aufsichtsrechtliche Relevanz dahingehend zu, als dass die aufsichtsrechtliche Anlage- bzw. Handelsbuchzuordnung grundsätzlich konsistent zum Geschäftsmodell des IFRS 9 erfolgen sollte. Ein einheitlicher Begriffsinhalt wäre dabei bereits durch eine nur geringfügige, klarstellende Änderung des Standards zu erreichen.

IFRS 9: Estimation of expected credit losses and their recognition in financial reporting

2019 ◽  
Vol 22 (4) ◽  
pp. 364-378
Author(s):  
T.B. Kuvaldina ◽  
◽  
E.V. Lobachev ◽  
Keyword(s):  
Financial Reporting ◽  
Ifrs 9 ◽  
Credit Losses

AS ASSIMETRIAS ENTRE A IFRS 9 E AS CONSULTAS PÚBLICAS DO BANCO CENTRAL DO BRASIL

2021 ◽  
Vol 10 (Especial) ◽  
Author(s):  
George André Willrich Sales ◽  
Cristiane Oliveira da Silva Bezerra ◽  
Roberta Lira Caneca
Keyword(s):  
Ifrs 9

O estudo identifica assimetrias entre o IFRS 9 e as Consultas Públicas do Banco Central doBrasil – Editais 54/2017 e 60/2018 – e os seus impactos na carteira de crédito da CAIXA. Foirealizada uma pesquisa quantitativa, quanto à abordagem do problema, exploratória, quanto aosobjetivos, e um estudo de caso, quanto aos procedimentos. Os resultados demonstram que aconvergência do IFRS 9 ao padrão BRGAAP pelo BACEN trará um impacto no aumento daprovisão para perdas nas operações de crédito da CAIXA de aproximadamente 70% e que aindahaverá a necessidade de manutenção de controles operacionais segregados para atendimentoaos requisitos do padrão IFRS, especificamente no que se refere ao reconhecimento de receitasde juros das operações classificadas no Estágio 3, em que o BACEN determina que a receitanão deve ser registrada antes de seu efetivo recebimento, enquanto o órgão reguladorinternacional estabelece o critério para registro da receita em base líquida da provisão. Oreconhecimento da provisão com base no modelo de perdas esperadas adotado pelo IFRS 9 epropostas normativas do BACEN mais conservadoras que norma internacional, tende aapresentar valores superiores às perdas efetivas, entretanto, apresenta maior segurança aomercado em situações de crise.

A non-Gaussian stochastic volatility model

1998 ◽  
Vol 2 (2) ◽  
pp. 33-47 ◽  
Author(s):  
Yuichi Nagahara ◽  
Genshiro Kitagawa
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Volatility Model ◽  
Volatility Model ◽  
Non Gaussian
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