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• W1973225444 abstract "Journal of Derivatives AccountingVol. 01, No. 02, pp. 221-272 (2004) INDUSTRY PERSPECTIVENo AccessHEAT™ (HEDGE EFFECTIVENESS ANALYSIS TOOLKIT): A CONSISTENT FRAMEWORK FOR ASSESSING HEDGE EFFECTIVENESS UNDER IAS 39 AND FAS 133 FROM JPMORGANGUY COUGHLAN, SIMON EMERY, and JOHANNES KOLBGUY COUGHLANJPMorgan Asset and Liability Management Advisory, JPMorgan Securities, London, UK Search for more papers by this author , SIMON EMERYJPMorgan Corporate Derivatives, JPMorgan Chase Bank, London, UK Search for more papers by this author , and JOHANNES KOLBJPMorgan Corporate Derivatives, JPMorgan Chase Bank, London, UK Search for more papers by this author https://doi.org/10.1142/S0219868104000178Cited by:12 PreviousNext AboutSectionsPDF/EPUB ToolsAdd to favoritesDownload CitationsTrack CitationsRecommend to Library ShareShare onFacebookTwitterLinked InRedditEmail AbstractHEAT™ or Hedge Effectiveness Analysis Toolkit is JPMorgan's latest addition to a long list of innovative and cutting-edge risk management solutions. HEAT is destined to help corporations navigate the complexities of hedge effectiveness testing under IAS 39 and FAS 133. HEAT comprises a consistent framework incorporating alternative methodologies for understanding and implementing hedge effectiveness testing. It is unique because it enables corporations to assess the effectiveness of hedges in both economic and accounting terms and also enables corporations to estimate the potential impact on earnings if hedge accounting is not obtained. While HEAT provides corporations with a consistent framework incorporating many alternative methodologies for hedge effectiveness testing, auditors will ultimately determine the appropriateness of any given methodology from a regulatory and accounting perspective, and as such accounting advice should be sought before implementing a particular methodology. In practice, even relatively simple hedge effectiveness methodologies can give surprising and sometimes counterintuitive results. HEAT helps to address the pitfalls that need to be negotiated in developing a consistent and intuitive approach to evaluating hedge effectiveness.Keywords:HEAThedge effectiveness testingFAS 133 and 138IAS 39fair valueideal designated-risk hedge (IDRH)short-cutdollar-offsetrisk reduction test References Althoff, J. M. and J. D. Finnerty (2001). Use of regression in assessing hedge effectiveness. FAS 133 and the New Derivatives Accounting Landscape, Institutional Investor, New York (Fall), 44–51 . Google Scholar Canabarro, E. (1999). A Note on the Assessment of Hedge Effectiveness Using Dollar Offset Ratio Under FAS 133, Goldman Sachs research paper (June) . Google ScholarG. D. Coughlan, Treasury Log 4, 4 (2003). Google Scholar G. D. Coughlan , J. Kolb and S. Emery , HEAT Technical Document ( JPMorgan , London , 2003 ) . Google Scholar G. D. Coughlan , Corporate Risk Management in an IAS 39 Framework ( Incisive Media , London , 2004 ) . Google Scholar C. L. Culp and M. H. 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EPRM, (November), 28–29 . Google Scholar IASB , International Financial Reporting Standards ( IASB , London , 2004 ) . Google ScholarL. L. Johnson, Review of Economic Studies 27, 139 (1960). Crossref, Google ScholarA. Kalotay and L. Abreo, Journal of Applied Corporate Finance 13(Winter), 93 (2001), DOI: 10.1111/j.1745-6622.2001.tb00429.x. Crossref, Google ScholarI. G. Kawaller and P. D. Koch, Journal of Derivatives 7(Summer), 79 (2000), DOI: 10.3905/jod.2000.319136. Crossref, Google ScholarI. G. Kawaller, Bank Asset/Liability Management 18(3), 1 (2002). Google ScholarI. G. Kawaller, AFP Exchange 7, (2002). Google ScholarI. G. Kawaller, Derivatives Strategy 6, 36 (2001). Google ScholarI. G. Kawaller and R. B. Steinberg, AFP Exchange 7, (2002). Google ScholarJ. Longerstaey and M. Spencer, RiskMetrics Technical Document, 4th edn. (JPMorgan, New York, 1996). Google Scholar J. Mina and J. Y. Xiao , Return to RiskMetrics: The Evolution of a Standard ( The RiskMetrics Group , New York , 2001 ) . Google Scholar Royall, R. L. (2001). Use of regression in assessing hedge effectiveness. FAS 133 and the New Derivatives Accounting Landscape, Institutional Investor, New York (Fall), pp. 52–61 . Google Scholar S. M. Swad , Accounting and disclosures for derivatives , 1995 Twenty-Second Annual National Conference on Current SEC Developments ( 1995 ) . Google Scholar FiguresReferencesRelatedDetailsCited By 12Hedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity ModelKevin Dowd, Andrew J. G. Cairns and David Blake20 November 2019 | North American Actuarial Journal, Vol. 25, No. sup1Aspectos a considerar en los cálculos de efectividad de una cobertura de valor razonable en donde el swap de tasa de interés intercambia una tasa flotante por otra tasa flotanteMiguel A. García, Heriberto G. Martínez and Jesús G. Cruz7 December 2017 | Revista Innovaciones de Negocios, Vol. 6, No. 12Longevity Risk Transfer: Indices and Capital Market SolutionsGuy Coughlan18 September 2015Multi-population mortality models: A factor copula approachHua Chen, Richard MacMinn and Tao Sun1 Jul 2015 | Insurance: Mathematics and Economics, Vol. 63Hedge Accounting and Risk Management: An Advanced Prospective Model for Testing Hedge EffectivenessAnnalisa Di Clemente24 January 2015 | Economic Notes, Vol. 44, No. 1Longevity hedge effectiveness: a decompositionAndrew J.G. Cairns, Kevin Dowd, David Blake and Guy D. Coughlan20 February 2013 | Quantitative Finance, Vol. 14, No. 2Robust Hedging of Longevity RiskAndrew J. G. Cairns1 July 2013 | Journal of Risk and Insurance, Vol. 80, No. 3Longevity Risk and Hedging SolutionsGuy Coughlan, David Blake, Richard MacMinn, Andrew J. G. Cairns and Kevin Dowd31 July 2013Longevity Hedging 101Guy D. Coughlan, Marwa Khalaf-Allah, Yijing Ye, Sumit Kumar and Andrew J. G. Cairns et al.1 Apr 2011 | North American Actuarial Journal, Vol. 15, No. 2Longevity Hedge Effectiveness: A DecompositionAndrew J. G. Cairns, Kevin Dowd, David P. Blake and Guy Coughlan1 Jan 2011 | SSRN Electronic Journal, Vol. 68Cost-Effective Hedges and Accounting StandardsCharles T. Howard and Louis J. D'Antonio1 Dec 2005 | Accounting Horizons, Vol. 19, No. 4DIVERGENT FAS-133 AND IAS-39 INTEREST RATE RISK HEDGE EFFECTIVENESS: PROBLEM AND REMEDIESJAMES N. BODURTHA, JR.7 April 2012 | Journal of Derivatives Accounting, Vol. 02, No. 01 Recommended Vol. 01, No. 02 Metrics History KeywordsHEAThedge effectiveness testingFAS 133 and 138IAS 39fair valueideal designated-risk hedge (IDRH)short-cutdollar-offsetrisk reduction testPDF download" @default.
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