위험회피회계의 효과성 평가방법 연구

The hedge accounting is a technique that normal basis for recognising gains and losses associated with hedged items or hedging instruments to enable gains and losses on the hedging instruments to be recognised in P&L in the same period as offsetting losses and gains on the hedged items. In order to apply this accounting treatment is required hedging effectiveness testinge. Under the K-IFRS, regularly evaluate the effectiveness and the results should be reflected in financial statements. This paper analyzes the period from June 2008 to January 2012, the risk of rising interest rates on USD bonds and hedging transactions of the USD interest rate swap in order to evaluate the effectiveness of the Dollar-offset method, Regression method and Variance-reduction method using the following results are derived. First, for the purpose of effectiveness, P&L arising from target risk is seperated from total P&L of hedged items. Second, In the event of short-term market impact, the regression method present the most effective and reliable results than other assessments. Third, if changes in the value of the hedged items or the hedging instruments are relatively very small or large, the offset ratio of the dollar-offset method have extreme indicates. Finally, the effectiveness of hedging transaction is determined to be invalid, a providing an institutional strategies is needed to consider rather than immediate cessation of hedging transaction.