This paper investigates whether Statement of Financial Accounting Standards No. 119 (SFAS 119) disclosures are useful for assessing the sensitivity of a firm's equity return to currency fluctuations (currency exposure). First, the study demonstrates how the notional amount and fair value of...

According to IFRS 9, an Entity shall assess – by performing a quantitative assessment – the relevance of the modification of the time value of money element, i.e. the modification of the interest that can be observed, e.g. in all the instruments whose underlying interest rate tenors are...

Prior studies show that investor learning about earnings-based return predictors from academic research erodes return predictability. However, the signaling power of “bottom-line” earnings has declined over time, which complicates assessments of investor learning about profitability signals...

This paper proposes a simple and crude way of approximating the XVA sensitivities. In short, the idea is simply to recycle the existing base simulated portfolio values for the bumped ones. This is done by re-simulating the risk factors for the bumped market and finding out which other base state...

There is an increasing consensus within banks, on the need to recognize the impact of rising capital requirements on their derivative business in the form of capital valuation adjustment (KVA). However, because of varied reasons, there are still concerns over how exactly KVA should be computed,...

We model and estimate the term structure of implied costs of equity capital (and implied risk premia) at the firm level for the years 1996-2015 from forward looking option contracts. Empirical tests reject the assumption that the term structure of implied firm-level costs of equity is constant...

In this paper, I develop a measure of the difference in the amount of information that investors expect a forthcoming disclosure to contain should it reveal good news versus bad news (the disclosure's "asymmetry"). I derive this measure from a model of option prices leading up to an asymmetric...

This paper examines whether the tone of corporate textual disclosures related to risk and uncertainty conveys relevant information to the credit default swap (CDS) market. Prior studies largely focus on the amount of risk disclosures and provide inconclusive evidence on the usefulness of risk...

Credit (CVA), Debit (DVA) and Funding Valuation Adjustments (FVA) are now familiar valuation adjustments made to the value of a portfolio of derivatives to account for credit risks and funding costs. However, recent changes in the regulatory regime and the increases in regulatory capital...

This paper uses inventory data from financial accounts to explore whether companies involved in the physical oil market were speculating in the run-up to 2008. Using quarterly inventory data over the period 1990Q4 to 2012Q1 and a sample of 15 of the largest listed oil companies in the world, we...