保险公司负债公允价值的评估

保险公司的资产与负债按照财务报告或风险管理的要求要用公允价值来表示其价值。保险公司负债主要由各种类型的保险合同组成。尽管金融产品的交易非常活跃,市场价格可以相对容易地获得,但像保险合同这样缺乏交易市场,并且风险是非系统化的金融产品的公允价值的计算却十分困难。通过分层次的方法可以有效地评估金融工具的公允价值,其中评估保险公司负债的公允价值最常用的方法是现值法。现值法中包含了直接法与间接法两种本质上等价的方法。本文对这两种方法分别作了分析,并提出了在评估保险公司负债的公允价值时需要考虑的一些现实问题。     

我国财务报告准则体系的制定及公允价值对财务报告的影响

一、新准则体系颁布前财务报告相关规范及财务报告准则体系的制定 我国历来重视财务报告的编报工作，财务报告是对外传递财务信息的主要载体，我国财务报告相关制度与会计准则的研究制定了大致经历了三个阶段。     

公允价值的运用及对财务报告的影响

公允价值是在公平交易中熟悉情况的交易双方(无关联关系)自愿进行资产交换或债务清偿的金额。公允价值并非是一个独立的新的计量属性,而是基于市场的一种对资产或负债价值的认定的     

财务报告概念框架的公允价值导向研究

按照财务报告概念框架的要求,财务报告必须提供主体未来现金净流入的信息,这些信息助于现实和潜在的投资者做出购买、出售或者持有主体权益工具或债务工具的决策,投资者利用未来现金流量信息可以评估报告主体经济资源及经济资源要求权现值的信息,公允价值概念是对现值概念的体现,是价值概念的会计表达,财务报告必须提供评估公允价值的未来现金流量信息,这使得财务报告概念框架更加趋向于公允价值导向。     

财务报告目标与公允价值计量

一、问题的提出近年来,公允价值计量成为会计理论与实务界关注的热点问题。相关的研究文献很多。倡导公允价值计量的研究文献。主要关注公允价值计量的具体运用,例如,在不存在活跃市场的情况下如何确定公允价值的问题。反对公允价值计量的研究文献,则较多地关注公允价值计量的顺周期效应问题。本文试图结合财务报告的目标,对公允价值计量问题进行相关的讨论。     

公允价值会计对财务报表的影响

本文通过比较公允价值会计和传统会计在具体的操作方法和考量范围方面的不同之处,来探讨使用公允价值会计后对财务报告的影响,并对在企业管理的过程中,如何更有效地利用财务报告提出了一些探索性的建议.     

公允价值会计理论体系初探

公允价值一直以来都是国际社会的一个热点和难点问题,众多学者也对公允价值做了很多的研究,然而专门针对公允价值会计的研究相对要少的乡.本文主要从公允价值的定义、公允价值会计的定义、公克价值会计的目标、以及公允价值会计的计量属性和计量方法等方面探讨了有关公允价值会计的理论体系问题,希望能够进一步完善公允价值会计的理论体系.     

系统性风险转移、金融危机与公允价值披露

金融创新过程中系统性风险的转移突破了证券投资中收益与风险的传统对应关系,使衍生工具成为一种能有效规避系统性风险的投资载体。公允价值按市值计价的会计处理方法存在着一定的不足,即反映收益的同时忽视了对风险的应有监督;而同时披露收益的相关性和风险的相关性这两方面的信息是提升公允价值信息决策有用性的重要一环。这就需要从披露的视角研究公允价值的具体应用,探讨公允价值披露的改进。     

金融工具公允价值信息的价值相关性

本文以会计信息决策有用性的计量观为基础,通过实证方法对比分析了新企业会计准则实施前后,公允价值是否改进会计信息对公司股票市场价格的影响,以及金融工具的公允价值信息与历史成本对公司股票市场价格的影响;新准则实施后公允价值变动损益对公司的股票市场价值的影响。研究结果表明:在引入公允价值计量属性后,盈余信息和净资产账面价值对模型的整体解释能力有所提高;公允价值计量的金融工具具有显著的增量价值相关性和相对价值相关性,投资者在投资决策时已经开始考虑公允价值因素,金融工具公允价值信息具有价值相关性。     

Fair Value Accounting and Debt Contracting: Evidence from Adoption of SFAS 159

We examine how fair value accounting affects debt contract design, specifically the use and definition of financial covenants in private loan contracts. Using SFAS 159 adoption as our setting, we find that a small but significant proportion of loans (14.5%) modify covenant definitions to exclude the effects of SFAS 159 fair values. Only a limited number of these modifications exclude assets elected at fair value (less than 7%), while all exclude liabilities elected at fair value. Notably, we document that covenant definition modification is unassociated with ex ante fair value elections. We find that covenant definition modification positively varies with common incentive problems attributed to fair value accounting and negatively varies with benefits attributed to fair value accounting. Our results suggest that fair value accounting is not uniformly detrimental for debt contracting and fair value adjustments are included when they are most likely to improve performance measurement.     

金融工具的风险计量、分类体系与公允价值

金融工具会计准则过于复杂的原因之一在于金融工具本身具有丰富的风险内涵.现行金融工具会计体系是一种基于分类基础上的混合计量基础或计量属性体系,公允价值单维计量模式比现行的混和计量模式更简易,公允价值单维计量体系将是金融工具会计准则的长期目标.本研究表明,公允价值在应用层面并不会增加金融工具计量的复杂性,同时也契合全面风险...     

资产公允价值的信息含量及其计量——来自香港金融类上市公司的经验数据

2006年我国颁布的新会计准则广泛引入了公允价值的概念。本文以香港金融类上市公司为样本，主要研究香港公允价值的实施是否增强了会计数据的解释能力。实证结果表明，无论是按公允价值计量的金融资产期末价值还是公允价值变动产生的朱实现收益，都对公司价格和市场收益率产生了显著的增量解释能力。实证结果同时显示，投资者对公允价值计量部分资产的关注程度也要普遍高于非公允价值计量的资产。研究结果能有效消除准则制定者的顾虑，推动公允价值更为广泛的运用。     

Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting

A general class of fair valuations which are both market-consistent (mark-to-market for any hedgeable part of a claim) and actuarial (mark-to-model for any claim that is independent of financial market evolutions) was introduced in Dhaene et al. [Insurance: Mathematics & Economics, 76, 14–27 (2017)] in a single period framework. In particular, the authors considered mean-variance hedge-based (MVHB) valuations where fair valuations of insurance liabilities are expressed in terms of mean-variance hedges and actuarial valuations. In this paper, we generalize this MVHB approach to a multi-period dynamic investment setting. We show that the classes of fair valuations and MVHB valuations are equivalent in this generalized setting. We derive tractable formulas for the fair valuation of equity-linked contracts and show how the actuarial part of their MVHB valuation decomposes into a diversifiable and a non-diversifiable component.     

Banks’ Financial Reporting and Financial System Stability

The use of accounting measures and disclosures in banks’ contracts and regulation suggests that the quality of banks’ financial reporting is central to the efficacy of market discipline and nonmarket mechanisms in limiting banks’ development of debt and risk overhangs in economic good times and in mitigating the adverse consequences of those overhangs for the stability of the financial system in downturns. This essay examines how research on banks’ financial reporting, informed by the financial economics literature on banking, can generate insights about how to enhance the stability of the financial system. We begin with a foundational discussion of how aspects of banks’ accounting and disclosures may affect stability. We then evaluate representative papers in the empirical literature on banks’ financial reporting and stability, pointing out the research design issues that empirical accounting researchers need to confront to develop well‐specified tests able to generate reliably interpretable findings. To this end, we provide examples of settings amenable to addressing these issues. We conclude with considerations for accounting standard setters and financial system policy makers.     

Reliability of Banks' Fair Value Disclosure for Loans

This study investigates whether banks manage the disclosed fair value of their major asset, the loan portfolio. Using two cross-section samples, I find evidence that suggests banks manage the fair value of loans. The estimated extent of overstatement of loans' fair value is negatively related to regulatory capital, asset growth, liquidity and the gross book value of loans, and positively related to the change in the rate of credit losses. These relations imply that some banks overstate the disclosed fair value of loans in an attempt to favorably affect the market assessment of their risk and performance.     

公允价值会计能否放大银行体系的系统性风险

宏观审慎监管框架下公允价值会计被认为是顺周期机制,放大了银行体系的系统性风险而广受诟病。本文尝试从正向冲击和逆向冲击角度研究公允价值是否存在放大作用。研究发现两类冲击下系统性风险均存在;公允价值会计作用不对称,逆向冲击下放大了系统性风险,正向冲击下作用不明显;进一步分析逆向冲击的作用渠道时发现,市场流动性不足是放大作用的显著原因,银行以公允价值计价的风险敞口和资本充足率对放大作用没有显著影响。