1,756
Views
0
CrossRef citations to date
0
Altmetric
Articles

A model proposal for IFRS 16 IBR adjustment based on bond market pricing

ORCID Icon, ORCID Icon & ORCID Icon
Article: 2106273 | Received 13 Dec 2021, Accepted 22 Jul 2022, Published online: 05 Aug 2022

References

  • Akguen, A., & Vanini, P. (2007). Loan pricing: Thinking collateral. Available at SSRN: https://ssrn.com/abstract=963887 or https://doi.org/10.2139/ssrn.963887
  • Ando, T. (2014). Bayesian corporate bond pricing and credit default swap premium models for deriving default probabilities and recovery rates. Journal of the Operational Research Society, 65(3), 454–465. https://doi.org/10.1057/jors.2013.16
  • Bastos, J. A. (2010). Forecasting bank loans loss-given-default. Journal of Banking & Finance, 34(10), 2510–2517. https://doi.org/10.1016/j.jbankfin.2010.04.011
  • Beattie, V., Edwards, K., & Goodacre, A. (1998). The impact of constructive operating lease capitalisation on key accounting ratios. Accounting and Business Research, 28(4), 233–254. https://doi.org/10.1080/00014788.1998.9728913
  • Bellucci, A., Borisov, A., Giombini, G., & Zazzaro, A. (2021). Estimating the relationship between collateral and interest rate: A comparison of methods. Finance Research Letters, 43, 101962. https://doi.org/10.1016/j.frl.2021.101962
  • Benmelech, E., & Bergman, N. K. (2009). Collateral pricing. Journal of Financial Economics, 91(3), 339–360. https://doi.org/10.1016/j.jfineco.2008.03.003
  • Benmelech, E., & Bergman, N. K. (2011). Bankruptcy and the collateral channel. The Journal of Finance, 66(2), 337–378. https://doi.org/10.1111/j.1540-6261.2010.01636.x
  • Bennett, B. K., & Bradbury, M. E. (2003). Capitalizing non-cancellable operating leases. Journal of International Financial Management and Accounting, 14(2), 101–114. https://doi.org/10.1111/1467-646X.00091
  • Berger, A. N., & Udell, G. F. (1990). Collateral, loan quality and bank risk. Journal of Monetary Economics, 25(1), 21–42. https://doi.org/10.1016/0304-3932(90)90042-3
  • Besanko, D., & Thakor, A. V. (1987). Competitive equilibrium in the credit market under asymmetric information. Journal of Economic Theory, 42(1), 167–182. https://doi.org/10.1016/0022-0531(87)90108-6
  • Blazy, R., & Weill, L. (2013). Why do banks ask for collateral in SME lending? Applied Financial Economics, 23(13), 1109–1122. https://doi.org/10.1080/09603107.2013.795272
  • Blum, V., & Thérond, P. E. (2019). Discount rates in IFRS: How practitioners depart the IFRS maze. Research Report – Autorité des Normes Comptables. Availabe at: https://hal.archives-ouvertes.fr/hal-01992506/file/DISCOUNT-RATES-IN-ACCOUNTING-from-theories-to-%20practices_Blum.pdf
  • Bo, B. (2020). Globally consistent creditor protection, reallocation, and productivity. LawFin Working Paper No. 6, Available at SSRN: https://ssrn.com/abstract=3720573 or https://doi.org/10.2139/ssrn.3720573
  • Carlin, T. M., & Finch, N. (2009). Discount rates in disarray: Evidence on flawed goodwill impairment testing. Australian Accounting Review, 19(4), 326–402. https://doi.org/10.1111/j.1835-2561.2009.00069.x
  • Carlin, T. M., & Finch, N. (2010). Commentary: Some further evidence on discount rate selection in the context of goodwill impairment testing. Australian Accounting Review, 20(4), 400–402. https://doi.org/10.1111/j.1835-2561.2010.00111.x
  • Cerqueiro, G., Ongena, S., & Roszbach, K. (2016). Collateralization, bank loan rates, and monitoring. The Journal of Finance, 71(3), 1295–1322. https://doi.org/10.1111/jofi.12214
  • Chan, Y. S., & Kanatas, G. (1985). Asymmetric valuations and the role of collateral in loan agreements. Journal of Money, Credit and Banking, 17(1), 84–95. https://doi.org/10.2307/1992508
  • Chiang, S., & Tsai, M. (2010). Pricing a defaultable bond with a stochastic recovery rate. Quantitative Finance, 10(1), 49–58. https://doi.org/10.1080/14697680902835725
  • Delgado-Vaquero, D., & Morales-Díaz, J. (2018). Estimating a credit rating for accounting purposes: A quantitative approach. Estudios de Economía Aplicada, 36(2), 459–488. https://doi.org/10.25115/eea.v36i2.2539
  • Delgado-Vaquero, D., Morales-Díaz, J., & Zamora-Ramírez, C. (2020). IFRS 9 expected loss: A model proposal for estimating the probability of default for non-rated companies. Revista de Contabilidad, 23(2), 180–196. https://doi.org/10.6018/rcsar.370951
  • Deloitte. (2018). A guide to the incremental borrowing rate. Available at: https://www2.deloitte.com/content/dam/Deloitte/ch/Documents/audit/ch-en-audit-discount-rate-publication.pdf
  • Duo, Y., & Meder, A. A. (2020). Observed risk and loss reduction effects of collateral on loan pricing. Available at: https://web.archive.org/web/20201106062804id_/https://s3.eu-central-1.amazonaws.com/ng-submission-additional-files/AAA-AM-2020/5f0c7d3058e581e69b05d0c6/files/Duo-Meder-July-2020.pdf
  • Duffie, D., & Singleton, K. J. (1999). Modeling term structures of defaultable bonds. Review of Financial Studies, 12(4), 687–720. https://doi.org/10.1093/rfs/12.4.687
  • Duke, J. C., Hsieh, S. J., & Su, Y. (2009). Operating and synthetic leases: Exploiting financial benefits in the post-Enron era. Advances in Accounting, 25(1), 28–39. https://doi.org/10.1016/j.adiac.2009.03.001
  • Durocher, S. (2008). Canadian evidence on the constructive capitalization of operating leases. Accounting Perspectives, 7(3), 227–256. https://doi.org/10.1506/ap.7.3.2
  • EBA. (2017). Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures. Available at: https://www.eba.europa.eu/sites/default/documents/files/documents/10180/2033363/6b062012-45d6-4655-af04-801d26493ed0/Guidelines%20on%20PD%20and%20LGD%20estimation%20%28EBA-GL-2017-16%29.pdf?retry=1
  • Ely, K. M. (1995). Operating lease accounting and the market’s assessment of equity risk. Journal of Accounting Research, 33(2), 397–415. https://doi.org/10.2307/2491495
  • Fitó, M. A., Moya, S., & Orgaz, N. (2013). Considering the effects of operating lease capitalization on key financial ratios. Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad, 42(159), 341–369. https://doi.org/10.1080/02102412.2013.10779750
  • Frontczak, R., & Rostek, S. (2015). Modeling loss given default with stochastic collateral. Economic Modelling, 44(C), 162–170. https://doi.org/10.1016/j.econmod.2014.10.006
  • Fülbier, U. R., Silva, J. L., & Pferdehirt, H. M. (2008). Impact of lease capitalization on financial ratios of listed German companies. Schmalenbach Business Review, 60(2), 122–145. https://doi.org/10.1007/BF03396762
  • Giner, B., Merello, P., & Pardo, F. (2019). Assessing the impact of operating lease capitalization with dynamic Monte Carlo simulation. Journal of Business Research, 101, 836–845. https://doi.org/10.1016/j.jbusres.2018.11.049
  • Gonas, J. S., Highfield, M. J., & Mullineaux, D. J. (2004). When are commercial loans secured? Financial Review, 39(1), 79–99. https://doi.org/10.1111/j.0732-8516.2004.00068.x
  • Goodacre, A. (2003). Assessing the potential impact of lease accounting reform: A review of the empirical evidence. Journal of Property Research, 20(1), 49–66. https://doi.org/10.1080/0959991032000051962
  • Grossman, A. M., & Grossman, S. D. (2010). Capitalizing lease payments. CPA Journal, 80(5), 6–11.
  • Hartmann-Wendels, T., Miller, P., & Töws, E. (2014). Loss given default for leasing: Parametric and nonparametric estimations. Journal of Banking & Finance, 40, 364–375. https://doi.org/10.1016/j.jbankfin.2013.12.006
  • Husmann, S., & Schmidt, M. (2008). The discount rate: A note on IAS 36. Accounting in Europe, 5(1), 49–62. https://doi.org/10.1080/17449480802088762
  • IFRIC. (2019). IFRIC Update June 2019. Available at: https://www.ifrs.org/news-and-events/updates/ifric-updates/june-2019/#3
  • IFRS. (2019). IFRS staff paper: IFRS Interpretations Committee Meeting September 2029. Available at: https://cdn.ifrs.org/-/media/feature/meetings/2019/september/ifric/ap8-lessees-incremental-borrowing-rate-ifrs-16.pdf
  • Imhoff, E. a., Jr., & Lipe, R. C. (1991). Operating leases: Impact of constructive capitalization. Accounting Horizons, 5(1), 51–63.
  • Imhoff, E. a., Jr., & Lipe, R. C. (1997). Operating leases: Income effects of constructive capitalization. Accounting Horizons, 11(2), 12–32.
  • Jarrow, R., & Turnbull, S. (1995). Pricing derivatives on financial securities subject to credit risk. The Journal of Finance, 50(1), 53–85. https://doi.org/10.1111/j.1540-6261.1995.tb05167.x
  • KPMG. (2017). Leases discount rates. What’s the correct rate? Available at: https://home.kpmg.com/content/dam/kpmg/xx/pdf/2017/09/leases-discount-rate.pdf
  • Lara-Rubio, J., Blanco-Oliver, A., & Pino-Mejías, R. (2017). Promoting entrepreneurship at the base of the social pyramid via pricing systems: A case study. Intelligent Systems in Accounting, Finance and Management, 24(1), 12–28. https://doi.org/10.1002/isaf.1400
  • Luck, S., & Santos, J. A. C. (2022). The valuation of collateral in bank lending (2021 version). Risk Management & Analysis in Financial Institutions eJournal. https://doi.org/10.2139/ssrn.3467316
  • Matias, A. P., & Dias, F. (2015). Collateral and relationship lending in loan pricing: Evidence from UK SMEs. WSEAS Transactions on Business and Economics, 12, 21–35.
  • Miao, H., Ramchander, S., & Wang, T. (2014). The response of bond prices to insurer ratings changes. The Geneva Papers on Risk and Insurance - Issues and Practice, 39(2), 389–413. https://doi.org/10.1057/gpp.2013.21
  • Michelon, G., Paananen, M., & Schneider, T. (2020). Black box accounting: Discounting and disclosure practices of decommissioning liabilities. ICAS. Available at: https://www.icas.com/__data/assets/pdf_file/0005/559733/Black-box-accounting-discounting-and-decomissioning-08-10-20.pdf
  • Miller, P., & Töws, E. (2018). Loss given default adjusted workout processes for leases. Journal of Banking & Finance, 91, 189–201. https://doi.org/10.1016/j.jbankfin.2017.01.020
  • Moody’s. (2018). Annual default study: Corporate default and recovery rates, 1920–2017. Available at: https://www.moodys.com/Pages/Default-and-Recovery-Analytics.aspx?stop_mobi=yes
  • Morales-Díaz, J., & Zamora-Ramírez, C. (2018a). IFRS 16 (leases) implementation: Impact of entities’ decisions on financial statements. AESTIMATIO, the IEB International Journal of Finance, 17, 60–97. https://doi.org/10.5605/IEB.17.4
  • Morales-Díaz, J., & Zamora-Ramírez, C. (2018b). Impact of IFRS 16 on key financial ratios: A new methodological approach. Accounting in Europe, 15(1), 105–133. https://doi.org/10.1080/17449480.2018.1433307
  • Morales-Díaz, J., Villacorta-Hernández, M. A., & Voicila, F. I. (2019). Lease accounting: An inquiry into the origins of the capitalization model. De Computis - Revista Española de Historia de la Contabilidad, 16(2), 160–187. https://doi.org/10.26784/issn.1886-1881.v16i2.357
  • Mulford, C., & Gram, M. (2007). The effects of lease capitalization on various financial measures: An analysis of the retail industry. Journal of Applied Research in Accounting and Finance, 2(2), 3–13.
  • Ou, S., Chiu, D., & Metz, A. (2016). Annual default study: Corporate default and recovery rates, 1920–2015. Moodyśs investor service, (May), 1–76. Retrieved from https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1018455
  • Pardo, F., & Giner, B. (2017). Operating lease decision and the impact of capitalization in a bank-oriented country. Applied Economics, 49(19), 1886–1900. https://doi.org/10.1080/00036846.2016.1229416
  • Qi, M., & Zhao, X. (2011). Comparison of modeling methods for loss given default. Journal of Banking & Finance, 35(11), 2842–2855. https://doi.org/10.1016/j.jbankfin.2011.03.011
  • Schneider, T., Michelon, G., & Maier, M. (2017). Environmental liabilities and diversity in practice under international financial reporting standards. Accounting, Auditing & Accountability Journal, 30(2), 378–403. https://doi.org/10.1108/AAAJ-01-2014-1585
  • Schonbucher, P. J. (2003). Credit derivatives pricing models: Models, pricing and implementation. Wiley Finance.
  • Silaghi, F., Martin-Oliver, A., & Sewaid, A. (2020). The CDS market reaction to loan renegotiation announcements. Available at SSRN: https://ssrn.com/abstract=3546561 or https://doi.org/10.2139/ssrn.3546561
  • Singh, A. (2012). Proposed lease accounting changes: Implications for the restaurant and retail industries. Journal of Hospitality & Tourism Research, 36(3), 335–365. https://doi.org/10.1177/1096348010388659
  • Spuchľakova, E., & Cug, J. (2015). Credit risk and LGD modelling. Procedia Economics and Finance, 23, 439–444. https://doi.org/10.1016/S2212-5671(15)00379-2
  • Uhrig-Homburg, M., & Kempf, A. (2000). Liquidity and its impact on bond prices. Schmalenbach Business Review, 52, 26–44. Available at SSRN: https://ssrn.com/abstract=311025 or https://doi.org/10.2139/ssrn.311025
  • Wong, K., & Joshi, M. (2015). The impact of lease capitalisation on financial statements and key ratios: Evidence from Australia. Australasian Accounting, Business and Finance Journal, 9(3), 27–44. https://doi.org/10.14453/aabfj.v9i3.3
  • Yashkir, O., & Yashkir, Y. (2013). Loss given default modelling: Comparative analysis. Journal of Risk Model Validation, 7(1), 1–28. Available at: https://mpra.ub.uni-muenchen.de/46147/1/MPRA_paper_46147.pdf