公允价值会计和经融危机：信差还是贡献者[外文翻译]

公允价值会计和经融危机：信差还是贡献者[外文翻译] 本科毕业论文外文翻译 外文题目:Fair Value Accounting and the Financial Crisis: Messenger or Contributor? 出 处:Serie Scientifique Scientific Series Michel Magnan 作 者: 原 文: Fair Value Accounting and the Financial Crisis: Messenger or Contributor? Did fair value accounting play a role in the current financial crisis? This appendix explores the issue. Fair value accounting implies that assets and liabilities get measured and reflected on a firm`s financial statements at their market value, or close substitutes. Extensive academic research done over the past 20 years shows that financial statements that reflect the market values of assets or liabilities provide information that is relevant to investors. In other context, fair value accounting is just a messenger carrying bad news. In contrast, there is also another research stream which is quite critical of the perceived merits of fair value accounting, and which worries about how it undermines what constitutes the core of financial reporting. More specifically, it is argued that fair value accounting is difficult to verify, may be based on unreliable assumptions or hypotheses and provides management with too much discretion into the preparation of financial statements. Hence, according to this view, fair value accounting is not necessarily a neutral or unbiased messenger. Moreover, fair value accounting creates a circular dynamic in financial reporting, with markets providing the input for the measurement of many assets, thus affecting reported earnings which are then used by analysts and investors to assess a firm’s market value. If markets become volatile, as has been the case in recent months, reported earnings also become more volatile, thus feeding investors apprehensions. Therefore, since fair value accounting is associated with more volatile and less conservative financial statements and, it may have allowed managers to delay the day of recognition as well as distorted investors and regulators’ perceptions of financial performance and stability at the end of the financial bubble. However, once the economic pendulum swung back, fair value accounting may have magnified their views as to the severity of the current financial crisis, hence accelerating some negative trends. The purpose of the Appendix is to provide additional insights into the role played by fair value accounting in the financial crisis. Since the crisis is still ongoing, there is no direct or formal empirical evidence about such role, which may be perceived, actual or potential. However, by analyzing the conceptual and empirical foundations of fair value accounting, it may be possible to draw some inferences and to assess if and how fair value accounting underlies some of the recent turmoil in financial markets. In that regard, the Appendix aims to achieve the following objectives. First, I intend to provide a brief overview of fair value accounting, including its impact onfinancial statements. The overview includes a summary of the opposite viewpoints on the merits of fair value accounting. Second, I present and discuss the theoretical and empirical underpinnings of fair value accounting. Thirdly, I analyze the measurement and valuation challenges that arise from the use of fair value accounting. Finally, on the basis of the above analyses, I sketch a tentative framework to understand fair value accounting's role and potential contribution to the financial crisis. While fair value accounting can conceptually apply to all aspects of a firm's financial statements, I will purposefully focus on its application to financial instruments and financial institutions. Fair value is defined as the price at which an asset could be exchanged in a current transaction between knowledgeable, willing parties. For liabilities, fair value is defined as the amount that would be paid to transfer the liability to a new debtor. Under fair value accounting (FVA), assets and liabilities are categorized according to the level of judgment (subjectivity) associated with the inputs to measure their fair value, with three (3) levels being considered. At level 1, financial instruments are measured and reported on a firm's balance sheet and income statement at their market value, which typically reflects the quoted prices for identical assets or liabilities in active markets. It is assumed that the quoted price for an identical asset or liability in an active market provides the most reliable fair value measurement because it is directly observable to the market (? mark-to-market ?). However, if valuation inputs are observable, either directly or indirectly, but do not qualify as Level 1 inputs, the Level 2 fair value assessment of a financial instrument will reflect a) quoted prices for similar financial instruments in active markets, b) quoted prices for identical or similar financial instruments in markets that are not active, c) inputs other than quoted prices but which are observable (e.g., yield curve) or d) correlated prices. Finally, certain financial instruments which, for example, are customized or have no market, will be valued by a reporting entity on the basis of assumptions that presumably reflect market participants' views and assessments (e.g., private placement investments, unique derivative products, etc.). Such valuation is deemed to be derived from Level 3 inputs and is commonly referred as "mark-to- model" since it is often the outcome of a mathematical modelling exercise with various assumptions about economic, market or firm-specific conditions. In all cases, any unrealized gain (or loss) on financial instruments held by an institution translates into an increase (decrease) in its stockholders' equity and, consequently, an improvement (deterioration) in its capitalization ratios. Detractors, among them David Dodge, the former Governor of the Bank of Canada, argue vehemently that FVA has accelerated and amplified the current financial crisis. Their argument can be summarized as follows.Starting in 2007, the drop in the price of many types of financial instruments led financial institutions to mark down the asset values reported on their balance sheets, thus weakening their capitalization ratios (let's think about the first write-offs following the start of the subprime crisis). To improve their financial profile and to enhance their safety zone with respect to regulatory capital requirements, these institutions started to sell securities or close down positions on some financial instruments in markets that were increasingly shallow as a result of the emergence of a liquidity crisis. These sales magnified the downdraft in quoted prices, thus bringing additional devaluations, etc. Along these lines, William Isaac, former Chairman of the U.S. Federal Deposit Insurance Corporation, argues that "mark-to-market accounting has been extremely and needlessly destructive of bank capital in the past year and is a major cause of the current credit crisis and economic downturn". However, FVA can count on broad support from the accounting profession, standard setters and regulators. For instance, in a recent speech, Nick Le Pan, Canada's former Superintendent of Financial Institutions, argued that FVA is only a messenger and should not be criticized for merely reflecting the poor underlying economic outlook. Barbara Roper, from the Consumer Federation of America, argues that sound accounting principles, such as FVA,led to the exposure of underlying problem assets. In her view, FVA provides more accurate, timely and comparable information to investors than any other accounting alternative. Theoretical and Empirical Foundations Underlying FVA FAV’s theoretical and empirical premises are relatively solid. In fact, it is one of the few accounting standard that can be traced back directly to accounting-based scientific research. More specifically, there is consistent empirical evidence, accumulated over the past 20 years, that a firm's stock price is more closely associated with the market value of its underlying financial or real assets than with their historical cost, i.e., their purchase price plus related expenses. The superior relevance of market-derived values is even more obvious in the case of financial derivatives which historical cost is often close to zero but which market value can fluctuate widely. In other words, fair values, or marked to market values, have been found to be more relevant indicators of firm value than traditional historical cost-based figures. An interesting early study on the relevance and implications from FVA was performed by Bernard, Merton and Palepu (1995). For many years, Denmark's accounting standard-setting and banking regulatory authorities have relied on mark-to-market valuation for the assets of their commercial banks. Bernard, Merton and Palepu find that Danish banks' book values, which reflect mark-to-market valuations, seem to provide more reliable information to investors than historical cost-based figures then provided by U.S. banks. Moreover, they do not find evidence that Danish bank executives manipulate mark-to-market numbers to circumvent regulatory capital ratios. However, they also point out that that the Danish and U.S. apital markets are not quite similar and that their findings may not completely hold in a U.S. setting. Measurement and Valuation Challenges Despite its many tangible or perceived benefits to investors, the adoption and use of FVA undermines several critical foundations of financial reporting to which we have become accustomed. More specifically, the implementation of FVA explicitly confirms the primacy of financial markets and of investors in the determination of accounting standards. Essentially, the broader social issues and implications arising from accounting standards for stakeholders beyond investors are assumed away. The potential danger of relying on capital markets-based findings to directly prescribe accounting standard has been highlighted more than 30 years ago by Gonedes and Dopuch.Following a irst wave of capital markets-based studies that mapped their findings directly into standard-setting issues, Gonedes and Dopuch explain that observing an empirical relation between accounting amounts and equity prices or returns does not provide sufficient evidence about the desirability or effects of a particular standard,even if markets are informational efficient. Their conclusion rests on the fact that accounting standards are essentially a public good. Therefore, standard setters' mandate and responsibility is to develop standards after making the appropriate social welfare trade-offs, which do involve more parties than just investors. Hence, deciding about a particular accounting standard requires that social preferences be specified. From a different perspective, Holthausen and Watts (2001) put forward the argument that the value-relevance literature has little to say about standard-setting issues. In their view, without an underlying theory that explains, predicts and links accounting, standard setting, and valuation, value-relevance studies simply report associations. FVA and the Financial Crisis: Some Thoughts It is still too early to conclude on FVA's role in the current financial crisis: not all data is available, additional analyses must be completed and all its consequences cannot be observed. However, relying on prior research findings and on available data, it is possible to draw some inferences about thecontribution of FVA to the financial crisis. More Volatile Financial Results Most prior research shows that the adoption of FVA translates into more volatile financial results (earnings). Hence, financial markets' extreme volatility over the past two years has contributed to raise financial institutions' volatility, potentially amplifying the perception by investors, regulators and governments as to the seriousness of the crisis. More practically, the drop in reported earnings is even more dramatic in light of the record earnings reported in prior years, with FVA pushing down earnings in the current period but boosting earnings in prior years. Two examples illustrate the potential impact of FVA on the volatility of reported earnings. Crédit Suisse: Within the context of the subprime crisis, the stock market value of most financial institutions depends extensively upon investors' assessment of their direct and indirect exposure to subprime-related loans or derivatives. The valuation information disclosed by financial institutions that evolve in the same markets largely influences such an assessment, with more recent market quotes driving such valuation. In that regard, the saga surrounding Crédit Suisse's release of its 2007 earnings is quite enlightening. On February 12, 2008, Crédit Suisse reports record income from continuous operations of 8.5 billion Swiss Francs. On February 19, 2008. Crédit Suisse announces that some additional control processes have led to the repricing of certain asset-backed positions in its Structured Credit Trading business, with the current total fair value reduction of these positions being reduced by an estimated $U.S. 2.85 billion. Finally, on March 20, 2008, Crédit Suisse reports that its 2007 operating income has been revised downward by 1.18 billion Swiss Francs (789 million Swiss Francs after tax), close to a 10% difference with the initially reported figure. The Crédit Suisse story illustrates the difficulty of pinning down the fair value of many assets when the underlying valuation methodology is complex and subject to shifting hypotheses and assumptions about the future. Crédit Suisse`s experience also shows that reported results for a given period may be subject to a wide margin of error, or discretion, or even restated. Lehman Brothers: In its last reported financial statements before it went bankrupt, Lehman Brothers reported a loss of $U.S. 2.4 billion for the first six months ended May 31, 2008 (vs. a net income of $U.S. 2.4 billion for the first six months ended May 31, 2007). The shift of $U.S. 4.8 billion in net income is largely driven by a dramatic fall of $U.S. 8.5 billion in Lehman's revenues from principal transactions, which include realized and unrealized gains or losses from financial instruments and other inventory positions owned. A significant portion of the downward shift in principal transactions revenues is actually explained by unrealized losses of $U.S. 1.6 billion in the first semester of 2008 vs. unrealized gains of $U.S. 200 million in the first semester of 2007. Thus, accounting at fair value for some financial assets amplified Lehman's downward earnings performance. Hence, it can be put forward that FVA, through its magnifying impact on earnings volatility, may have contributed to aggravate investors', regulators' and governments' perceptions with respect to the severity of the crisis, itself characterized by record volatility in the prices of many securities and goods. On a related note, the increased volatility brought forward by FVA is conducive to the use of equity-based compensation, especially stock options, which value is then enhanced (according to the Black-Scholes model, volatility is one of the key inputs in option valuation). Prior research suggests that there is a strong association between performance volatility and the use of stock options. Through FVA, the outcomes from aggressive risk-taking in investment and financing strategies will directly flow into reported earnings, thus further leveraging the potential gains to be derived from stock options and other incentives. Many financial institutions involved in the current crisis made extensive use of stock options and other incentives, allowing unrealized gains on assets to be converted into cold hard cash.. 译 文: 公允价值会计和经融危机:信差还是贡献者 公允价值会计在这次金融危机中是否起了重要作用,本文来探讨这个问题。公允价值会计意味着资产和负债以市场价值或类似资产价值测量和表现在公司的财务报表上。在过去的20年里广泛的学术科研成果表明资产或负债的市场价值的财务报表提供的信息和投资者是相关的。在其他的背景下，公允价值会计只是一个坏消息的信号。相反,还有另外一个很重要的研究，表明了公允价值会计的优点。并担心它如何破坏核心的财务报表。更确切地说,有人认为公允会计有可能根据不可靠的假设或假说，难以确定。向管理层提供太多编制财务报表的风险。因此,根据这种观点,公允价值会计未必是中性或不带偏见的信使。此外,公允价值会计在财务报告中创造一个循环的动态，并同市场一期提供许多资产的计量准则，从而影响了分析师和投资者评估公司的市场价值的财务报表。如果近几个月来市场变得不稳定,那么报告的收入也会变得更加不稳定,从而动摇投资者的信心。所以,公允价值会计伴随着越来越不稳定和更加保守的财务报表变动，它就可能使管理人员不承认金融泡沫的结束。然而,一旦经济再次回来,公允价值会计可以使他们放大当前的金融危机的严重程度,从而加速一些负面的趋势。 关键词:公允价值会计 治理 风险管理 本文的目的是提供我们在金融危机中对公允价值会计更多的了解。由于危机正在继续,没有关于这种作用直接或正式的经验,这可能被看成实际或潜在的。然而,通过分析公允价值会计的基础概念和经验,就可以得到一些推论,并评估公允价值会计是近来在金融市场上是否变动和如何变动。在这方面,本文旨在实现以下的目标。首先,我打算简单提供公允价值会计的介绍,包括它对财务报表的影响。摘要总结了对公允价值会计的优点所持相反观点。其次,我提出和讨论了公允价值会计的理论和实证基础。第三,我分析的测量与估价而产生的挑战,这是公允价值会计使用后出现的。最后,在此基础上分析了初步框架,我画出草图来理解公允价值会计所应起的作用和对金融危机潜在的贡献。公允价值会计适用于公司的财务报表,但我也将专注于金融工具和金融机构的应用。 公允价值是指一项资产可以在了解和自愿交易的情况下交换价格。对于债务,公允价值计量指的是将支付的责任转移到一个新的债务人的现实交易额，即交换价格。在公允价值会计前提下，资产、负债根据自己的判断(主体性)分类并与计 量他们公允价值输入的资料相联系,有三个等级可考虑。在一级模型中,公司的资产负债表和损益表报告了他们的市场价值,这通常反映了在活跃的市场中相同资产或负债的报价。它假定所报的价为一个相同的资产或负债在活跃市场上提供最可靠的公允价值计量,因为它是直观市场(以市值计价)。然而,如果评估投入是直 公允价值评估将反映为a)在接或间接可见的,但不符合一级输入,二级金融工具的 活跃的市场中类似金融工具报价,b)非活跃市场相同或者类似金融工具的报价,c)输入报价以外可见报价 (例如,收益率曲线)或d)相关的价格。最后,某些金融工具比如定制或者没有市场德,将被一个报告主体在可能反映出市场参与者的 意见 文理分科指导河道管理范围浙江建筑工程概算定额教材专家评审意见党员教师互相批评意见 和评估的假设的基础上进行评估 (如私募投资、独特的衍生产品等)。这样的估值被认为是来自三级输入，一般称为“模型定价模式”,因为它假设数学模型在经济、市场或公司的特定条件下运行得出的结果。在所有情况下,任何未实现所得(或亏损)转换成股东权益的增加(减少),从而改善(恶化)它的资本率。 批评者,其中包括前加拿大银行长David Dodge认为FVA加快了FVA了当前的金融危机。他们的争论,可以概括如下:2007年开始许多类型的金融工具价格下降，金融机构减少的资产价值体现在他们的资产负债表中,削弱他们的资本比率(让我们想想第一次次贷危机之后的冲销证明)。为了提高他们的财务状况和增强的安全地带与监管的资本要求,这些机构开始销售的证券或关闭当前一些金融工具,从而市场出现一个流动性危机。这些销售放大了下沉气流中带来额外的贬值等。通过这些线索,威廉?艾撒克，美国联邦存款保险公司前主席认为,“按市价计算的会计和不必要的银行资本毁了他的在过去的一年里收益,是目前的信贷危机和经济下滑的主要原因”。 然而,FVA可以依靠会计专业里 规范 编程规范下载gsp规范下载钢格栅规范下载警徽规范下载建设厅规范下载 的引领者和制定者。例如,在最近的一次讲话中,加拿大的前一任金融机构总监Nick Le Pan认为,FVA只是一个信使, 只是反映了潜在经济前景而不应该批评。,从美国消费者协会芭芭拉洛普的认为,具备良好的会计等原理,如FAV可以发掘潜在的问题资产。在她看来,FVA比其他会计的选择更能提供准确、及时和相关信息给投资者。 FVA理论和实践基础 FAV的理论和实证基础相对固体。事实上,它是为数不多的会计 标准 excel标准偏差excel标准偏差函数exl标准差函数国标检验抽样标准表免费下载红头文件格式标准下载 ,可以追溯到会计资讯的科学研究。更确切的说,在过去的二十年里积累经验证明,公司的股价与财务或实物资产的期权市场价值比历史费用更紧密联系在一起,即,他们的购买 价有关费用。金融衍生品的历史成本往往接近零,但市场价值可以上下波动，所以市场衍生价值更能说明其优越性。换句话说,公允价值以市值计价比传统的历史成本计价更能发掘公司价值的相关指标。 Bernard,Merton和Palepu(1995年)做过一个关于FVA的相关性和影响的研究。 依靠以市值计价来估价他多年来,丹麦的会计标准以及中国银行监督管理当局是 们的商业银行资产的。Bernard,Merton和Palepu发现丹麦银行账面价值,体现为以市值计价，好像能比历史成本计价提供给投资者更可靠的信息。此外,他们没有发现证据来表明丹麦银行行政人员操作以市值计价编号来规避监管资本比率。然而,他们也指出,丹麦和美国资本市场并不是非常相似的,他们的研究结果在美国可能不完全成立。 测量标准与估价挑战 尽管投资者得到许多有形的或想象的利益，但使用的FVA削弱了几个重要的财务报告的基础我们已经习以为常。更确切地说，FVA明确证实金融市场和投资者在确定会计准则的重要地位。从本质上说,为投资者以外的利益相关者而制定的会计准则而引起得更广泛的社会问题和影响被忽略了。 Gonedes和Dopuch认为，潜在的危险中依靠市场基础上的资本运作结果到会计准则规定已超过30年。在以市场为基础的第一次资本研究结果直接映射了他们的发现问题，Gonedes和Dopuch说观察会计数额和股票的价格或者回收金额之间的经验关系不能为惟一一个特定的标准提供足够的证据，即使市场信息很有效率。他们的结论基于以下事实:会计准则从本质上来说都是公共利益。因此，准则制定者委讬及责任是制定标准后要进行适当的社会福利取舍，这涉及更多的团体而不仅仅是投资者。因此,决定某一会计标准要求社会偏好被指定。从不同的角度看，Holthausen和美国Watts(2001)提出的观点认为，相关文献很少提到标准问题。在他们看来，没有基本的理论来解释、预测和连接会计、标准设定和评估，价值相关性研究知识简单的报告。 FVA和金融危机的一些思考 评价FVA在金融危机中的作用还为时过早:一是并不是所有的数据都是有效的，二是必须进行附加分析的后果都不能观察到。然而,依靠先前的研究结果和有效数据，根据FVA的 方法 快递客服问题件处理详细方法山木方法pdf计算方法pdf华与华方法下载八字理论方法下载 有肯能得到一些有关金融危机的推断。 先前大多数的研究表明，采用FVA会导致更多的金融动荡。因此，极度动 投资者、监管机构和政府作对金融机构的动荡荡的金融市场在过去的两年中已使 严肃看待。实际结果是更戏剧性的，根据创纪录的业绩报告，前几年财政报告创纪录的收入下降。两个例子说明FVA分析和财务报表分析存在一定程度上的排斥。 瑞士信贷:在次贷危机的背景下，大部分金融机构的股票的市场价值的广泛取决于投资者对他们直接和间接接触次贷有关的贷款和衍生品评估。在同一的市场中金融机构评估信息披露，很大程度上影响这样的评估，这样的估值会影响近期市场报价。从这个角度来说，2007年的瑞士信贷的盈利是相当富有启发意义的。在2008年2月12日，瑞士信贷报告85亿瑞士法郎的持续经营所得的记录。2008年2月19日，瑞士信贷银行宣布了一些额外的控制过程导致某些资产支持其结构性信贷交易业务职务重新定价，与当前总公允价值减少对这些职位估计为2.85亿美元。最后，在2008年3月20日，瑞士信贷报告说，2007年营业收入已被修定了1.18亿美元(789万瑞士法郎)，与最初报告的数据有10%差距。瑞士信贷的故事说明当基本估计方法困难且基于假说或对未来的猜想时，牵制对很多资产的公允价值估计是有一定困难的。瑞士信贷的经验也显示了，在一个给定的时期内报道会受到广泛的误差、判断力和重申的影响。 雷曼兄弟:在这个公司破产的时候最后报道的财务报表中，雷曼兄弟报道了最初六个月内24亿美元的损失。48亿的净收益的转变，在很大程度上是受到85亿美元大幅下跌的影响，包括金融工具和其他库存所拥有亏损和未变现收益。交易中很大一部分损失为2008年第一期1.6亿美元未变现的损失和在2007年第一期未实现2.00亿美元收益。因此，一些金融资产的公允价值会计为放大了雷曼兄弟业绩下降的收益。 因此,可以提出FVA通过其收入波动放大的影响，可能加剧投资者、监督者和政府对危机的放大。即放大对许多证券和商品的价格波动的看法。 在有关的说明中， FVA提出的增加波动性有利于使用的股票补偿，尤其是股票期权价值，然后增强其期权估值。先前的研究表明，表现波动和股票的期权的使用两者之间有很大的联系。通过FVA，风险投资和融资收入将直接流入报 告的收益，从而进一步弥补了潜在收益股票期权会得到和其他奖励。目前的危机深入了许多金融机构所使用得股票期权和其他奖励，允许未实现收益的资产转化为现金。 导师评语: 签字: 年 月 日