Utilize este identificador para referenciar este registo:
https://hdl.handle.net/10316/94213
Título: | Asset classification under the IFRS 9 framework for the construction of a banking investment portfolio | Autor: | Brito, Rui Pedro Gonçalves de Júdice, Pedro Maria Corte-Real Alarcão |
Palavras-chave: | asset classification; backtesting; IFRS 9; derivative-free optimization; sensitivity analysis; stochastic simulation | Data: | 11-Abr-2021 | Editora: | Wiley | Projeto: | CEECIND/01010/2017 | Título da revista, periódico, livro ou evento: | International Transactions in Operational Research | Resumo: | Under the IFRS 9 framework, we analyze the tradeoff of classifying a financial asset at amortized cost versus at fair value. Defining an impairment model and based on historical (2003-2019) data for the 10-year Portuguese Government bonds, we analyze the annual performance (income/comprehensive income) of different investment allocations. Setting as objectives the maximization of the income and the minimization of the semivariance of the comprehensive income, we suggest a bi-objective model in order to find efficient allocations. Given the non-smoothness of the semivariance function, we compute the solution of the suggested model by means of a multi-objective derivative-free algorithm. Assuming that the yields and funding rates follow a correlated mean-reverting process and that the bonds' rating dynamics are described by an ordinal response model, we show a possible approach to mitigate the estimation error ingrained in the proposed bi-objective stochastic model. Finally, we assess the out-of-sample performance of some of the suggested efficient allocations. | URI: | https://hdl.handle.net/10316/94213 | ISSN: | 0969-6016 1475-3995 |
DOI: | 10.1111/itor.12976 | Direitos: | embargoedAccess |
Aparece nas coleções: | I&D CeBER - Artigos em Revistas Internacionais |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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bpIFRS9.pdf | 1.63 MB | Adobe PDF | Ver/Abrir |
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