Skip navigation
User training | Reference and search service

Library catalog

EDS
b-on
More
resources
Content aggregators
Please use this identifier to cite or link to this item:

acessibilidade

http://hdl.handle.net/10071/22487
acessibilidade
Title: Asset classification under the IFRS 9 framework for the construction of a banking investment portfolio
Authors: Brito, R. P.
Judice, P.
Keywords: Asset classification
Backtesting
IFRS 9
Derivative-free optimization
Sensitivity analysis
Stochastic simulation
Issue Date: 2021
Publisher: Wiley
Abstract: Under the International Financial Reporting Standard 9 framework, we analyze the trade-off 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 biobjective model in order to find efficient allocations. Given the nonsmoothness of the semivariance function, we compute the solution of the suggested model by means of a multiobjective 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 biobjective stochastic model. Finally, we assess the out-of-sample performance of some of the suggested efficient allocations.
Peer reviewed: yes
URI: http://hdl.handle.net/10071/22487
DOI: 10.1111/itor.12976
ISSN: 0969-6016
Ciência-IUL: https://ciencia.iscte-iul.pt/id/ci-pub-81386
Appears in Collections:BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica

Files in This Item:
There are no files associated with this item.


FacebookTwitterDeliciousLinkedInDiggGoogle BookmarksMySpace
Formato BibTex MendeleyEndnote Currículo DeGóis 

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.