Utilize este identificador para referenciar este registo:
http://hdl.handle.net/10071/22596
Registo completo
Campo DC | Valor | Idioma |
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dc.contributor.author | Brito, R. P. | - |
dc.contributor.author | Judice, P. | - |
dc.date.accessioned | 2021-05-25T10:46:07Z | - |
dc.date.issued | 2022 | - |
dc.identifier.issn | 0969-6016 | - |
dc.identifier.uri | http://hdl.handle.net/10071/22596 | - |
dc.description.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. | eng |
dc.language.iso | eng | - |
dc.publisher | Wiley | - |
dc.relation | info:eu-repo/grantAgreement/FCT/CEEC IND 2017/CEECIND%2F01010%2F2017%2FCP1460%2FCT0025/PT | - |
dc.relation | info:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UIDB%2F00315%2F2020/PT | - |
dc.rights | openAccess | - |
dc.subject | Asset classification | eng |
dc.subject | Backtesting | eng |
dc.subject | IFRS 9 | eng |
dc.subject | Derivative-free optimization | eng |
dc.subject | Sensitivity analysis | eng |
dc.subject | Stochastic simulation | eng |
dc.title | Asset classification under the IFRS 9 framework for the construction of a banking investment portfolio | eng |
dc.type | article | - |
dc.pagination | 2618 - 2648 | - |
dc.peerreviewed | yes | - |
dc.journal | International Transactions of Operations Research | - |
dc.volume | 29 | - |
dc.number | 4 | - |
degois.publication.firstPage | 2618 | - |
degois.publication.lastPage | 2648 | - |
degois.publication.issue | 4 | - |
degois.publication.title | Asset classification under the IFRS 9 framework for the construction of a banking investment portfolio | eng |
dc.date.updated | 2022-04-07T13:51:01Z | - |
dc.description.version | info:eu-repo/semantics/acceptedVersion | - |
dc.identifier.doi | 10.1111/itor.12976 | - |
dc.subject.fos | Domínio/Área Científica::Ciências Naturais::Matemáticas | por |
dc.subject.fos | Domínio/Área Científica::Ciências Sociais::Economia e Gestão | por |
dc.date.embargo | 2023-04-11 | - |
iscte.subject.ods | Indústria, inovação e infraestruturas | por |
iscte.identifier.ciencia | https://ciencia.iscte-iul.pt/id/ci-pub-81386 | - |
iscte.alternateIdentifiers.wos | WOS:000639037500001 | - |
iscte.alternateIdentifiers.scopus | 2-s2.0-85104121685 | - |
Aparece nas coleções: | BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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article_81386.pdf | Versão Aceite | 1,68 MB | Adobe PDF | Ver/Abrir |
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