Please use this identifier to cite or link to this item: https://hdl.handle.net/10316/94213
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dc.contributor.authorBrito, Rui Pedro Gonçalves de-
dc.contributor.authorJúdice, Pedro Maria Corte-Real Alarcão-
dc.date.accessioned2021-04-12T13:54:35Z-
dc.date.available2021-04-12T13:54:35Z-
dc.date.issued2021-04-11-
dc.identifier.issn0969-6016pt
dc.identifier.issn1475-3995pt
dc.identifier.urihttps://hdl.handle.net/10316/94213-
dc.description.abstractUnder 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.pt
dc.language.isoengpt
dc.publisherWileypt
dc.relationCEECIND/01010/2017pt
dc.rightsembargoedAccesspt
dc.rights.urihttp://creativecommons.org/licenses/by-nd/4.0/pt
dc.subjectasset classificationpt
dc.subjectbacktestingpt
dc.subjectIFRS 9pt
dc.subjectderivative-free optimizationpt
dc.subjectsensitivity analysispt
dc.subjectstochastic simulationpt
dc.titleAsset classification under the IFRS 9 framework for the construction of a banking investment portfoliopt
dc.typearticle-
degois.publication.titleInternational Transactions in Operational Researchpt
dc.relation.publisherversionhttps://doi.org/10.1111/itor.12976pt
dc.peerreviewedyespt
dc.identifier.doi10.1111/itor.12976pt
dc.date.embargo2023-04-11*
rcaap.embargofctPeríodo de embargo requerido pela revista.pt
uc.date.periodoEmbargo730pt
item.openairetypearticle-
item.languageiso639-1en-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.cerifentitytypePublications-
item.grantfulltextopen-
item.fulltextCom Texto completo-
crisitem.author.researchunitCeBER – Centre for Business and Economics Research-
crisitem.author.orcid0000-0002-7871-7058-
Appears in Collections:I&D CeBER - Artigos em Revistas Internacionais
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