Please use this identifier to cite or link to this item:
https://hdl.handle.net/10316/94213
DC Field | Value | Language |
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dc.contributor.author | Brito, Rui Pedro Gonçalves de | - |
dc.contributor.author | Júdice, Pedro Maria Corte-Real Alarcão | - |
dc.date.accessioned | 2021-04-12T13:54:35Z | - |
dc.date.available | 2021-04-12T13:54:35Z | - |
dc.date.issued | 2021-04-11 | - |
dc.identifier.issn | 0969-6016 | pt |
dc.identifier.issn | 1475-3995 | pt |
dc.identifier.uri | https://hdl.handle.net/10316/94213 | - |
dc.description.abstract | 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. | pt |
dc.language.iso | eng | pt |
dc.publisher | Wiley | pt |
dc.relation | CEECIND/01010/2017 | pt |
dc.rights | embargoedAccess | pt |
dc.rights.uri | http://creativecommons.org/licenses/by-nd/4.0/ | pt |
dc.subject | asset classification | pt |
dc.subject | backtesting | pt |
dc.subject | IFRS 9 | pt |
dc.subject | derivative-free optimization | pt |
dc.subject | sensitivity analysis | pt |
dc.subject | stochastic simulation | pt |
dc.title | Asset classification under the IFRS 9 framework for the construction of a banking investment portfolio | pt |
dc.type | article | - |
degois.publication.title | International Transactions in Operational Research | pt |
dc.relation.publisherversion | https://doi.org/10.1111/itor.12976 | pt |
dc.peerreviewed | yes | pt |
dc.identifier.doi | 10.1111/itor.12976 | pt |
dc.date.embargo | 2023-04-11 | * |
rcaap.embargofct | Período de embargo requerido pela revista. | pt |
uc.date.periodoEmbargo | 730 | pt |
item.fulltext | Com Texto completo | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.languageiso639-1 | en | - |
item.openairetype | article | - |
item.cerifentitytype | Publications | - |
item.grantfulltext | open | - |
crisitem.author.researchunit | CeBER – Centre for Business and Economics Research | - |
crisitem.author.orcid | 0000-0002-7871-7058 | - |
Appears in Collections: | I&D CeBER - Artigos em Revistas Internacionais |
Files in This Item:
File | Description | Size | Format | |
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bpIFRS9.pdf | 1.63 MB | Adobe PDF | View/Open |
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