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Asset classification under the IFRS 9 framework for the construction of a banking investment portfolio
International Transactions in Operational Research ( IF 3.1 ) Pub Date : 2021-04-11 , DOI: 10.1111/itor.12976
Rui Pedro Brito 1 , Pedro Júdice 2, 3
Affiliation  

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.

中文翻译:

IFRS 9 框架下用于构建银行投资组合的资产分类

在国际财务报告准则 9 框架下,我们分析了按摊余成本与按公允价值分类金融资产的权衡。定义减值模型并根据 10 年期葡萄牙政府债券的历史(2003-2019 年)数据,我们分析了不同投资配置的年度表现(收入/综合收入)。以收入最大化和综合收入半方差最小化为目标,我们提出了一个双目标模型,以找到有效的分配。鉴于半方差函数的非光滑性,我们通过多目标无导数算法计算建议模型的解。假设收益率和融资利率遵循相关的均值回归过程,并且债券的 评级动态由序数响应模型描述,我们展示了一种可能的方法来减轻所提出的双目标随机模型中根深蒂固的估计误差。最后,我们评估了一些建议的有效分配的样本外性能。
更新日期:2021-04-11
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