Asset classification under the IFRS 9 framework for the construction of a banking investment portfolio

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 inco...

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Bibliographic Details
Main Author: Brito, Rui Pedro Gonçalves de (author)
Other Authors: Júdice, Pedro Maria Corte-Real Alarcão (author)
Format: article
Language:eng
Published: 2021
Subjects:
asset classification
backtesting
IFRS 9
derivative-free optimization
sensitivity analysis
stochastic simulation
Online Access:http://hdl.handle.net/10316/94213
Country:Portugal
Oai:oai:estudogeral.sib.uc.pt:10316/94213

Internet

http://hdl.handle.net/10316/94213

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