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

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...

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Bibliographic Details
Main Author: Brito, R. P. (author)
Other Authors: Judice, P. (author)
Format: article
Language:eng
Published: 2022
Subjects:
Asset classification
Backtesting
IFRS 9
Derivative-free optimization
Sensitivity analysis
Stochastic simulation
Online Access:http://hdl.handle.net/10071/22596
Country:Portugal
Oai:oai:repositorio.iscte-iul.pt:10071/22596

Internet

http://hdl.handle.net/10071/22596

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