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Ferrer Pérez, Alejandro ; Casals Carro, José ; Sotoca López, Sonia | 2014-06We define the vector of conditional coverage values generated over the business cycle by a constant capital figure. Using a convenient analytical framework, we explore its properties and propose two applications based on it. For the former, we s[...]texto impreso
Ferrer Pérez, Alejandro ; Casals Carro, José ; Sotoca López, Sonia | 2014-06This paper addresses two problems related to determining the unconditional capital required by a credit portfolio: Estimating it using Monte Carlo simulation and allocating it among the different risk units that form the portfolio. By elaboratin[...]texto impreso
Ferrer Pérez, Alejandro ; Casals Carro, José ; Sotoca López, Sonia | 2014-06This paper analyzes the unconditional measurement of default risk and proposes an alternative modeling approach. We begin the analysis by showing that when conducted under non-stationarity, the objective of the unconditional measurement changes [...]
