Información del autor
Autor Ferrer, Alex |
Documentos disponibles escritos por este autor (2)
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texto impreso
We address credit capital cyclicality from a different point of view with the objective of defining alternative measures of long-term capital solvency. We first define the conditional coverage vector, which results from keeping capital constant [...]![]()
texto impreso
We address the problem of determining the unconditional capital required by a credit portfolio using Monte Carlo simulation. By elaborating on a tractable analytical framework, we propose a new efficient simulation algorithm that overweights rec[...]