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Título:
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Sample dependency during unconditional credit capital estimation
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Autores:
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Ferrera, Alex ;
Casals Carro, José ;
Sotoca López, Sonia
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Tipo de documento:
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texto impreso
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Editorial:
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Elsevier Inc., 2015
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Dimensiones:
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application/pdf
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Nota general:
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info:eu-repo/semantics/restrictedAccess
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Idiomas:
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Palabras clave:
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Estado = Publicado
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Materia = Ciencias Sociales: Economía: Bancos y cajas
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Materia = Ciencias Sociales: Economía: Crisis económicas
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Materia = Ciencias Sociales: Economía: Econometría
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Tipo = Artículo
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Resumen:
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The unconditional credit loss distribution is identified based on a long-term sample. This sample influences the capital estimate. In this study, we performed an empirical investigation of this sample dependency problem using charge-off data and by focusing on the influence of the Great Recession. The results demonstrated the significant dependency of the capital requirements on the homogeneity and cyclicality of the long-term sample. Thus, a sample containing only the Great Recession data produced lower capital requirements due to the homogeneity effect, whereas a mixed sample containing the Great Recession data produced higher capital requirements due to the cyclical effect.
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En línea:
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https://eprints.ucm.es/id/eprint/61066/1/Ferrer%2C%20A.%3B%20Casals%2C%20J.%3B%20Sotoca%2C%20S.%20Sample%20dependency%20during%20unconditional%20credit%20capital%20estimation.pdf
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