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Título:
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Efficient estimation of unconditional capital by Monte Carlo simulation
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Autores:
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Ferrer, 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, 2016
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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: Matemáticas: Economía financiera
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Materia = Ciencias Sociales: Economía: Bancos y cajas
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Materia = Ciencias Sociales: Economía: Econometría
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Tipo = Artículo
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Resumen:
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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 recession periods, which are the most important periods for determining the final capital figure, thereby improving its efficiency for a given number of simulations. We discuss the optimality and practical advantages of this algorithm. We also conduct an empirical analysis based on American charge-off data, which shows that the proposed algorithm achieves remarkable improvements in efficiency, without introducing any bias and at a negligible implementation cost.
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En línea:
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https://eprints.ucm.es/id/eprint/55769/1/Ferrer-Efficient%20estimation.pdf
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