Universidad Complutense de Madrid
E-Prints Complutense

Linking the problems of estimating and allocating unconditional capital

Impacto

Downloads

Downloads per month over past year



Ferrer Pérez, Alejandro and Casals Carro, José and Sotoca López, Sonia (2014) Linking the problems of estimating and allocating unconditional capital. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 13, 2014, ISSN: 2341-2356 ] (Unpublished)

[img]
Preview
PDF
Creative Commons Attribution Non-commercial Share Alike.

470kB

Official URL: http://eprints.ucm.es/25741/


URLURL Type
https://www.ucm.es/icaeOrganisation


Abstract

This 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 elaborating on a tractable analytical framework, we propose a new simulation algorithm and a new allocation
method. Both contributions rely on the conditional loss distributions and share the same core idea. We discuss their optimality, consistence and practical advantages. In an empirical study based on American data, we show the remarkable gains in efficiency achieved by the former and the improvement in the standard variance-covariance allocation provided by the latter.


Item Type:Working Paper or Technical Report
Uncontrolled Keywords:Default risk, Capital estimation, Capital allocation, Unconditional measurement, Conditional measurement.
Subjects:Social sciences > Economics > Econometrics
JEL:C58, G17, G21, G32
Series Name:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:2014
Number:13
ID Code:25741
Deposited On:06 Jun 2014 09:39
Last Modified:27 Jan 2016 12:44

Origin of downloads

Repository Staff Only: item control page