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Sample dependency during unconditional credit capital estimation

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Ferrera, Alex and Casals Carro, José and Sotoca López, Sonia (2015) Sample dependency during unconditional credit capital estimation. Finance Research Letters, 15 . pp. 175-186. ISSN 1544-6123

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Official URL: http://dx.doi.org/10.1016/j.frl.2015.09.008



Abstract

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.


Item Type:Article
Uncontrolled Keywords:Charge-off; Credit risk; Unconditional capital; Unconditional credit loss distribution
Subjects:Social sciences > Economics > Banks and credit unions
Social sciences > Economics > Depressions
Social sciences > Economics > Econometrics
JEL:C58, G21, G32
ID Code:61066
Deposited On:24 Jun 2020 11:31
Last Modified:24 Jun 2020 11:31

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