Publication:
Efficient estimation of unconditional capital by Monte Carlo simulation

dc.contributor.authorFerrer, Alex
dc.contributor.authorCasals Carro, José
dc.contributor.authorSotoca López, Sonia
dc.date.accessioned2023-06-18T05:56:23Z
dc.date.available2023-06-18T05:56:23Z
dc.date.issued2016
dc.description.abstractWe 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.
dc.description.departmentDepto. de Análisis Económico y Economía Cuantitativa
dc.description.facultyFac. de Ciencias Económicas y Empresariales
dc.description.refereedTRUE
dc.description.statuspub
dc.eprint.idhttps://eprints.ucm.es/id/eprint/55769
dc.identifier.doi10.1016/j.frl.2015.10.010
dc.identifier.issn1544-6131
dc.identifier.officialurlhttp://dx.doi.org/10.1016/j.frl.2015.10.010
dc.identifier.urihttps://hdl.handle.net/20.500.14352/23628
dc.journal.titleFinance Research Letters
dc.language.isoeng
dc.page.final84
dc.page.initial75
dc.publisherElsevier
dc.rights.accessRightsrestricted access
dc.subject.jelC58
dc.subject.jelG17
dc.subject.jelG21
dc.subject.jelG32
dc.subject.keywordCapital estimation
dc.subject.keywordCharge-off
dc.subject.keywordCredit risk
dc.subject.keywordMonte Carlo simulation
dc.subject.keywordUnconditional capital
dc.subject.ucmEconomía financiera
dc.subject.ucmBancos y cajas
dc.subject.ucmEconometría (Economía)
dc.subject.unesco5302 Econometría
dc.titleEfficient estimation of unconditional capital by Monte Carlo simulation
dc.typejournal article
dc.volume.number16
dspace.entity.typePublication
relation.isAuthorOfPublication138478db-3f49-41e4-a76e-ff6d03e56bb8
relation.isAuthorOfPublication.latestForDiscovery138478db-3f49-41e4-a76e-ff6d03e56bb8
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