Sample dependency during unconditional credit capital estimation
| dc.contributor.author | Ferrera, Alex | |
| dc.contributor.author | Casals Carro, José | |
| dc.contributor.author | Sotoca López, Sonia | |
| dc.date.accessioned | 2023-06-19T13:39:39Z | |
| dc.date.available | 2023-06-19T13:39:39Z | |
| dc.date.issued | 2015 | |
| dc.description.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. | |
| dc.description.department | Depto. de Análisis Económico y Economía Cuantitativa | |
| dc.description.faculty | Fac. de Ciencias Económicas y Empresariales | |
| dc.description.refereed | TRUE | |
| dc.description.status | pub | |
| dc.eprint.id | https://eprints.ucm.es/id/eprint/61066 | |
| dc.identifier.doi | 10.1016/j.frl.2015.09.008 | |
| dc.identifier.issn | 1544-6123 | |
| dc.identifier.officialurl | http://dx.doi.org/10.1016/j.frl.2015.09.008 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14352/34218 | |
| dc.journal.title | Finance Research Letters | |
| dc.language.iso | eng | |
| dc.page.final | 186 | |
| dc.page.initial | 175 | |
| dc.publisher | Elsevier Inc. | |
| dc.rights.accessRights | restricted access | |
| dc.subject.jel | C58 | |
| dc.subject.jel | G21 | |
| dc.subject.jel | G32 | |
| dc.subject.keyword | Charge-off | |
| dc.subject.keyword | Credit risk | |
| dc.subject.keyword | Unconditional capital | |
| dc.subject.keyword | Unconditional credit loss distribution | |
| dc.subject.ucm | Bancos y cajas | |
| dc.subject.ucm | Crisis económicas | |
| dc.subject.ucm | Econometría (Economía) | |
| dc.subject.unesco | 5307.06 Fluctuaciones Económicas | |
| dc.subject.unesco | 5302 Econometría | |
| dc.title | Sample dependency during unconditional credit capital estimation | |
| dc.type | journal article | |
| dc.volume.number | 15 | |
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| dspace.entity.type | Publication | |
| relation.isAuthorOfPublication | 138478db-3f49-41e4-a76e-ff6d03e56bb8 | |
| relation.isAuthorOfPublication.latestForDiscovery | 138478db-3f49-41e4-a76e-ff6d03e56bb8 |
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