RT Journal Article
T1 Efficient estimation of unconditional capital by Monte Carlo simulation
A1 Ferrer, Alex
A1 Casals Carro, José
A1 Sotoca López, Sonia
AB 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.
PB Elsevier
SN 1544-6131
YR 2016
FD 2016
LK https://hdl.handle.net/20.500.14352/23628
UL https://hdl.handle.net/20.500.14352/23628
LA eng
DS Docta Complutense
RD 10 abr 2025