TY  - JOUR
AU  - Ferrer, Alex
AU  - Casals Carro, José
AU  - Sotoca López, Sonia
PY  - 2016
DO  - 10.1016/j.frl.2015.10.010
SN  - 1544-6131
UR  - https://hdl.handle.net/20.500.14352/23628
T2  - Finance Research Letters
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...
LA  - eng
M2  - 75
PB  - Elsevier
KW  - Capital estimation
KW  - Charge-off
KW  - Credit risk
KW  - Monte Carlo simulation
KW  - Unconditional capital
TI  - Efficient estimation of unconditional capital by Monte Carlo simulation
TY  - journal article
VL  - 16
ER  -