RT Journal Article
T1 Capital cyclicality, conditional coverage and long-term capital assessment
A1 Ferrer, Alex
A1 Casals Carro, José
A1 Sotoca López, Sonia
AB We address credit capital cyclicality from a different point of view with the objective of defining alternative measures of long-term capital solvency. We first define the conditional coverage vector, which results from keeping capital constant and let conditional coverage evolve with the economy. We show that its average equals the corresponding unconditional coverage, which motivates us to propose to use its minimum and standard deviation as long-term measures of solvency resilience and stability. We also conduct an empirical analysis. The results show the influence of the Great Recession on the conditional coverage vector and its long-term solvency discrimination power.
PB Elsevier Inc.
SN 1544-6123
YR 2015
FD 2015-11
LK https://hdl.handle.net/20.500.14352/23821
UL https://hdl.handle.net/20.500.14352/23821
LA eng
DS Docta Complutense
RD 19 abr 2025