RT Journal Article
T1 Sample dependency during unconditional credit capital estimation
A1 Ferrera, Alex
A1 Casals Carro, José
A1 Sotoca López, Sonia
AB 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.
PB Elsevier Inc.
SN 1544-6123
YR 2015
FD 2015
LK https://hdl.handle.net/20.500.14352/34218
UL https://hdl.handle.net/20.500.14352/34218
LA eng
DS Docta Complutense
RD 25 abr 2025