RT Report
T1 Linking the problems of estimating and allocating unconditional capital
A1 Ferrer Pérez, Alejandro
A1 Casals Carro, José
A1 Sotoca López, Sonia
AB This paper addresses two problems related to determining the unconditional capital required by a credit portfolio: Estimating it using Monte Carlo simulation and allocating it among the different risk units that form the portfolio. By elaborating on a tractable analytical framework, we propose a new simulation algorithm and a new allocationmethod. Both contributions rely on the conditional loss distributions and share the same core idea. We discuss their optimality, consistence and practical advantages. In an empirical study based on American data, we show the remarkable gains in efficiency achieved by the former and the improvement in the standard variance-covariance allocation provided by the latter.
SN 2341-2356
YR 2014
FD 2014-06
LK https://hdl.handle.net/20.500.14352/41572
UL https://hdl.handle.net/20.500.14352/41572
LA eng
DS Docta Complutense
RD 8 abr 2025