TY  - RPRT
AU  - Ferrer Pérez, Alejandro
AU  - Casals Carro, José
AU  - Sotoca López, Sonia
PY  - 2014
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/41572
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...
LA  - eng
KW  - Default risk
KW  - Capital estimation
KW  - Capital allocation
KW  - Unconditional measurement
KW  - Conditional measurement.
TI  - Linking the problems of estimating and allocating unconditional capital
TY  - technical report
VL  - 2014
ER  -