2026-06-29T07:38:42Zhttps://docta.ucm.es/rest/oai/request

oai:docta.ucm.es:20.500.14352/238212023-08-25T18:21:42Zcom_20.500.14352_14col_20.500.14352_15

Capital cyclicality, conditional coverage and long-term capital assessment Ferrer, Alex Casals Carro, José Sotoca López, Sonia Capital assessment Capital cyclicality Charge-off Conditional coverage Credit risk Unconditional capital Econometría (Economía) 5302 Econometría 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. Depto. de Análisis Económico y Economía Cuantitativa Fac. de Ciencias Económicas y Empresariales TRUE pub 2023-06-18T06:03:28Z 2023-06-18T06:03:28Z 2015-11 journal article https://hdl.handle.net/20.500.14352/23821 1544-6123 10.1016/j.frl.2015.10.009 eng restricted access application/pdf Elsevier Inc.