2026-06-27T23:18:15Zhttps://docta.ucm.es/rest/oai/requestoai:docta.ucm.es:20.500.14352/415722023-11-14T07:22:22Zcom_20.500.14352_14col_20.500.14352_17
Docta Complutense
author
Ferrer Pérez, Alejandro
author
Casals Carro, José
author
Sotoca López, Sonia
2023-06-19T23:54:42Z
2023-06-19T23:54:42Z
2014-06
2341-2356
https://hdl.handle.net/20.500.14352/41572
https://www.ucm.es/icae
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 allocation
method. 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.
eng
Atribución-NoComercial-CompartirIgual 3.0 España
Linking the problems of estimating and allocating unconditional capital
technical report
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470187
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1413.pdf