Conditional coverage and its role in determining and assessing long-term capital requirements

We define the vector of conditional coverage values generated over the business cycle by a constant capital figure. Using a convenient analytical framework, we explore its properties and propose two applications based on it. For the former, we state a result that links the concepts of conditional an...

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Detalhes bibliográficos
Autores: Ferrer Pérez, Alejandro, Casals Carro, José, Sotoca López, Sonia
Tipo de documento: relatório científico
Data de publicação:2014
País:España
Recursos:Universidad Complutense de Madrid (UCM)
Repositório:Docta Complutense
Idioma:inglês
OAI Identifier:oai:docta.ucm.es:20.500.14352/41571
Acesso em linha:https://hdl.handle.net/20.500.14352/41571
Access Level:Acceso aberto
Palavra-chave:C58
G21
G32
Default risk
Long-term capital
Unconditional capital
Conditional coverage
Unconditional coverage
Capital cyclicality.
Econometría (Economía)
5302 Econometría
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oai_identifier_str oai:docta.ucm.es:20.500.14352/41571
network_acronym_str ES
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repository_id_str
spelling Conditional coverage and its role in determining and assessing long-term capital requirementsFerrer Pérez, AlejandroCasals Carro, JoséSotoca López, SoniaC58G21G32Default riskLong-term capitalUnconditional capitalConditional coverageUnconditional coverageCapital cyclicality.Econometría (Economía)5302 EconometríaWe define the vector of conditional coverage values generated over the business cycle by a constant capital figure. Using a convenient analytical framework, we explore its properties and propose two applications based on it. For the former, we state a result that links the concepts of conditional and unconditional solvency and offers an alternative interpretation of the unconditional capital. For the latter, we propose using the minimum of the conditional coverage vector in the determination of long-term capital requirements, as well as using its minimum and its standard deviation in the long-term assessment of a given capital figure. Both applications are illustrated empirically. The entire analysis can be understood as an attempt to recognize and incorporate capital cyclicality into the measurement and analysis of default risk.Universidad Complutense de Madrid20142014-06-0120142014-06-01technical reporthttp://purl.org/coar/resource_type/c_18ghinfo:eu-repo/semantics/reportapplication/pdfhttps://hdl.handle.net/20.500.14352/41571reponame:Docta Complutenseinstname:Universidad Complutense de Madrid (UCM)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2Atribución-NoComercial-CompartirIgual 3.0 Españahttps://creativecommons.org/licenses/by-nc-sa/3.0/es/info:eu-repo/semantics/openAccessoai:docta.ucm.es:20.500.14352/415712026-06-02T12:44:21Z
dc.title.none.fl_str_mv Conditional coverage and its role in determining and assessing long-term capital requirements
title Conditional coverage and its role in determining and assessing long-term capital requirements
spellingShingle Conditional coverage and its role in determining and assessing long-term capital requirements
Ferrer Pérez, Alejandro
C58
G21
G32
Default risk
Long-term capital
Unconditional capital
Conditional coverage
Unconditional coverage
Capital cyclicality.
Econometría (Economía)
5302 Econometría
title_short Conditional coverage and its role in determining and assessing long-term capital requirements
title_full Conditional coverage and its role in determining and assessing long-term capital requirements
title_fullStr Conditional coverage and its role in determining and assessing long-term capital requirements
title_full_unstemmed Conditional coverage and its role in determining and assessing long-term capital requirements
title_sort Conditional coverage and its role in determining and assessing long-term capital requirements
dc.creator.none.fl_str_mv Ferrer Pérez, Alejandro
Casals Carro, José
Sotoca López, Sonia
author Ferrer Pérez, Alejandro
author_facet Ferrer Pérez, Alejandro
Casals Carro, José
Sotoca López, Sonia
author_role author
author2 Casals Carro, José
Sotoca López, Sonia
author2_role author
author
dc.contributor.none.fl_str_mv Universidad Complutense de Madrid
dc.subject.none.fl_str_mv C58
G21
G32
Default risk
Long-term capital
Unconditional capital
Conditional coverage
Unconditional coverage
Capital cyclicality.
Econometría (Economía)
5302 Econometría
topic C58
G21
G32
Default risk
Long-term capital
Unconditional capital
Conditional coverage
Unconditional coverage
Capital cyclicality.
Econometría (Economía)
5302 Econometría
description We define the vector of conditional coverage values generated over the business cycle by a constant capital figure. Using a convenient analytical framework, we explore its properties and propose two applications based on it. For the former, we state a result that links the concepts of conditional and unconditional solvency and offers an alternative interpretation of the unconditional capital. For the latter, we propose using the minimum of the conditional coverage vector in the determination of long-term capital requirements, as well as using its minimum and its standard deviation in the long-term assessment of a given capital figure. Both applications are illustrated empirically. The entire analysis can be understood as an attempt to recognize and incorporate capital cyclicality into the measurement and analysis of default risk.
publishDate 2014
dc.date.none.fl_str_mv 2014
2014-06-01
2014
2014-06-01
dc.type.none.fl_str_mv technical report
http://purl.org/coar/resource_type/c_18gh
dc.type.openaire.fl_str_mv info:eu-repo/semantics/report
format report
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14352/41571
url https://hdl.handle.net/20.500.14352/41571
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
Atribución-NoComercial-CompartirIgual 3.0 España
https://creativecommons.org/licenses/by-nc-sa/3.0/es/
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
Atribución-NoComercial-CompartirIgual 3.0 España
https://creativecommons.org/licenses/by-nc-sa/3.0/es/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Docta Complutense
instname:Universidad Complutense de Madrid (UCM)
instname_str Universidad Complutense de Madrid (UCM)
reponame_str Docta Complutense
collection Docta Complutense
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15.812429

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