DEFC-Artículos
URI permanente para esta colecciónhttps://hdl.handle.net/10953/189
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Examinando DEFC-Artículos por Autor "Gómez Fernández-Aguado, P."
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Ítem Evaluation of European Deposit Insurance Scheme Funding based on risk analysis(Elsevier, 2023) Gómez Fernández-Aguado, P.; Trigo Martínez, E.; Moreno Ruíz, R.; Partal Ureña, A.We carry out a quantitative analysis of the financing measures proposed for the European Deposit Insurance Scheme (EDIS) regarding the target level of the fund and the contribution scheme of member entities. We estimate the loss distribution of the EDIS considering different sources of systemic risk associated with the correlations between bank assets and we analyse the sensitivity of the results to bank portfolio risk. Our findings show how the interconnection between banks of different countries has an important influence on accumulated losses in the tail of the distribution. Likewise deterioration in the quality of bank portfolios produces a significant reduction in the fund’s loss-absorbing capacity, which calls into question its soundness in times of economic recession. Finally, the contribution scheme provides more equitable risk measures and may be an appropriate incentive to reduce moral hazard in the Banking Union.Ítem Forecasting for regulatory credit loss derived from the COVID-19 pandemic: A machine learning approach(Elsevier, 2023) Ramos González, M.; Partal Ureña, A.; Gómez Fernández-Aguado, P.The economic onslaught of the COVID-19 pandemic has compromised the risk management of financial institutions. The consequences related to such an unprecedented situation are difficult to foresee with certainty using traditional methods. The regulatory credit loss attached to defaulted mortgages, so-called expected loss best estimate (ELBE), is forecasted using a machine learning technique. The projection of two ELBEs for 2022 and their comparison are presented. One accounts for the outbreak’s impact, and the other presumes the nonexistence of the pandemic. Then, it is concluded that the referred crisis surely adversely affects said high-risk portfolios. The proposed method has excellent performance and may serve to estimate future expected and unexpected losses amidst any event of extraordinary magnitudeÍtem Regulatory estimates for defaulted exposures: A case study of Spanish mortgages(MPDI, 2021) Ramos González, M.; Partal Ureña, A.; Gómez Fernández-Aguado, P.The capital requirements derived from the Basel Accord were issued with the purpose of deploying a transnational regulatory framework. Further regulatory developments on risk measurement is included across several documents published both by the European Banking Authority and the European Central Bank. Among others, the referred additional documentation focused on the models’ estimation and calibration for credit risk measurement purposes, especially the Advanced Internal-Ratings Based models, which may be estimated both for non-defaulted and defaulted assets. A concrete proposal of the referred defaulted exposures models, namely the Expected Loss Best Estimate (ELBE) and the Loss Given Default (LGD) in-default, is presented. The proposed methodology is eventually calibrated on the basis of data from the mortgage’s portfolios of the six largest financial institutions in Spain. The outcome allows for a comparison of the risk profile particularities attached to each of the referred portfolios. Eventually, the economic sense of the results is analyzed.