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dc.contributor.authorRamos González, M.-
dc.contributor.authorPartal Ureña, A.-
dc.contributor.authorGómez Fernández-Aguado, P.-
dc.description.abstractThe 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.es_ES
dc.description.sponsorshipRegional Government of Andalusia, Spain (Research Group SEJ-555).es_ES
dc.relation.ispartofMathematics (special issue applied mathematical methods in financial risk management), 9, pp. 1 – 9es_ES
dc.subjectrisk management; banking regulation; Basel Acord; defaulted exposures; economic downturn; Expected Loss Best Estimate; Loss Given Default in-defaultes_ES
dc.titleRegulatory estimates for defaulted exposures: A case study of Spanish mortgageses_ES
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