Template-type: ReDIF-Paper 1.0
Author-Name: Alejandro Ferrer Pérez
Author-Email: af.econres@gmail.com
Author-Workplace-Name: Facultad de Ciencias Económicas. Universidad Complutense de Madrid.
Author-Name: José Casals Carro
Author-Workplace-Name: Departamento de Fundamentos del Análisis Económico II (Economía Cuantitativa). Universidad Complutense de 
	Madrid.
Author-Name: Sonia Sotoca López
Author-Email: sotoca@ccee.ucm.es
Author-Workplace-Name: Departamento de Fundamentos del Análisis Económico II (Economía Cuantitativa). Universidad Complutense de 
	Madrid.
Title: A new approach to the unconditional measurement of default risk
Abstract: This paper analyzes the unconditional measurement of default risk and proposes an alternative modeling approach.
	We begin the analysis by showing that when conducted under non-stationarity, the objective of the unconditional
	measurement changes and that some relevant problems appear as a consequence of the sample dependence. Based on
	this result, we introduce our approach and discuss its consistency, practical advantages, and the main dierences from
	the conventional static framework. An empirical analysis is also conducted. Under non-stationarity, the regulatory
	model for the unconditional probability of default distribution performs badly when compared to our approach. Results
	also show that the capital gure presents a determinant and non-trivial dependence on the homogeneity and severity of
	the economic scenario represented in the sample.

Classification-JEL: C46, C58, G21, G32

Keywords: Default risk, Probability of default, Unconditional measurement, Conditional measurement.

Length: 12 pages
Creation-Date: 2014-06  
Number: 2014-11 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1411.txt
File-URL: https://eprints.ucm.es/id/eprint/25738/1/14111.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1411