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

Classification-JEL: C58, G21, G32

Keywords: Default risk, Long-term capital, Unconditional capital, Conditional coverage, Unconditional coverage, Capital
 cyclicality.

Length: 12 pages
Creation-Date: 2014-06  
Number: 2014-12 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1412.txt
File-URL: https://eprints.ucm.es/id/eprint/25740/1/1412.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1412