Efficient estimation of unconditional capital by Monte Carlo simulation
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DOI: 10.1016/j.frl.2015.10.010
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More about this item
Keywords
Capital estimation; Charge-off; Credit risk; Monte Carlo simulation; Unconditional capital;JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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