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...

We propose a new procedure to detect unit roots based on subspace methods. It has three main original features. First, the same method can be applied to single or multiple time series. Second, it employs a flexible family of information criteria, which loss functions can be adapted to the...

En este trabajo se propone un nuevo procedimiento para detectar ra´ıces unitarias basado en m´etodos de subespacios. Nuestra propuesta tiene tres aspectos originales principales. Primero, la misma metodología puede aplicarse a series individuales o a vectores de series temporales. Segundo,...

This paper addresses two problems related to determining the unconditional capital required by a credit portfolio: Estimating it using Monte Carlo simulation and allocating it among the different risk units that form the portfolio. By elaborating on a tractable analytical framework, we propose a...

Computing the gaussian likelihood for a nonstationary state-space model is a difficult problem which has been tackled by the literature using two main strategies: data transformation and diffuse likelihood. The data transformation approach is cumbersome, as it requires nonstandard filtering. On...

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...