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...

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...

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...

This paper discusses how to specify an observable high-frequency model for a vector of time series sampled at high and low frequencies. To this end we first study how aggregation over time affects both the dynamic components of a time series and their observability, in a multivariate linear...

This paper discusses how to specify the order of a state-space model. To do so, we start by revising existing approaches and find in them two basic shortcomings: (i) some of them have a poor performance in short samples and (ii) most of them are not robust, meaning that their performance...