This paper develops a flexible and computationally efficient model to estimate the credit loss distribution of the loans in a banking system. We consider a sectorial structure, where default frequencies and the total number of loans are allowed to depend on macroeconomic conditions as well as on...

This paper proposes a dynamic model to estimate the credit loss distribution of the aggregate portfolio of loans granted in a banking system. We consider a sectoral approach distinguishing between corporates and households. The evolution of their default frequencies and the size of the loans...

We derive the statistical properties of the SNP densities of Gallant and Nychka (1987). Weshow that these densities, which are always positive, are more flexible than truncated Gram-Charlier expansions with positivity restrictions. We use the SNP densities for financialderivatives valuation. We...

We study determinants of sovereign portfolios of Spanish banks over a long time-span, starting in 2008. Our findings challenge the view that banks engaged in moral hazard strategies to exploit the regulatory treatment of sovereign exposures. In particular, we show that being a weakly capitalized...