Rubén García-Céspedes

BBVA

Calle Sauceda 28, Edf Am. Norte, Plt 1ª

Madrid, Madrid 28050

Spain

SCHOLARLY PAPERS

8

DOWNLOADS

799

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (8)

1.

Probability of Default Uncertainty in the Vasicek Credit Risk Framework

Number of pages: 24 Posted: 11 Apr 2016
Rubén García-Céspedes and Manuel Moreno
BBVA and University of Castilla-La Mancha
Downloads 286 (139,083)

Abstract:

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Credit risk, model risk, parameter uncertainty, Vasicek model, Basel capital requirement

2.

The Vasicek Credit Risk Model: A Machine Learning Approach

Number of pages: 34 Posted: 04 May 2021
Rubén García-Céspedes and Manuel Moreno
BBVA and University of Castilla-La Mancha
Downloads 157 (244,103)

Abstract:

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Credit risk, Machine Learning, Deep Learning

3.

An Approximate Multi-Period Vasicek Credit Risk Model

Number of pages: 19 Posted: 11 Apr 2016
Rubén García-Céspedes and Manuel Moreno
BBVA and University of Castilla-La Mancha
Downloads 116 (306,471)

Abstract:

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Finance, credit risk, approximate methods, multi-period models

4.

Taylor Expansion Based Methods to Measure Credit Risk

Number of pages: 33 Posted: 20 Jan 2015
Rubén García-Céspedes and Manuel Moreno
BBVA and University of Castilla-La Mancha
Downloads 101 (336,836)

Abstract:

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Risk management, approximate methods, multifactor adjustments, random recoveries, VaR, expected shortfall.

5.

Random LGD Adjustments in the Vasicek Credit Risk Model

Number of pages: 26 Posted: 11 Apr 2016
Rubén García-Céspedes and Manuel Moreno
BBVA and University of Castilla-La Mancha
Downloads 81 (386,496)

Abstract:

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Risk management, approximate methods, random recoveries

6.

Credit Risk in the Spanish Financial System a Saddlepoint Approach

Number of pages: 36 Posted: 20 Jan 2015
Rubén García-Céspedes and Manuel Moreno
BBVA and University of Castilla-La Mancha
Downloads 34 (569,358)

Abstract:

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Credit risk, macroprudential supervision, approximate methods, saddlepoint, risk allocation, VaR, expected shortfall.

7.

Importance Sampling and the Spanish Financial System

Number of pages: 33 Posted: 20 Jan 2015
Rubén García-Céspedes and Manuel Moreno
BBVA and University of Castilla-La Mancha
Downloads 24 (630,563)

Abstract:

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Monte Carlo, importance sampling, credit risk, macroprudential supervision, risk allocation, VaR, expected shortfall.

8.

Extended Saddlepoint Methods for Credit Risk Measurement

Journal of Computational Finance, Vol. 20, No. 2, 2016
Number of pages: 38 Posted: 14 Jun 2016
Rubén García-Céspedes and Manuel Moreno
BBVA and University of Castilla-La Mancha
Downloads 0 (830,407)
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Abstract:

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credit risk, macroprudential supervision, saddlepoint, risk allocation, value-at-risk, expected shortfall