Rubén García-Céspedes

BBVA

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

Madrid, Madrid 28050

Spain

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 42,626

SSRN RANKINGS

Top 42,626

in Total Papers Downloads

2,193

SSRN CITATIONS

4

CROSSREF CITATIONS

0

Scholarly Papers (7)

1.

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 893 (50,444)

Abstract:

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Credit risk, Machine Learning, Deep Learning

2.

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 673 (73,423)

Abstract:

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

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 220 (257,186)

Abstract:

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

4.

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 151 (358,617)
Citation 1

Abstract:

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Risk management, approximate methods, random recoveries

5.

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 141 (378,860)

Abstract:

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

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 62 (645,919)

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 53 (695,554)

Abstract:

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