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subject:"Portfolio selection"
type_genre:"Article in journal"
~person:"Bernard, Carole"
~person:"Jacobs, Michael <Jr.>"
~type_genre:"Guidebook"
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Portfolio selection
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Bernard, Carole
Jacobs, Michael <Jr.>
Wang, Ruodu
12
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11
Hammoudeh, Shawkat
11
Mao, Tiantian
8
Alexander, Gordon J.
7
Guillén, Montserrat
7
Janabi, Mazin A. M. al
7
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7
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7
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6
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6
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6
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6
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6
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5
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5
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5
Mensi, Walid
5
Mitra, Sovan
5
Regis, Luca
5
Rüschendorf, Ludger
5
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5
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4
Brandtner, Mario
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Cossette, Hélène
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The journal of risk model validation
2
Asia-Pacific journal of risk and insurance : APJRI
1
Finance and stochastics
1
Insurance / Mathematics & economics
1
International journal of financial engineering and risk management
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Journal / The Capco Institute : journal of financial transformation
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ECONIS (ZBW)
10
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1
Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
Jacobs, Michael <Jr.>
- In:
The journal of risk model validation
16
(
2022
)
3
,
pp. 73-111
Persistent link: https://www.econbiz.de/10014540601
Saved in:
2
Range value-at-risk bounds for unimodal distributions under partial information
Bernard, Carole
;
Kazzi, Rodrigue
;
Vanduffel, Steven
- In:
Insurance / Mathematics & economics
94
(
2020
),
pp. 9-24
Persistent link: https://www.econbiz.de/10012419085
Saved in:
3
The accuracy of alternative supervisory methodologies for the stress testing of credit risk
Jacobs, Michael <Jr.>
- In:
International journal of financial engineering and risk …
3
(
2020
)
3
,
pp. 254-296
Persistent link: https://www.econbiz.de/10012253521
Saved in:
4
Risk bounds for factor models
Bernard, Carole
;
Rüschendorf, Ludger
;
Vanduffel, Steven
; …
- In:
Finance and stochastics
21
(
2017
)
3
,
pp. 631-659
Persistent link: https://www.econbiz.de/10011944414
Saved in:
5
A new approach to assessing model risk in high dimensions
Bernard, Carole
;
Vanduffel, Steven
- In:
Journal of banking & finance
58
(
2015
),
pp. 166-178
Persistent link: https://www.econbiz.de/10011543968
Saved in:
6
Stress testing and model validation : application of the Bayesian approach to a credit risk portfolio
Jacobs, Michael <Jr.>
;
Karagozoglu, Ahmet K.
; …
- In:
The journal of risk model validation
9
(
2015
)
3
,
pp. 41-70
Persistent link: https://www.econbiz.de/10011410323
Saved in:
7
Supervisory requirements and expectations for portfolio level counterparty credit risk measurement and management
Jacobs, Michael <Jr.>
- In:
Journal of financial regulation and compliance : an …
22
(
2014
)
3
,
pp. 252-270
Persistent link: https://www.econbiz.de/10010471082
Saved in:
8
On the characteristics of dynamic correlations between asset pairs
Jacobs, Michael <Jr.>
;
Karagozoglu, Ahmet K.
- In:
Research in international business and finance
32
(
2014
),
pp. 60-82
Persistent link: https://www.econbiz.de/10010434475
Saved in:
9
Stress testing credtit risk portfolios
Jacobs, Michael <Jr.>
- In:
Journal / The Capco Institute : journal of financial …
37
(
2013
),
pp. 53-75
Persistent link: https://www.econbiz.de/10010341034
Saved in:
10
Asset risk management of participating contracts
Bernard, Carole
;
Le Courtois, Olivier
- In:
Asia-Pacific journal of risk and insurance : APJRI
6
(
2012
)
2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10010126513
Saved in:
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