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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
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Empirical analysis, trading strategies, and risk models for defaulted debt securities
Jacobs, Michael <Jr.> - In: Journal / The Capco Institute : journal of financial … 32 (2011), pp. 59-74
Persistent link: https://www.econbiz.de/10009629250
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An option theoretic model for ultimate loss-given-default with systematic recovery risk and stochastic returns on defaulted debt
Jacobs, Michael <Jr.> - In: Portfolio and risk management for central banks and …, (pp. 257-285). 2011
Persistent link: https://www.econbiz.de/10009405173
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A bivariate generalized autoregressive conditonal heteroscedasticity-in-mean study of the relationship between return variability and trading volume in international futures market...
Jacobs, Michael <Jr.> - In: The journal of futures markets 18 (1998) 4, pp. 379-397
Persistent link: https://www.econbiz.de/10001242641
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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
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The quantification and aggregation of model risk : perspectives on potential approaches
Jacobs, Michael <Jr.> - In: International journal of financial engineering and risk … 2 (2015) 2, pp. 124-154
Persistent link: https://www.econbiz.de/10011527495
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Analyzing bank efficiency : are "too-big-to-fail" banks efficient?
Inanoglu, Hulusi; Jacobs, Michael <Jr.>; Liu, Junrong; … - In: The handbook of post crisis financial modelling, (pp. 110-146). 2016
Persistent link: https://www.econbiz.de/10011475735
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A generic stress testing framework with related economic shocks and possible regulatory intervention
Parnes, Dror; Jacobs, Michael <Jr.> - In: Journal of risk 21 (2018/2019) 5, pp. 29-52
Persistent link: https://www.econbiz.de/10012059929
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The validation of machine-learning models for the stress testing of credit risk
Jacobs, Michael <Jr.> - In: Journal of risk management in financial institutions 11 (2017/2018) 3, pp. 218-243
Persistent link: https://www.econbiz.de/10011942534
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Credit risk signals in CDS market vs agency ratings
Jacobs, Michael <Jr.>; Karagozoglu, Ahmet K.; Layish, … - In: Journal of risk finance : the convergence of financial … 17 (2016) 2, pp. 194-217
Persistent link: https://www.econbiz.de/10011628302