Narrow search
Showing 1 - 5 of 5
Cover Image
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
Cover Image
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
Cover Image
Credit loss and systematic LGD
Frye, Jon; Jacobs, Michael <Jr.> - In: Managing and measuring risk : emerging global standards …, (pp. 307-339). 2012
Persistent link: https://www.econbiz.de/10009742617
Cover Image
Credit loss and systematic loss given default
Frye, Jon; Jacobs, Michael <Jr.> - In: The journal of credit risk : published quarterly by … 8 (2012) 1, pp. 109-140
Persistent link: https://www.econbiz.de/10009539228
Cover Image
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