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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

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

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

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

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

Validation of corporate probability of default models considering alternative use cases

Jacobs, Michael <Jr.> - In: International Journal of Financial Studies : open … 9 (2021) 4, pp. 1-22

In this study, we consider the construction of through-the-cycle ("TTC") PD models designed for credit underwriting uses and point-in-time ("PIT") PD models suitable for early warning uses, considering which validation elements should be emphasized in each case. We build PD models using a long...

Persistent link: https://www.econbiz.de/10012698321

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

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

A comparison of methodologies in the stress testing of credit risk : alternative scenario and dependency constructs

Jacobs, Michael <Jr.>; Sensenbrenner, Frank J. - In: Quantitative finance and economics 2 (2018) 2, pp. 294-324

Persistent link: https://www.econbiz.de/10012156630

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