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A holistic model validation framework for Current Expected Credit Loss (CECL) model development and implementation
Jacobs, Michael - In: International Journal of Financial Studies 8 (2020) 2, pp. 1-36
The Current Expected Credit Loss (CECL) revised accounting standard for credit loss provisioning is the most important change to United States (US) accounting standards in recent history. In this study, we survey and assess practices in the validation of models that support CECL, across...
Persistent link: https://www.econbiz.de/10013200274
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Validation of corporate probability of default models considering alternative use cases
Jacobs, Michael - In: International Journal of Financial Studies 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/10013200388
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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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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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The impact of asset price bubbles on liquidity risk measures from a financial institutions perspective
Jacobs, Michael <Jr.> - In: International journal of bonds and derivatives 2 (2016) 2, pp. 152-182
Persistent link: https://www.econbiz.de/10011587544
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A holistic model validation framework for Current Expected Credit Loss (CECL) model development and implementation
Jacobs, Michael <Jr.> - In: International Journal of Financial Studies : open … 8 (2020) 2/27, pp. 1-36
The Current Expected Credit Loss (CECL) revised accounting standard for credit loss provisioning is the most important change to United States (US) accounting standards in recent history. In this study, we survey and assess practices in the validation of models that support CECL, across...
Persistent link: https://www.econbiz.de/10012239410
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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
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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
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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