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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 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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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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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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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