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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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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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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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The Bayesian approach to default risk : a guide
Jacobs, Michael <Jr.>; Kiefer, Nicholas Maximilian - 2010
A Bayesian approach to default rate estimation is proposed and illustrated using a prior distribution assessed from an experienced industry expert. The principle advantage of the Bayesian approach is the potential for coherent incorporation of expert information - crucial when data are scarce or...
Persistent link: https://www.econbiz.de/10008649304
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Modeling ultimate loss given default on corporate debt
Jacobs, Michael <Jr.>; Karagozoglu, Ahmet K. - In: The journal of fixed income 21 (2011) 1, pp. 6-20
Persistent link: https://www.econbiz.de/10009314976
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Parsimonious exposure-at-default modeling for unfunded loan commitments
Bag, Pinaki; Jacobs, Michael <Jr.> - In: Journal of risk finance : the convergence of financial … 13 (2012) 1, pp. 77-94
Persistent link: https://www.econbiz.de/10009488906
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Resolution of corporate financial distress : an empirical analysis of processes and outcomes
Jacobs, Michael <Jr.>; Karagozoglu, Ahmet K.; Layish, … - In: The journal of portfolio management : a publication of … 38 (2012) 2, pp. 117-135
Persistent link: https://www.econbiz.de/10009669791
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An empirical study of the returns on defaulted debt
Jacobs, Michael <Jr.> - In: Applied financial economics 22 (2012) 7/9, pp. 563-579
Persistent link: https://www.econbiz.de/10009624360
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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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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