Validation of corporate probability of default models considering alternative use cases
Year of publication: |
2021
|
---|---|
Authors: | Jacobs, Michael <Jr.> |
Published in: |
International Journal of Financial Studies : open access journal. - Basel : MDPI, ISSN 2227-7072, ZDB-ID 2704235-2. - Vol. 9.2021, 4, Art.-No. 63, p. 1-22
|
Subject: | credit risk | credit underwriting | early warning systems | model risk | model validation | point-in-time | probability of default | regulatory capital | through-the-cycle | Finanzdienstleistung | Financial services | Kreditrisiko | Credit risk | Basler Akkord | Basel Accord | Risikomanagement | Risk management | Insolvenz | Insolvency | Wahrscheinlichkeitsrechnung | Probability theory | Frühwarnsystem | Early warning system | Modellierung | Scientific modelling |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/ijfs9040063 [DOI] hdl:10419/257808 [Handle] |
Classification: | G21 - Banks; Other Depository Institutions; Mortgages ; G28 - Government Policy and Regulation ; M40 - Accounting and Auditing. General ; E47 - Forecasting and Simulation |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Validation of corporate probability of default models considering alternative use cases
Jacobs, Michael, (2021)
-
Model and estimation risk in credit risk stress tests
Grundke, Peter, (2019)
-
Jacobs, Michael <Jr.>, (2020)
- More ...
-
Jacobs, Michael <Jr.>, (1998)
-
Jacobs, Michael <Jr.>, (2015)
-
The quantification and aggregation of model risk : perspectives on potential approaches
Jacobs, Michael <Jr.>, (2015)
- More ...