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Empirical Implementation of a 2-factor structural model for loss-given-default
Jacobs Jr., Michael, (2011)
Supervisory requirements and expectations for portfolio level counterparty credit risk measurement and management
Jacobs Jr., Michael, (2014)
Quantification of Model Risk with an Application to Probability of Default Estimation and Stress Testing for a Large Corporate Portfolio
Jacobs Jr., Michael, (2022)