Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
Michael Jacobs Jr.
| Year of publication: |
2022
|
|---|---|
| Authors: | Jacobs, Michael <Jr.> |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 16.2022, 3, p. 73-111
|
| Subject: | probability of default (PD) | stress testing | Current Expected Credit Loss (CECL) | credit risk | model validation | model risk | Kreditrisiko | Credit risk | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Bankrisiko | Bank risk | Basler Akkord | Basel Accord | Theorie | Theory | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Schätzung | Estimation | Wahrscheinlichkeitsrechnung | Probability theory | Insolvenz | Insolvency | Risiko | Risk | Modellierung | Scientific modelling |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JRMV.2022.023 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014540601