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Assessment of model risk in the aggregate : contribution of quantification
Brotcke, Liming, (2018)
Predicting systemic risk with entropic indicators
Gradojevic, Nikola, (2017)
Accuracy of mortgage portfolio risk forecasts during financial crises
Lee, Yong Woong, (2016)
An option theoretic model for ultimate loss-given-default with systematic recovery risk and stochastic returns on defaulted debt
Jacobs, Michael <Jr.>, (2011)
Stress testing credtit risk portfolios
Jacobs, Michael <Jr.>, (2013)
Empirical analysis, trading strategies, and risk models for defaulted debt securities