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Stress testing and model validation : application of the Bayesian approach to a credit risk portfolio

Jacobs, Michael <Jr.>; Karagozoglu, Ahmet K.; … - In: The journal of risk model validation 9 (2015) 3, pp. 41-70

Persistent link: https://www.econbiz.de/10011410323

A bivariate generalized autoregressive conditonal heteroscedasticity-in-mean study of the relationship between return variability and trading volume in international futures markets

Jacobs, Michael <Jr.> - In: The journal of futures markets 18 (1998) 4, pp. 379-397

Persistent link: https://www.econbiz.de/10001242641

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

Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio

Jacobs, Michael <Jr.> - In: The journal of risk model validation 16 (2022) 3, pp. 73-111

Persistent link: https://www.econbiz.de/10014540601

Measuring Credit Risk : CDS Spreads vs. Credit Ratings

Karagozoglu, Ahmet K - 2010

The prices of or spread on credit default swaps (CDS) theoretically represent the pure credit risk of a firm. Callen, Livnat and Segal (2007) note that although the CDS premium is related to credit ratings issued by the rating agencies, rather wide variation in CDS spreads are observed for firms...

Persistent link: https://www.econbiz.de/10013147945

An Empirical Study of the Returns on Defaulted Debt and the Discount Rate for Loss-Given-Default

Jacobs, Michael - 2010

Persistent link: https://www.econbiz.de/10013152416