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Supervisory requirements and expectations for portfolio level counterparty credit risk measurement and management

Jacobs, Michael <Jr.> - In: Journal of financial regulation and compliance : an … 22 (2014) 3, pp. 252-270

Persistent link: https://www.econbiz.de/10010471082

The impact of asset price bubbles on credit risk measures

Jacobs, Michael <Jr.> - In: Inventi impact: emerging economies (2016) 3, pp. 160-175

Persistent link: https://www.econbiz.de/10011567800

The impact of asset price bubbles on liquidity risk measures from a financial institutions perspective

Jacobs, Michael <Jr.> - In: International journal of bonds and derivatives 2 (2016) 2, pp. 152-182

Persistent link: https://www.econbiz.de/10011587544

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

Models for risk aggregation and sensitivity analysis : an application to bank economic capital

Inanoglu, Hulusi; Jacobs, Michael - In: Journal of risk and financial management : JRFM 2 (2009) 1, pp. 118-189

A challenge in enterprise risk measurement for diversified financial institutions is developing a coherent approach to aggregating different risk types. This has been motivated by rapid financial innovation, developments in supervisory standards (Basel 2) and recent financial turmoil. The main...

Persistent link: https://www.econbiz.de/10011556126