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The quantification and aggregation of model risk : perspectives on potential approaches

Jacobs, Michael <Jr.> - In: International journal of financial engineering and risk … 2 (2015) 2, pp. 124-154

Persistent link: https://www.econbiz.de/10011527495

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

A holistic model validation framework for Current Expected Credit Loss (CECL) model development and implementation

Jacobs, Michael <Jr.> - In: International Journal of Financial Studies : open … 8 (2020) 2/27, pp. 1-36

The Current Expected Credit Loss (CECL) revised accounting standard for credit loss provisioning is the most important change to United States (US) accounting standards in recent history. In this study, we survey and assess practices in the validation of models that support CECL, across...

Persistent link: https://www.econbiz.de/10012239410

The validation of machine-learning models for the stress testing of credit risk

Jacobs, Michael <Jr.> - In: Journal of risk management in financial institutions 11 (2017/2018) 3, pp. 218-243

Persistent link: https://www.econbiz.de/10011942534

The accuracy of alternative supervisory methodologies for the stress testing of credit risk

Jacobs, Michael <Jr.> - In: International journal of financial engineering and risk … 3 (2020) 3, pp. 254-296

Persistent link: https://www.econbiz.de/10012253521

A holistic model validation framework for Current Expected Credit Loss (CECL) model development and implementation

Jacobs, Michael - In: International Journal of Financial Studies 8 (2020) 2, pp. 1-36

Persistent link: https://www.econbiz.de/10013200274