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Publications by Kevin Jakob

GCPM: A FLexible Package to Explore Credit Portfolio Risk

Austrian Journal of Statistics

Applied Mathematics

English

Related publications

Systemic Risk Contributions: A Credit Portfolio Approach

Journal of Banking and Finance

English

Large Portfolio Credit Risk Modeling

International Journal of Theoretical and Applied Finance

English

The Pricing of Portfolio Credit Risk

SSRN Electronic Journal

English

A Systematic Approach to Multi-Period Stress Testing of Portfolio Credit Risk

Journal of Banking and Finance

English

Risk Measurement for Portfolio Credit Risk Based on a Mixed Poisson Model

Discrete Dynamics in Nature and Society

English

Severe Loss Probabilities in Portfolio Credit Risk Models

SSRN Electronic Journal

English

Minimizing Credit Risk and Improving the Quality of the Credit Portfolio of the Commercial Bank

Scientific bulletin of the Southern Institute of Management

English

Credit Portfolio Risk and PD Confidence Sets Through the Business Cycle

SSRN Electronic Journal

English

Portfolio Credit Risk With Extremal Dependence: Asymptotic Analysis and Efficient Simulation

Operations Research

Management Science

Computer Science Applications

Operations Research

English