University of Münster
Jakob Maciag received his Dr. degree (Ph. D. equivalent) in Business Administration from the University of Muenster in 2016. In April 2016 he joined zeb.rolfes.schierenbeck.associates where he works as a consultant in the Quantitative Methods Practice Group. His research interests include risk aggregation & measurement, credit portfolio models and evolutionary algorithms.
A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default
This paper proposes a latent variable credit risk model for large loan portfolios. It employs the concept of nested Archimedean copulas to account for both a sector-type dependence structure and a copula-dependent stochastic loss given default (LGD).
Stochastic loss given default and exposure at default in a structural model of portfolio credit risk
The authors develop a factor-type latent variable model for portfolio credit risk that accounts for stochastically dependent probability of default (PD), loss given default (LGD) and exposure at default (EAD) at both the systematic and borrower specific…
The authors of this paper simulate realistic total bank return distributions by means of a top-down copula approach for different parameter settings.