Michael Jacobs

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stimates of LGD are key parameters in a bank's risk-rating system that impact facility ratings, approval levels, and the setting of loss reserves, as well as developing credit capital underlying risk and profitability calculations. LGD can be measured as either the net charge-off rate (accounting LGD), or the present value of cash losses (economic LGD),(More)
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Three-dimensional numerical simulations of compressible turbulent thermally driven convection, in both slab and spheroidal geometries, are reviewed and analyzed in terms of velocity spectra and mixing length theory. The same ideal gas model is used in both geometries, and resulting ows are compared. The Piecewise-Parabolic Method (PPM), with either thermal(More)
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 risks faced-market, credit and operational – have distinct(More)