Dr. Jakob Maciag
Title of PhD Thesis:
Beiträge zu Modellierung und Wirkung von Abhängigkeiten im Risikomanagement
Publications Based on PhD Thesis:
J. Maciag and M. Löderbusch; A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default; Journal of Credit Risk; Volume 13 (4); 2017
F. Kaposty, M. Löderbusch and J. Maciag; Stochastic loss given default and exposure at default in a structural model of portfolio credit risk; Journal of Credit Risk; Volume 13 (1); 2017
J. Maciag, F. Hesse, R. Böve, A. Pfingsten; Comparing risk measures when aggregating market risk and credit risk using different copulas; Journal of Risk; Volume 18 (5); 2016
N. Jahn, J. Maciag and A. Pfingsten; Empirische Fakten zur Branchenstruktur der Kreditportfolios von Kreditgenossenschaften und ihrer zeitlichen Entwicklung; Zeitschrift für das gesamte Genossenschaftswesen; Volume 65 (2); 2015
Positions after PhD
zeb consulting, Senior Manager
Credit Suisse, Vice President Global Credit Portfolio Management