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Andreas A. Jobst

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Expertise: Financial Economics and Risk Management

Andreas (Andy) Jobst is an economist at the International Capital Markets Department (ICM) of the International Monetary Fund (IMF) in Washington, D.C. His research focuses on structured finance, (credit) risk management, sovereign debt management, financial regulation and time series econometrics. He previously worked at the Division for Insurance and Research at the Federal Deposit Insurance Corporation (FDIC), the Economics Department of the Deutsche Bundesbank, the Financial Markets Group (FMG) at the London School of Economics (LSE), the Center for Financial Studies (CFS) in Frankfurt/Main, the International Division of the European Central Bank (ECB), the Financial Institutions Division of the Bank of England, the U.N. Economic Commission for Latin America and the Caribbean (ECLAC/CEPAL), the European Securitization Group of Deutsche Bank in London and the Financial Services Group of the Boston Consulting Group (BCG). Mr. Jobst holds a PhD in Finance from the London School of Economics (LSE). He was also educated in Oxford, Cambridge, Leicester and Maryland and holds the professional qualification of Accredited Asset Management Specialist (AAMS).

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Disclaimer: This presentation reflects the views and analysis of the author and should not be attributed to the IMF or any of the author's former employers or institutional affiliations. Any errors and omissions are the sole responsibility of the author.

 

Publications

  • Jobst, A. (2007), “Operational Risk – The Sting is Still in the Tail But the Poison Depends on the Dose,” Journal of Operational Risk, Vol. 2, No. 1 (forthcoming).
  • Jobst, A. (2006), “Sovereign Securitization in Emerging Markets,” Journal of Structured Finance, Vol. 12, No. 3 (Winter), 2-13.
  • Jobst, A. (2006), “Asset Securitisation as a Risk Management and Funding Tool: What Small Firms Need to Know,” Managerial Finance, Vol. 32, No. 9, 731-60.
  • Jobst, A. (2006), “Correlation, Price Discovery and Co-movement of ABS and Equity,” Derivatives Use, Trading & Regulation, Vol. 12, No. 1-2, 60-101. (also: Center for Financial Research (CFR), Federal Deposit Insurance Corporation (FDIC), Working Paper 2005-11 (http://www.fdic.gov/bank/analytical/cfr/workingpapers.html#correlation)).
  • Jobst, A. (2006), “Security Issuance and Investor Information in Securitization,” The ICFAI Journal of Behavioral Finance, Vol. 3, No. 3, 1-26.
  • Jobst, A. (2006), “What is Structured Finance ? An Analysis of Derivatives, Securitization and Islamic Finance,” The Securitization Conduit, Vol. 8, No. 1. Previously published as “What is Structured Finance ?” SSRN Working Paper (http://ssrn.com/abstract=832184) (September 30, 2005).
  • Jobst, A. (2006), “A GARCH Model of Secondary Market Prices in European Securitization,” Journal of Structured Finance, Vol. 12, No. 1 (Spring), 55-80.
  • Jobst, A. (2006), “Secondary Market Behavior of European Securitization” (Chapter 4, pp. 81-153), in: R. S. Uh. Contemporary Issues in Finance. Nova Science Publishers Inc. (ISBN: 1-59454-622-3).
  • Jobst, A. (2005), “Learning Curve: Risk Management of CDOs During Times of Stress,” Derivatives Week (November), Euromoney Institutional Investor PLC, London.
  • Jobst, A. (2005), “Need for Vigilance by CDO Investors,” Financial Times, Comments & Letters (4 November).
  • Jobst, A. (2005), "What is Structured Finance ?" (September) (http://ssrn.com/abstract=832127). Forthcoming in The Securitization Conduit.
  • Jobst, A. (2005), “European Securitization: A GARCH Model of Secondary Market Spreads,” Journal of Structured Finance, Vol. 11, No. 3 (forthcoming).
  • Jobst, A. (2005), “Investors Must Heeds Those CDO Risks,” Financial Times, Comments & Letters (19 April).
  • Jobst, A. (2005), “Tranche Pricing in Subordinated Structured Finance”, Journal of Structured Finance, Vol. 11, No. 2,  64-96.
  • Jobst, A. (2005), “The Basle Securitisation Framework Explained: The Regulatory Treatment of Asset Securitisation,” Journal of Financial Regulation and Compliance, Vol. 13, No. 1.
  • Jobst, A. and J. P. Krahnen (2005), “The Information Content of ABS Spreads”, Working Paper Series: Finance and Accounting, J.W. Goethe-Universitaet Frankfurt am Main (February).
  • Jobst, A. (2003), “Loan Securitization and Moral Hazard - Is Increased Transparency More Beneficial ?,” The ICFAI Journal of Applied Finance, Vol. 9, No. 9 (December), 5-30.
  • Jobst, A. (2003), “Verbriefung und Ihre Auswirkung auf die Finanzmarktstabilitaet,” Working Paper Series: Finance and Accounting, J.W. Goethe-Universitaet Frankfurt am Main (October). Also available online at bfinance.de (14 October 2003).
  • Jobst, A. (2003), “Collateralised Loan Obligations (CLO) - A Primer,” The Securitisation Conduit, Vol. 6, Nos. 1-4. Order here: http://www.low-rv-loans.com/books-reviewed/0974078417.html.
  • Jobst, A. (2002), “Loan Securitisation: Default Term Structure and Asset Pricing Based on Loss Prioritisation,” Financial Markets Group (FMG) Discussion Paper Series, #422, London School of Economics (LSE), August.
  • Jobst, A. (2002), “The Pricing Puzzle: The Default Term Structure of Collateralised Loan Obligations,” Center for Financial Studies (CFS) Working Papers Series 2002/16, Frankfurt (http://www.ifk-cfs.de/homepages/h-veroeffentlichungen.htm)
  • Jobst, A. (2002), “Foreign Lobbying in the U.S. - A Latin American Perspective,” supported by the U.N. Economic Commission for Latin America (U.N. ECLAC) and published with European Trade Study Group (ETSG), Working Paper (http://www.etsg.org/wpapers/Papers2002.html#12)
  • Jobst, A. (2002), “Loss Distribution Modelling of a Credit Portfolio Through Extreme Value Theory (EVT)”, Working Paper, December, available online at Securitization.NetTM (http://www.securitization.net/contributors/articles.asp?ic=23&name=Academia&id=31).
  • Jobst, A. (2001), “Der Kampf um das Triple-A Rating - Landesbanken Quo Vadis?“ http://www.bfinance.de, May.

Andreas Jobst, International Monetary Fund (IMF), 700 19th Street NW, Washington, DC 20431, USA

For information please e-mail me at

andy @ jobst.info