Michael Jacobs Jr.: Research Papers
Araten, M., Jacobs, Jr., and Varshney, P., 2004, Measuring LGD on commercial loans: An 18-year internal study,
The Journal of the Risk Management Association, May, 28-35.
Araten, M., Jacobs, Jr., M., P. Varshney, and Pellegrino, C.R., 2004, An internal ratings migration study, The Journal
of the Risk Management Association, April, 92-97.
Jacobs, Jr., M., Karagozoglu, A., and Layish, D., 2012, Resolution of corporate financial distress: an empirical
analysis of processes and outcomes, The Journal of Portfolio Management, Winter, 117-135.
Jacobs, Jr., M., and Kiefer, N.M., 2010 (March), The Bayesian approach to default risk: a guide, Working Paper,
U.S. Office of the Comptroller of the Currency and Cornell University, in Ed.: Klaus Boecker, Rethinking Risk
Measurement and Reporting Volume 2 (Risk Books, London), 319-343.
Bag, P., and Jacobs, Jr., M., 2012, Parsimonious modeling of exposure at default for contingent credit lines, The
Journal of Risk Finance, 13(1), January, 77-94.
Bag, P., and Jacobs, Jr., M., 2011, What do we know about exposure at default on contingent credit lines? – a survey
of the literature and empirical analysis, The Journal of Journal of Advanced Studies in Finance, 1:2(3), September,26-
Jacobs, Jr., M., and Karagozoglu, A, 2012, Rethinking recoveries, Creditflux, February, Vol. 168, pp. 14-15.
Inanoglu, H., Jacobs, Jr., M., and A.K., Karagozoglu, 2012, Empirical analysis of bank capital and new regulatory
requirements for risks in trading portfolios, Proceedings of the Forum for Economists International, Amsterdam, NV,
June 1-4, 117-145.
Frye, J., and Jacobs, Jr., M., 2013 (January), Credit loss and systematic LGD , in Ed.: Oliviero Roggi and Edward
Altman, Managing and Measuring Risk: Emerging Global Standards and Regulation After the Financial Crisis (World
Scientific Publishing Co. Pte. Ltd.,), Vol. 5, Ch. 11, pp. 307-339.
Inanoglu, H., Jacobs, Jr.,M., and A.K., Karagozoglu, 2014 (Spring), Empirical analysis of bank capital and new
regulatory requirements for risks in trading portfolios, Journal of Fixed Income, 23:4, 71-88.
Inanoglu, H., Jacobs, Jr., M., Liu, J, and R.C. Sickles, 2015 (Noevmber), Analyzing bank efficiency: Are “too-big-to-
fail” banks efficient?, in Ed.: Emmanuel E. Haven, Handbook of Post Crisis Financial Modelling (Palgrave Macmillan,
New York), Chapter 5, pp. 110-146.
Jacobs, M. and Parnes, D., 2015 (April), Risk Models for CMO with Credit Tranching, Working paper, in Ed.: J.
Austin Murphy, The Proceedings of the Third International Conference on Credit Analysis and Risk Management
(Cambridge Scholars Publishing, Cambridge), Chapter 6, pp. 194-199.
Published & Forthcoming
Jacobs, Jr., M., and Karagozoglu, A., Layish, D., 2016, Measuring credit risk: CDS spreads vs. credit ratings, The
Journal of Risk Finance, 17(2), 194-217.
Altengun, M., Jacobs, Jr., M., Klein L. and Merchant, A., 2017 (February), " The Future of Stress Testing: An
Integrated Framework Aligned to Risk Appetite", Accenture Consulting / Finance & Risk Services / Risk Model,
Methodologies & Analytics.
M., Jacobs, Jr., S., Kazmi, M., Klein, L. and S. Regan, 2018 (January), "Emerging Trends in the Validation of Machine
Learning and Artificial Intelligence Models", Accenture Consulting / Finance & Risk Services / Risk Model,
Methodologies & Analytics.