Michael Jacobs Research Website

Michael Jacobs

Jacobs Risk Advisory Services, Inc.:

Risk Modeling, Methodologies, and Analytics

Welcome to the My Home Page

This sight is dedicated to my research interests:

I am a quantitative practitioner and researcher in risk modeling and management. I am currently affiliated with P.N.C. Financial Services as a Lead Expert in Quantitative Modeling and Analytics in the Balance Sheet Analytics & Modeling Division - Model Development Group. I am a subject matter expert, advising bank stakeholders on risk modeling issues and prudential regulation, and I lead 1st line validation and quality assurance for model development. I also conduct independent research in finance and participate in industry thought leadership initiatives as a quantitative modeling expert. Currently, I am involved in various research projects and thought leadership in C.E.C.L., scenario generation, integrated stress testing, model risk, wholesale credit risk, operational risk, and asset price bubbles. Prior research spanned the economics of financial distress, building loan-level econometric models of Basel parameters (Loss Given Default, Exposure, and Probability of Default), studying returns on defaulted debt, calibrating capital models with systematic recovery risk to historical default and loss data, a generalized pair copula framework for risk aggregation, Bayesian modeling of credit risk and rating transitions, prediction of bankruptcy resolution and analysis of the determinants of financial distress. I also study various topics in finance, such as correlation forecasting and modeling of C.D.S. spreads. I hold a doctorate in business from the City University of New York in finance and am a Chartered Financial Analyst.

Jacobs Risk Advisory Services, Inc
Jacobs Risk Advisory Services, Inc

Topics that I am interested in include:

  • Economic capital modeling and aggregation
  • Statistical/econometric techniques, including machine learning and A.I.
  • Risk modeling methodologies and analytics
  • Credit derivatives and loan valuation

Our Gallery

Jacobs Risk Advisory Services, Inc

What's New

Current industry projects include wholesale credit model development (redevelopment of wholesale P.D. scorecard models and development of an internal credit risk capital model); model risk management and risk policy, leading 1st line model validation & quality assurance for model development; machine learning modeling for L.G.D. in partnership with Global Credit Data.

Current research includes analysis of modeling assumptions in the C.E.C.L. accounting standard; the impact of asset price bubbles on credit and liquidity risk quantification; scenario generation for stress testing incorporating heavy-tailed distributions through a regime-switching methodology; a framework for integrated stress testing that includes risk appetite and capital optimization.

Miscellaneous: Related Interests, Hobbies, etc.

I enjoy studying the history of economic and finance thought, recreational programming/development, an extensive music collection, and running in my spare time.

Reach Out To Us

Please feel free to contact me for more information.