Presentations and Training Seminars
- Jacobs, Jr., Michael, "The Quantification of Model Risk According to the Principle of Relative Entropy with Case Studies", The Center for Financial Professionals (CefPro) Risk Americas 2023 Conference, New York City, May 25th, 2023.
- Jacobs, Jr., Michael, "The Detection of Asset Price Bubbles in the Cryptocurrency Markets with an Application to Risk Management and the Measurement of Model Risk", The Center for Financial Professionals (CefPro) Advanced Model Risk Americas 2023 Conference, New York City, March 23rd, 2023.
- Jacobs, Jr., Michael, "Borrower Level Models for Stress Testing Corporate Probability of Default and the Quantification of Model Risk", Marcus Evans / GMFI Credit Risk Modeling, New York, N.Y., January 24th, 2023.
- Jacobs, Jr., Michael, "Borrower Level Models for Stress Testing Corporate Probability of Default and the Quantification of Model Risk", 2022 CEMLA Conference: New Advances in International Finance, Annual Event of Finance Research Letters, Mexico City, April 22nd, 2022.
- Jacobs, Jr., Michael, "Model Validation Methodologies for Corporate Probability of Default Modeling Considering Alternative Use Cases and the Quantification of Model Risk", The Center for Financial Professionals (CEFPRO), Risk Americas 2021 Conference, New York City, May 25th, 2021.
- Jacobs, Jr., Michael, "A Holistic Model Validation Framework for CECL Model Development and Implementation", The Center for Financial Professionals (CEFPRO) 5th Edition CECL Forum 2019, New York City, November 8th, 2019.
- Jacobs, Jr., Michael, "The Validation of Machine Learning Models for the Stress Testing of Credit Risk ", Philadelphia Federal Reserve Artificial Intelligence / Machine Learning Seminar, April 2019.
- Jacobs, Jr., Michael, "The Impact of Modeling Assumptions in the Current Expected Credit Loss (CECL) Framework on the Provisioning for Credit Loss ", The Center for Financial Professionals (CEFPRO) CECL 2018 Conference, N.Y.C., October 25th, 2018.
- Jacobs, Jr., Michael, " The Impact of Model Rationalization on Model Governance ", Accenture Consulting / Finance & Risk Services / Risk Model, Methodologies & Analytics, GFMI 9th Edition Model Risk Conference, San Francisco, CA, January 31st, 2017.
- Jacobs, Jr., Michael, "Issues in CECL / IRFS9 Implementation", Webinar, Accenture Consulting and Finastra, New York, NY, March 7th, 2018.
- Jacobs, Jr., "Emerging Trends in Model Risk Management", Accenture Consulting / Finance & Risk Services / Risk Model, Methodologies & Analytics, December 2015.
- Jacobs, Michael, “Capital Management and CCAR: Regulatory Expectations and Industry Practices”, Hofstra University G.A.R.P. Chapter Meeting, New York, N.Y., December 3, 2014.
- Jacobs and Tandon, Term Structure of Interest Rate Models - International Empirical Evidence, FMA, 2001
- Jacobs, "Understanding and Predicting Ultimate Loss Given Default on Bonds and Loans", Financial Management Association Annual Meeting, October 2007
- Jacobs, "Construction and Validation of Econometric Models for Ultimate LGD on Bonds and Loans", OCC Quantitative Risk Forum Meeting, Washington DC, October 2007
- Jacobs, "Exposure at Default: Estimation for Wholesale Exposures", Accord Implementation Group Validation Subgroup Meeting, Washington DC, May 2007
- Jacobs, "Theoretical Modeling of Ultimate Loss-Give-Default: Undiversifiable Recovery Risk and Downturn Effects", OCC Seminar: Credit Risk Modelling Discussion Group, February2008
- Jacobs, "An Empirical Study of Exposure at Default", Moody's KMV Credit Practitioners Conference, Chicago, IL, September 2008
- Jacobs, Layish and Karagozoglu, "Understanding and Predicting the Resolution of Financial Distress", Risk Management Conference 2008: 40 Years After the Altman Z-Score, Florence, Italy, June 2008
- Jacobs and Karagozoglu, "Modeling the Time Varying Dynamics of Correlations: Applications for Forecasting and Risk Management", XLII meeting of the Euro Working Group in Financial Modeling,Stockholm,Sweden, May 17, 2008
- Jacobs, "An Empirical Study of Exposure at Default", 2009 Inter-agency Risk Quantification Forum, Philadelphia Federal Reserve Bank, Philadelphia, PA, October 2009
- Jacobs, "An Empirical Study of the Returns on Defaulted Debt and the Discount Rate for Loss-Given-Default", OCC Credit Risk Analysis Division Seminar Series, Washington, DC, December 2008
- Jacobs and Karagozoglu, "Models for Risk Aggregation and Sensitivity Analysis: An Application to Bank Economic Capital", European FMA Annual Meeting, Turin, Italy, June 2009
- Jacobs, “Models for Risk Aggregation and Sensitivity Analysis: An Application to Bank Economic Capital”, PRMIA-CIRANO Luncheon, Montreal, November 2009.
- Jacobs, “Validation of Economic Capital Models: State of the Practice, Supervisory Expectations and Results from a Bank Study”, Risk-Incisive Media Training Conference “Economic Capital Modeling”, New York, NY, February, 2010.
- Pinaki Bag and Michael Jacobs Jr., “An Exposure at Default Model for Contingent Credit Lines”, NYU Stern School of Business International Risk Management Conference, Florence, Italy, 6-10.
- Hulusi Inanoglu, Michael Jacobs Jr. and Robin C. Sickles,” Analyzing Bank Efficiency: Are “too-big-to-fail” Banks Efficient?”, North American Productivity Workshop VI, Rice University, Houston, Texas (June 2-June 5, 2010).
- Jon Frye and Michael Jacobs, Jr., “Adjusting for LGD”, Interagency Risk Quantification Forum, Washington DC, March 2010.
- Jacobs, Jr., M., and Kiefer, N.M., "The Bayesian Approach to Default Risk: A Guide", Info-Metrics Conference, American University, Washington, D.C., September 24-25, 2010
- Jacobs, Jr., M., "LGD Quantification", Wholesale IRB Training, U.S. Office of the Comptroller of the Currency, Washington, D.C., September 29, 2010
- Jacobs, Jr., M., "An option theoretic model for ultimate loss-given-default with systematic recovery risk and stochastic returns on defaulted debt", 3rd Bank for International Settlement, World Bank and European Central Bank Public Investors Conference, Basel, Switzerland,11-3-10.
- Jacobs, Jr., M., "Quantitative Measurement and Management of Liquidity Risk in a Banking Context",PRMIA/CIRANO Risk Practitioners Luncheon, Montreal, Canada, 10/26/10.
- Jacobs, Jr., M., "An option theoretic model for ultimate loss-given-default with systematic recovery risk and stochastic returns on defaulted debt", 69th Annual Meeting of the International Atlantic Economic Society, Charleston, SC, 10-12-10.
- Jon Frye and Michael Jacobs, Jr., “LGD Risk Resolved”, Chicago Federal Reserve Quantitative Congress, 10-29-10.
- Jon Frye and Michael Jacobs, Jr., “LGD Risk Resolved”, Federal Reserve Board of Governors, Washington, DC,11-23-10.
- Jon Frye and Michael Jacobs, Jr., “The Robust Approach to Downturn LGD”, Boston Federal Reserve Seminar, Boston, MA, 11-22-10.
- Jon Frye and Michael Jacobs, Jr., “LGD Risk Reconciled”, Chicago Federal Reserve Quantitative Congress, Chicago, IL, 10-29-10.
- Jon Frye and Michael Jacobs, Jr., “The Relation between Defaults and Losses”, 3rd International Risk Management Conference, VU University, Amsterdam, NV, 6-17-11.
- Jacobs, “Design of Economic Capital Models”, Risk-Incisive Media Training Conference: Measuring and Managing Risk in Credit Portfolio”, New York, NY, March 28-29, 2011.
- Jon Frye and Michael Jacobs, Jr., “The Relation Between Defaults and Losses”, First International Conference on Credit Analysis and Risk Management, Oakland University, Auborn Hills, MI, July, 22, 2011.
- Michael Jacobs, Jr., “The LGD Discount Rate for Basel II IRB Quantification: Requirements, Theory, Bank Practice and Evidence”, Federal Interagency Risk Quantification Forum, U.S. Office of the Comptroller of the Currency, Washington DC, June, 3, 2011.
- Jacobs, Michael, “Risk Parameter Modeling for Credit Derivatives”, Risk-Incisive Media Training Conference: Managing Counterparty Risk in Volatile Markets, New York, NY, November 10-11, 2011.
- Jacobs, Michael, “Dodd-Frank and Basel III: Post-Financial Crisis Developments and New Expectations in Regulatory Capital”, Pace University-Global Association of Risk Professionals, New York, NY, November 11, 2011.
- Jacobs, Michael, “Regulatory Requirements and Expectations for Portfolio Level Counterparty Risk Management”, Risk- Incisive Media Training Conference: Managing Counterparty Risk in Volatile Markets, New York, NY, November 10-11, 2011.
- Michael Jacobs, Jr., "Parsimonious Exposure-at-Default Modeling for Unfunded Loan Commitments", Financial Management Association Annual Meeting, Denver, CO, October 2011.
- Michael Jacobs, Jr., " Analyzing the Long-Term Performance of the Defaulted Debt Market: Implications for Investors and Risk Managers", Financial Management Association Annual Meeting, Denver, CO, October 2011.
- Jacobs, Jr., M., “Quantitative Measurement and Management of Liquidity Risk in a Banking Context”, Henry Stewart Series: Risk Management for Sovereign Institutions, January 2012.
- Jacobs, Jr., M., “Models for Risk Aggregation and Sensitivity Analysis: An Application to Bank Economic Capital”, Henry Stewart Series: Risk Management for Sovereign Institutions, January 2012.
- Jacobs, Michael, “Regulatory Requirements and Expectations for Portfolio Level Counterparty Risk Management”, Professional Risk Management International Association Institute Risk Practitioners’ Luncheon, Montreal, Canada, February 9, 2012.
- Jacobs, Michael, “Stress Testing Credit Risk Portfolios”, Risk-Incisive Media Training Conference: Credit Risk Management, New York, NY, March 19th, 2012.
- Hulusi Inanoglu, Michael Jacobs Jr. and Robin C. Sickles,” Analyzing Bank Efficiency: Are “too-big-to-fail” Banks Efficient?”, Measuring Economic Performance, Loughborough University, UK (March 22nd, 2012).
- Inanoglu, H., Jacobs, Jr., and A.K., Karagozoglu, “Empirical analysis of bank capital and new regulatory requirements for risks in trading portfolios”, International Risk Management Conference 2012: Global Standards for Risk Measurement, Rome, June 18-19.
- Jacobs, Michael, “US Regulatory Stress Testing: Implications for Large Banks”, Pace University G.A.R.P. Chapter Meeting, New York, N.Y., November 11, 2013.
- Jacobs, Michael, “Framework and Modeling Methodology: Loss Forecasting for Stress Testing”, Key Bank Stress Testing and CCAR Symposium, Cleveland, OH, April 26, 2013.
- Jacobs, Michael, “US Regulatory Stress Testing: Implications for Large Banks”, Annual Meeting of the American Institute of Certified Public Accountants, Washington, DC, September 26, 2013.
- Jacobs, Michael, “US Regulatory Stress Testing: Implications for Large Banks”, PRMIA 3rd Banking Ebvent, Edmunton, Canada, February 26, 2014.