Published & Forthcoming
- Jacobs, Jr., M., 2023, The quantification of model risk according to the principle of relative entropy with case studies, In Front Magazine, July, The Center for Financial Professionals (CeFPro).
- Jacobs, Jr., M., 2023, The detection of asset price bubbles in the cryptocurrency markets with an application to risk management and the measurement of model risk, International Journal of Economics and Finance 15(7): 46-67.
- Jacobs, Jr., M., 2023, Was there an asset price bubble in the cryptocurrency markets?, PRMIA Intelligent Risk, May.
- Jacobs, Jr., M., 2022, Borrower level models for stress testing corporate probability of default and the quantification of model risk, Journal of Risk Model Validation 15(3): 1-39.
- Jacobs, Jr., M., 2022, Borrower level models for stress testing corporate probability of default and the quantification of model risk, International Journal of Economics and Finance 14(4): 75-99.
- Jacobs, Jr., M., 2022, Validation of corporate probability of default models considering alternative use cases and the quantification of model risk, Data Science in Finance and Economics 2(1): 17-53.
- Jacobs, Jr., M, 2021, Validation of corporate probability of default models considering alternative use cases, International Journal of Financial Studies 9(63): 1-22.
- Jacobs, Jr., M, 2020, A holistic model validation framework for Current Expected Credit Loss (CECL) model development and implementation, The International Journal of Financial Studies 8(27), 1-36.
- Jacobs, Jr., M, 2020, The accuracy of alternative supervisory methodologies for the stress testing of credit risk, The Journal of Financial Engineering and Risk Management, 3(3), 254-296.
- Jacobs, Jr., M, 2019, An analysis of the impact of modeling assumptions in the current expected credit loss (CECL) framework on the provisioning for credit loss, The Journal of Risk and Control, 6(1), 65-114.
- Parnes D., and M. Jacobs, Jr., 2019, A generic stress testing framework with related economic and possible regulatory intervention, The Journal of Risk, 21(5), 1-24.
- Jacobs, Jr., M, 2019 (January), Machine Learning Models – Validation and the Stress Testing of Credit Risk, Risk Insights Magazine 10, 36-39.
- Jacobs, Jr., M, 2018 (December), The Current Expected Credit Loss (CECL) - Implications for Financial Institutions and an Analysis of the Impact of Modeling Assumptions, Risk Insights Magazine 9, 8-14.
- Jacobs, Jr., M, 2018 (October), The impact of the Current Expected Credit Loss (CECL) framework for the provisioning of credit losses on financial institutions, Intelligent Risk Magazine, 10-17.
- Araten, M. and Jacobs, Jr., M, 2001, Loan equivalents for defaulted revolving credits and advised lines, The Journal of the Risk Management Association, May, 34-39.
- Jacobs, Jr., M., and D. Parnes, 2018, A subordinated stochastic framework for supervisory stress testing, The Banking and Finance Review, 10(1), 1-18.
- Jacobs, Jr., M, 2018, The validation of machine learning models for the stress testing of credit risk, The Journal of Risk Management in Financial Institutions, 2 (3), 1-26.
- Jacobs, Jr., M., and F.J. Sensenbrenner, 2018, A comparison of methodologies in the stress testing of credit risk – alternative scenario and dependency constructs, Quantitative Finance & Economics, 2(2): 294-324.
- 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.
- Jacobs, Jr., M., 2017, Asset price bubbles and the quantification of credit risk capital with sensitivity analysis, empirical implementation and an application to stress testing, The Journal of Risk Model Validation, 11(4), 1–35.
- 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.
- Jacobs, Jr., M., 2017, A mixture of distributions model for the term structure of interest rates with an application to risk management, American Research Journal of Business and Management, 3(1), 1-17.
- Jacobs, Jr., M., Merchant, A. and L. Klein, (October), "Top Considerations in Wholesale Credit Loss with Comprehensive Capital Analysis and Review Model Development", Accenture Consulting / Finance & Risk Services / Risk Model, Methodologies & Analytics.
- Jacobs, Jr., M., 2016, Stress testing and a comparison of alternative methodologies for scenario generation, Journal of Applied Finance & Banking, 6(6), 123-156.
- Jacobs, Jr., M., Sharma, N.H., and P. Shaik, 2016 (July), "Comprehensive Capital Analysis and Review: Insights for Model Validation", Accenture Consulting / Finance & Risk Services / Risk Model, Methodologies & Analytics.
- Jacobs, Jr., M., Ryznar, M., and F.J. Sensenbrenner, 2016 (March), Implementing Dodd-Frank Stress testing, DePaul Business & Commercial Law Journal.
- 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.
- Gorrera, J., Jacobs, Jr., and L. Klein, 2016 (August), "CCAR Challenges Facing Capital Markets Players", Accenture Consulting / Finance & Risk Services / Risk Model, Methodologies & Analytics.
- Jacobs, Jr., M., 2016, The impact of asset price bubbles on liquidity risk measures from a financial institutions perspective, The International Journal of Bonds and Derivatives, 2 (2), 152-182.
- Jacobs, Jr., M., 2015, The impact of asset price bubbles on credit risk measures, The Journal of Financial Risk Management, 4, 251–266.
- Jacobs, Jr., M., Klein L. and Merchant, A., 2015 (September), "Emerging Trends in Model Risk Management", Accenture Consulting / Finance & Risk Services / Risk Model, Methodologies & Analytics.
- Jacobs, Jr., M., 2015, The quantification and aggregation of model risk: perspectives on potential approaches, The Journal of Financial Engineering and Risk Management, 2(2), 124–154.
- Jacobs, Jr., M., Karagozoglu, A.K. and F.J. Sensenbrenner, 2015, Stress Testing and Model Validation: Application of the Bayesian Approach to a Credit Risk Portfolio, The Journal of Risk Model Validation, 9(3), 41–70.
- 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.
- 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, Jr., Michael, 2015, Stress testing for credit risk portfolio: supervisory expectations and practices, in Ed.: Constantin Zopounidis, Quantitative Financial Risk Management: Theory and Practice (Wiley, London), Chapter10, pp. 273-295.
- Jacobs, Jr., Michael, 2015, Supervisory requirements and expectations for portfolio level counterparty credit risk measurement and management, in Ed.: Constantin Zopounidis, Quantitative Financial Risk Management: Theory and Practice (Wiley, London), Chapter2, pp. 22-45.)
- Jacobs, Jr., M., and Karagozoglu, A, 2014, On the characteristics of dynamic correlations between asset pairs, Research in International Business and Finance 32, 60-82.
- 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.
- Jacobs, Jr., Michael, 2014, Supervisory requirements and expectations for portfolio level counterparty credit risk measurement and management, Journal of Financial Regulation and Compliance, 22-3, 253-270.
- Jacobs, Jr., M., 2013, Stress testing credit risk portfolios, Journal of Financial Transformation, #37, pp. 53-75.
- 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, 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., 2012, Credit loss and systematic LGD, The Journal of Credit Risk, 8:1 (Spring), 109-140.
- Jacobs, Jr., M., and Karagozoglu, A, 2012, Rethinking recoveries, Creditflux, February, Vol. 168, pp. 14-15.
- 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., 2012, An empirical study of the returns on defaulted debt, Applied Financial Economics, 22:7 (Winter), 563-579.
- 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.
- Jacobs, Jr., M., 2011, An option theoretic model for ultimate loss-given-default with systematic recovery risk and stochastic returns on defaulted debt, Proceeding of the 2010 3rd Annual Joint Bank for International Settlements - World Bank - European Central Bank Public Investors Conference, BIS Paper No. 58 (October), pp. 257-285.
- Jacobs, Jr., M., and Karagozoglu, A, 2011, Modeling ultimate loss-given-default on corporate debt, The Journal of Fixed Income, 21:1 (Summer), 6-20.
- Jacobs, Jr., M., 2011, Empirical analysis and trading strategies for defaulted debt securities with models for risk and investment management, The Journal of Financial Transformation, 32 (August), 59-74.
- Jacobs, Jr., M., 2011, Analyzing the long-term performance of the defaulted debt market: implications for investors and risk managers, The International Review of Applied Financial Issues and Economics, 3:3 (Fall).
- 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- 46
- Jacobs, Jr., M., 2011, A two-factor structural model of ultimate loss-given-default: capital structure and calibration to corporate recovery data, The Journal of Financial Transformation 31, pp. 31-43.
- Jacobs, Jr., M., 2010, Validation of economic capital models: State of the practice, supervisory expectations and results from a bank study, Journal of Risk Management in Financial Institutions, Volume 3, Number 4, 334-365.
- 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.
- Jacobs, Jr., M., 2010, An empirical study of exposure at default, The Journal Advanced Studies in Finance, Volume 1, Number 1, 31-59.
- Inanoglu, H., and Jacobs, Jr., M., 2009, Models for risk aggregation and sensitivity analysis: An application to bank economic capital, Journal of Risk and Financial Management, Vol. 2 (Summer), 118-189.
- 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.
- 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. and Jacobs, Jr., M, 2001, Loan equivalents for defaulted revolving credits and advised lines, The Journal of the Risk Management Association, May, 34-39.
- Jacobs, Jr., M., and Onochie, J., 1998, A bivariate G.A.R.C.H.-in-Mean study of the relationship between return variability and trading volume in international futures markets, The Journal of Futures Markets, Vol. 18. No. 2.