Resume


P.N.C. Financial Services Group
Balance Sheet Analytics & Modeling – Model Development
340 Madison Avenue
New York, N.Y. - 10017
Office: 917-324-2098
Email: michael.jacobsjr@pnc.com

I have been a researcher and practitioner in economics and finance for 20 years, seeking a quantitative risk management position. I have recently focused on many aspects of risk management, including economic capital, model development, validation, risk aggregation, markets (distressed debt), derivatives (structured products), financial distress, and bankruptcy.

I previously did work in R.A.R.O.C. and economic capital modeling, term structure, and futures markets. I began my career in quantitative equity research. I bring expertise in model development, an understanding of banking supervision and the banking industry, technical acumen, and academic credibility. I am a high-energy problem solver who thrives in a fast-paced environment and is geared toward delivering solutions.

Relevant Experience

6/18-Present
P.N.C. Financial Services Group
New York, N.Y.
Financial Institution
Lead Quantitative Analytics & Modeling Expert
Balance Sheet Analytics & Modeling | Model Development | Wholesale Credit Risk Modeling Group

Lead subject matter expert in risk analytics, modeling, and methodology in P.N.C.'s Balance Sheet Analytics & Modeling (B.S.A.M.) Model Development group. Key responsibilities include:

  • Advise model development staff and stakeholders on model estimation techniques and methodologies, leveraging an industry view on best practices, across a wide span of model and risk types (wholesale and retail credit, operational risk)
  • Lead 1st line model validation initiatives (conceptual review: challenger models/methodologies, model testing and evaluation of assumptions; process verification & assessment of model implementation/execution) and serve as a lead liaison to independent model validation and other control functions
  • Serve as a lead subject matter advisor in supervisory affairs as they pertain to regulatory models (Basel, C.E.C.L., C.C.A.R.) and lead liaison to the supervisors (O.C.C., FRB)
  • Perform a liaison function to industry groups and academia to promote PNC APM Model Development as a center of excellence both internally and externally

6/15-6/18
Accenture Consulting
New York, N.Y.
Risk Management Advisory
Principal Director
Financial Advisory | Finance and Risk | Models, Methodologies and Analytics

Senior advisor to global financial institutions and practice leader in model risk management, development, and Validation across a range of risk and product types in Accenture Consulting's worldwide Finance and Risk Services division. Innovation/thought leadership strategist and subject matter expert in risk models, methodologies, and analytics in the financial services industry, focusing on the regulatory uses and implications of these solutions.

6/13-6/14

Director, Pricewaterhouse Coopers L.L.C., New York, N.Y., Financial Advisory / Risk and Regulation / Models and Methodologies.

Senior advisor to global financial institutions on model risk management, development, and validations across various risk types. Assist financial institutions with enterprise risk management, stress testing, credit risk, operational risk modeling, data and direction, and their response to changes in banking regulation, both domestically and internationally.

Apply deep expertise in building and validating stress-testing, P.P.N.R., economic capital, credit risk models, and a high level of knowledge in Risk I.T. infrastructure and data warehouse design. Publish thought leadership and academic literature in the intersection between financial engineering, forecasting, and regulation, and adept at working with senior management and stakeholders to drive complex solutions to regulatory requirements. Led large-scale teams to assist banks in meeting their stress-testing needs, focusing on loss forecasting, operational risk modeling, P.P.N.R. modeling, scenario-building, and capital planning. Demonstrate deep experience in enterprise risk and performance analysis and improvement. Performed enterprise risk assessments, portfolio risk analysis, economic capital implementations, and R.A.R.O.C. management infrastructure at over 30 banks and financial institutions. Lead teams embed risk analytics into enterprise data and portfolio offerings for risk monitoring and management, e.g., systemic risk, counterparty risk, and benchmarking analysis. Validate Basel II and I.C.A.A.P. reports and frameworks at multiple banks. Exhibit extremely deep knowledge of modeling analytics and reporting and using these analytics and model validation. Key projects include:

  • Assisted a large bank in the Northeast with resolving stress-testing M.R.A.s around modeling techniques and process, model governance, the BHC scenario, and its capital planning process, assisted with P.P.N.R. modeling and operational risk modeling, and advised on the capital plan, working with senior management to justify assumptions and final calculations, establish narratives, and clarify the stress-testing process for regulators
  • Assisted a regional bank in the Southeast with the first build of its entire stress-testing loss forecasting suite, leading the modeling team, educating senior management, advising on capital buffer calculations, and shepherding the models through model validation and a positive review by regulators;
  • For a fast-growing regional bank with international operations, built an operational risk stress testing model, assisted in stress scenario analysis for operational risk, built macroeconomic forecasting models, and advised on the capital plan;
  • Advised a C.C.A.R. bank on resolving an M.R.A. on inadequacies in their loss forecasting models; and
  • Led a large cross-functional team to assist in validating a C.C.A.R. institution's entire suite of stress testing and Basel models, working with different model development teams, helping to rewrite model governance policies and establish new standards for model documentation and model development processes based on regulatory requirements
  • Developed an analytic model that closely replicated Monte Carlo economic capital results as part of a pricing tool for the origination desk of a large international bank based in London
  • L.G.D. model development across wholesale loans for a large Canadian Bank and a large super-regional U.S. bank
  • R.A.R.O.C. model validation for a superregional U.S. bank
  • P.D. Scorecard approaches for Low Default Portfolios
  • Improving the Allowance for Loan and Lease Losses forecasting process at a large community bank, using credit cycle adjustments for dynamic updating of estimates
  • Architected a new Basel-compliant L.G.D. framework for a large regional bank in North America

6/12-6-14

Senior Risk Advisory Manager, Audit and Enterprise Risk Services, Deloitte and Touche L.L.P., New York, N.Y.

Senior advisor to banking clients in the United States risk modeling issues. Manage engagement teams and provide advisory services on risk modeling issues, specializing in quantitative techniques, credit risk, and regulation. Leverage broad risk management consulting skills across relevant areas such as credit, market, operational risk, and enterprise risk management. Provide engagement or task management, and select appropriate methodologies to play a substantive and leading role in client relationship and communication, attaining quality internal and external communication deliverables (including technical content of reports, proposals, etc.)  Demonstrate a high understanding of clients' business knowledge, industry, or functional specialty. Attain quality internal and external communication on deliverables, including technical content of reports, proposals, etc. Deliver services that meet Deloitte & Touches' engagement leader and client specifications. Participate in professional organizations, produce material for internal publications and participate in proposal development efforts. Evaluate, counsel, mentor, and provide feedback on the performance of others, assist in the retention of professionals, and experience/assist in training efforts. Play a substantive role in enhancing relationships with internal resources. Assist clients in counterparty credit risk measurement techniques, including counterparty ratings, probability of default, loss given default, exposure at default, current direction, potential exposure, potential future exposure, mark-to-future, collateral modeling, portfolio margining, and related concepts. Apply knowledge of relevant risk-based regulatory schemes, including SR-17, Basel II & III, Sarbanes-Oxley, F.I.D.I.C.I.A., and other key regulations. Implement risk assessment methodologies, infrastructure design, risk controls, and segregation of duties. Selected client engagement accomplishments include:

  • Development of a model risk management framework for all the Client's material models (Integrated Capital Stress Test, M.S.R. valuation, Fixed Income/Mortgage Pipeline interest rate hedging, A.L.M., ALLL)
  • Draft policies and procedures related to model risk governance, model validation and development, model risk appetite, model inventories, and designed model risk scorecards
  • Build out an Enterprise Risk Management (ERM) function through working closely with lines of businesses and I.T. to implement model risk controls, remediate validation findings and establish operating procedures for the interface between model owners and ERM
  • Compose model governance and validation sections of the Client's capital plan submitted in preparation for participating in the supervisory C.C.A.R. process
  • Model validation for Basel II (P.D., L.G.D., and E.A.D.), C.C.A.R. stressed migration and default model and ALLL Performed model replication, assumptions evaluation, development of benchmark models, sensitivity analysis, and testing of model output
  • Draft model development and validation documentation conforming to Basel II supervisory requirements and SR-17 model risk management guidance. Worked closely with the Client to establish a centralized model risk validation and management function through advising senior management and training staff.
  • Advise as a quantitative modeling expert in an assessment of the Client's framework for capital planning and stress testing through model development and Validation for operational risk, CRE / C&I, retail credit, operational risk, and P.P.N.R. models, as well as loss forecasting frameworks
  • Advise on I.C.A.A.P. and as a quantitative modeling expert in a comprehensive gap assessment of the Bank's framework for capital planning and stress testing

6/05-6/12

Senior Financial Economist Credit Modeling Group / Risk Analysis Division / International Policy and Economics Affairs, The Office of the Comptroller of the Currency, Washington, D.C.

Duties: Senior consultant to national bank examiners on credit risk modeling issues and credit markets. Independent quantitative researcher performing statistical analysis and econometric modeling of credit risk. Publish studies in the domain of empirical and structural credit modeling. Conduct independent research in capital allocation, loss given default, probability of default, rating transitions, resolution of financial distress, quantitative methods, model parameterization, structured products, credit derivatives, and regulatory issues (Basel II). Publish in academic and practitioner journals, including several in the Journal Risk Management in Financial Institutions (the official Journal of PRMIA.), present at academic and practitioner venues. Participate as a credit risk modeling expert in examinations of nationally chartered banks, providing consultation on issues related to the design and Validation of credit risk models, rendering judgments and making recommendations regarding the Bank's approaches to the modeling of credit risk, thereby contributing to the soundness of the banking system. Involvement in projects related to policy development and guidance for the new Basel capital framework, including the Accord Implementation Group Validation Subcommittee (A.I.G.V.) Research Task Force (RTF) of the Bank for International Settlements (BIS) on vendor models, contributing to a library of model documentation, as a specialist in estimation methodology and model validation. Serve as credit risk modeling advisor and O.C.C. representative to the inter-agency Basel II Wholesale Qualification Team. Liaison with academic and industry credit communities through attendance and presentations at seminars.

6/00-6/05

Vice-President

Applied Research Group / Risk Methodology / Risk Management Services, J.P. Morgan Chase and Co., New York, N.Y.

Duties: Quantitative researcher performing statistical analysis and econometric modeling of credit risk. Lead empirical research for wholesale credit risk methodology. Conducted empirical development and Validation of Models for Loss Severity, Loan Equivalent Exposure, Expected Default Frequency as well as reserve adequacy for the wholesale loan portfolio studies using J.P. Morgan Chase's internal data and consortium sources for internal credit risk models (the Proprietary Credit Capital Model, Default Prediction Meta-Model) and Basel II. Validation of internal models (the risk rating system, loss severity prediction model). Worked with lines of business to develop credit risk management solutions and tools (e.g., loss severity forecasting for the Workout Group, a facility rating tool for the commercial bank, a bank rating template for the Financial Institutions group.)  Publish internal and external studies on historical research in internally estimated risk parameters supporting Basel II requirements, having several publications in the Journal of the Risk Management Association. Interact with Risk Management Technology groups in designing both back & front-end capabilities for the Bank's in-house models. Contribute to the plans to integrate credit and market portfolio management systems, mark-to-market the loan portfolio, and model credit risk arising from derivatives exposures.

2/98-6/00

Assistant Vice-President

Credit Portfolio Management Group, Sumitomo-Mitsui Banking Corporation, New York, N.Y.

Duties: Participate as a portfolio analyst, quantifying exposure and profitability for all global business units, industries, and product lines. Worked with the Planning Department and Credit, helping develop analytical tools for this function. In particular: determine risk concentrations by risk grade, industry, and sector; studies on the history of the banks' exposure; analyze public data on defaults, ratings, and interest rate spreads; review portfolio management and pricing models in the process of developing an exposure management system; participate in the formulation of provision and capital allocation methodology in the context of early warning credit deterioration models; provide analytical support and participate in the sections reviews done in New York throughout North America, London, Hong Kong, and Brazil.

6/95-6/99

Instructor

Department of Economics and Finance, Baruch College, New York, N.Y.

Duties: Academic research in financial economics. Lectured in undergraduate econometrics, microeconomics, macroeconomics, and finance (corporation and introductory). Prepared and graded examinations and student projects.

3/91-9/92

Junior Research Analyst

Research Department, Value Line, Inc., New York, N.Y.

Duties: Fundamental and technical equity research. Analyzed S.E.C. documents and company financial statements. Forecasted earnings, dividends, and financial performance measures. Wrote for the Value Line Investment Survey weekly. Concentrated on banking, economic, and insurance stocks.

Professional Certification

Chartered Financial Analyst, Granted by the CFA™ Institute, September 2003

Education:

9/94-6/01
Ph.D. in Finance, June 2001
M.Ph. in Business, May 1997
Graduate School and University Center of the City University of New York, Program in Economics and Finance
Major Fields: Derivative Asset Pricing and the Econometrics of Financial Markets

9/92-5/94
M.A. in Economics, May 1994
The State University of New York at Stony Brook
Major Fields: Applied Econometrics and Economic Demography
Advanced to Ph.D. Candidacy

09/86-5/90
B.S. in Engineering Science, December 1990
The State University of New York at Stony Brook, School of Engineering and the Applied Sciences
Major: Applied Mathematics & Statistics
Minors: Operations Research and Economics
Graduated Cum Laude

09/82-6/86
Regents Diploma, June 1986
Stuyvesant High School, N.Y.C.

Publications And Forthcoming

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 (C.E.C.L.) 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 (C.E.C.L.) framework on the provisioning for credit loss, The Journal ofRisk 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), 29-52.

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 (C.E.C.L.) – 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 (C.E.C.L.) framework for the provisioning of credit losses on financial institutions, Intelligent Risk Magazine, 10-17.

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.11(3), 1-26.

Jacobs, Jr., M., and F.J. Sensenbrenner, 2018, Methodologies for scenario generation and dependency structures in the stress testing of credit risk, Quantitative Finance & Economics, 2 (2), 294–324.

Jacobs, Jr., M., Kazmi, S., 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 A. Merchant, 2017 (February), "The Future of Stress Testing: An Integrated Framework Aligned to Risk Appetite," Accenture Consulting /

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, 2016 (October), "Top Considerations in Wholesale Credit Loss with Comprehensive Capital Analysis and Review Model Development," Accenture Consulting / Finance; Risk Services / Risk Models, 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 Models, Methodologies & Analytics.

Jacobs, Jr., M., Ryznar, M., and F.J. Sensenbrenner, 2016 (April), Implementing Dodd-Frank stress testing, DePaul Business Commercial Law Journal, Forthcoming.

Jacobs, Jr., M., and Karagozoglu, A., Layish, D., 2016, Measuring credit risk: C.D.S. spreads vs. credit ratings, The Journal of Risk Finance, 17(2), 194-217.

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 Models, 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 (August), Stress Testing and Model Validation:

Application of the Bayesian Approach to a Credit Risk Portfolio, Forthcoming, The Journal of Risk Model Validation, September 2015.

Jacobs, M., and Parnes, D., 2015 (April), Risk Models for C.M.O. 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 (March), 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).

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), Chapter 2, 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. http://michaeljacobsjr.com/JacobsKaragozoglu_Correlation_RIBF_no32_2014_pp60-82.pdf

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. http://www.iijournals.com/doi/abs/10.3905/jfi.2014.23.4.071#

Jacobs, Jr., Michael, 2014, Stress testing for credit risk portfolio: supervisory expectations and practices, in Ed.: Constantin Zopounidis, Quantitative Financial Risk Management: Theory and Practice (Wiley, London), Forthcoming.

Jacobs, Jr., Michael, 2014, 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), Forthcoming.

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. http://michaeljacobsjr.com/Jacobs_RegulatoryCCR_JFRC_Nov2013_Proof.pdf

Jacobs, Jr., Michael, 2013 (March), Stress testing credit risk portfolios, Journal of Financial Transformation 37 (April), 53-75.

Jacobs, Jr., M., 2013, An empirical analysis of exposure at default for unfunded loan commitments, The F.S.R. Forum of the University of Rotterdam, 15:3 (April), 14-20.

Frye, J., and Jacobs, Jr., M., 2013 (January), Credit loss and systematic L.G.D., Working Paper, Deloitte & Touche L.L.P. of the Chicago Federal Reserve Bank, 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., London) http://michaeljacobsjr.com/FryeJacobs_2012_CrdtRiskSysLGD_MeasMngCrdtRsk_Ch11_Vol5_pp307-339.pdf

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 L.G.D., The Journal of Credit Risk, 8:1 (Spring), 109-140.    Jacobs, Jr., M., and Karagozoglu, A, 2012, Rethinking recovery, Creditflux, #168 (February), 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., 2012, 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. http://www.bis.org/author/michael_jacobs.htm

Jacobs, Jr., M., and Karagozoglu, A, 2011, Modeling ultimate loss have 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 risk and investment management models, 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 Advanced Studies in Finance, 2: 2 (Summer), pp. 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 (April), 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, 3:4 (September), 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 (Risk Books, London).

Jacobs, Jr., M., 2010, An empirical study of exposure at default, The Journal Advanced Studies in Finance, Volume 1, Number 1 (Summer).

Inanoglu, H., and Jacobs, Jr., M., 2009, Models for risk aggregation and sensitivity analysis: An application to bank economic capital, The Journal of Risk and Financial Management 2, 118-189.

Araten, M., Jacobs, Jr., M., P. Varshney, and Pellegrino, C.R., 2004, An internal rating migration study, The Journal of the Risk Management Association, April, 92-97.

Araten, M., Jacobs, Jr., and Varshney, P., 2004, Measuring L.G.D. 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.

Presentations And Training Seminars

Meeting, New York, N.Y., November 11, 2013. http://www.youtube.com/watch?v=ymTKcS3fsY0

Jacobs, Michael, "U.S. Regulatory Stress Testing: Implications for Large Banks," Annual Meeting of the American Institute of Certified Public Accountants, Washington, DC, September 26, 2013.

Jacobs, Michael, "Framework and Modeling Methodology: Loss Forecasting for Stress Testing," Key Bank Stress Testing and C.C.A.R. Symposium, Cleveland, OH, April 26, 2013.

Hulusi Inanoglu, Michael Jacobs Jr., Jurong Liu, and Robin C. Sickles," Analyzing Bank Efficiency: Are "too-big-to-fail" Banks Efficient?", Financial Management Association Annual Meeting, Atlanta, GA, October 20th, 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 (online at http://www.youtube.com/watch?v=_Jk9klmR_Is&feature=youtu.be).

Hulusi Inanoglu, Michael Jacobs Jr., Jurong Liu, and Robin C. Sickles," Analyzing Bank Efficiency: Are "too-big-to-fail" Banks Efficient?", Measuring Economic Performance, Loughborough University, U.K., March 22, 2012 (online at http://michaeljacobsjr.com/InanogluJacobsLiuSickles_BankEfficiency_2012Mar_3-14-12.ppt).

Jacobs, Michael, "Stress Testing Credit Risk Portfolios," Risk-Incisive Media Training Conference:

Credit Risk Management, New York, NY, March 20, 2012 (online at http://www.youtube.com/watch?v=6R04roIbyQQ&context=C4f03cbeADvjVQa1PpcFNdqbhkU6pCdaJZlm3IDmlNQAIZgDSLLc= or Jacobs_StrTstCrdtPrtfl_Risk_Mar2012_3-22-12_V21.pdf).

Jacobs, Michael, "Regulatory Requirements and Expectations for Portfolio Level Counterparty Risk Management," Professional Risk Management International Association and C.I.R.A.N.O. Institute Risk Practitioners' Luncheon, Montreal, Canada, February 9, 2012(online at http://www.youtube.com/watch?v=W6VKtPayJ2Y&context=C4eee273ADvjVQa1PpcFNdqb-hkU6pCQYucMVUssvI-nxJH10Ybzs=).

Jacobs, M. (2012), " Models for risk aggregation and sensitivity analysis:  an application to bank economic capital, "in Kreuser, J.L. (ed.), Risk Management for Sovereign Institutions, The Marketing & Management Collection, Henry Stewart Talks Ltd, London (online at http://hstalks.com/?t=MM1453087- Jacobs or http://www.youtube.com/watch?v=SvrNgxNBVBM&context=C462fb13ADvjVQa1PpcFNdqbhkU6pCZ3CKkqtO9XVOLhA9cougCM=  or http://michaeljacobsjr.com/RiskAggregation_Jacobs_HenryStewart_1-12.pdf).

Jacobs, M. (2012), "Quantitative measurement and management of liquidity risk in a banking context," in Kreuser, J.L. (ed.), Risk Management for Sovereign Institutions, The Marketing & Management Collection, Henry Stewart Talks Ltd, London (online at http://michaeljacobsjr.com/Jacobs_LiquidtyRisk_HenryStewart_1-12.pdf)

Jacobs, Jr., M., "Quantitative Measurement and Management of Liquidity Risk in a Banking Context," Global Association of Risk Professionals Annual Meeting, New York, N.Y., February 15, 2010 (online at http://www.youtube.com/watch?v=fqCArCKHrA&context=C4473a35ADvjVQa1PpcFNdqb-hkU6pCUWVXpF2XM7Qg0lwL_tkBnU=).

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 (online at http://www.youtube.com/watch?v=DEf47gapyqk&feature=plcp&context=C447f395VDvjVQa1PpcFNdqb-hkU6pCb4Mu2B5km04b4uGtEDimdA%3D ).

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, "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, 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.

Jon Frye and Michael Jacobs, Jr., "The Relation Between Defaults and Losses," First International Conference on Credit Analysis and Risk Management, Oakland University, Auburn Hills, MI, July 22, 2011.

Jon Frye and Michael Jacobs, Jr., "The Relation Between Defaults and Losses," 4th International Risk Management Conference: New Dimensions in Risk Management, Amsterdam, NV, June 15, 2011.

Michael Jacobs, Jr., "The L.G.D. 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.

Jon Frye and Michael Jacobs, Jr., "The Relation Between Defaults and Losses," Federal Interagency Risk Quantification Forum, U.S. Office of the Comptroller of the Currency, Washington DC, June 2, 2011.

Jacobs, Michael, "Design of Economic Capital Models," Risk-Incisive Media Training Conference: Measuring and Managing Risk in Credit Portfolio, New York, NY, March 28-29, 2011.

Jacobs, Michael, and Jon Frye, "L.G.D. Risk Resolved," Board of Governors of the Federal Reserve System Seminar, 10-23-10.

Jon Frye and Michael Jacobs, Jr., "Adjusting for L.G.D.," Federal Interagency Risk Quantification Forum, Federal Deposit Insurance Corporation, Washington DC, March 2010.

Jacobs, Michael, and Jon Frye, "The Robust Approach to Downturn L.G.D.," Boston Federal Reserve Seminar, 11-22-10.

Jacobs, Michael, and Jon Frye, "L.G.D. Risk Reconciled," Chicago Federal Reserve Quantitative Congress, 10-29-10.

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., "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.

Jacobs, Jr., M., "Quantitative Measurement and Management of Liquidity Risk in a Banking Context," Professional Risk Management International Association and C.I.R.A.N.O. Institute Risk Practitioners' Luncheon, Montreal, Canada, October 2010.

Michael Jacobs and Nick Kiefer, "The Bayesian Approach to Default Risk Analysis and the Prediction of Default Rates," American University Info-metrics Conference, Washington, DC, 9-24-10.

Hulusi Inanoglu and Michael Jacobs Jr.," Analyzing Bank Efficiency: Are "too-big-to-fail" Banks Efficient?", North American Productivity Workshop VI, Rice University, Houston, Texas (June 2-June 5, 2010).

Pinaki Bag and Michael Jacobs Jr., "An Exposure at Default Model for Contingent Credit Lines," N.Y.U. Stern School of Business International Risk Management Conference, Florence, Italy, 6-10.

Jon Frye and Michael Jacobs, Jr., "Adjusting for L.G.D.," Interagency Risk Quantification Forum, Washington DC, March 2010.

Michael Jacobs, Jr.," 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.

Michael Jacobs, Jr. and Ahmet K. Karagozoglu, "Measuring credit risk: C.D.S. spreads vs. credit ratings, "XLIII Meeting of the Euro Working Group in Financial Modeling, Costa Rica, January 2010.

Michael Jacobs, Jr. and Ahmet K. Karagozoglu, "Modeling the Time-Varying Dynamics of Correlations: Applications for Forecasting and Risk Management," Financial Management Association Annual Meeting, Reno, Nevada, November 2009.

Michael Jacobs, Jr., "A Generalized Model for Risk Aggregation in a Pair-Copula Framework with an Application to Bank Economic Capital," Professional Risk Management International Association and C.I.R.A.N.O. Institute Risk Practitioners' Luncheon, Montreal, Canada, November 2009.

Michael Jacobs, Jr., "An Empirical Study of the Returns on Defaulted Debt and the Discount Rate for Loss-Given-Default," Basel Committee in Banking Supervision "Challenges in Banking Research," Madrid, Spain, May 2009.

Michael Jacobs, Jr., "An Empirical Study of the Returns on Defaulted Debt and the Discount Rate for Loss-Given-Default," Meeting of the European Financial Management Association, Turin, Italy, June 2009

Michael Jacobs, Jr., "An Empirical Study of Exposure at Default," Interagency Risk Quantification Forum, Philadelphia, PA, November 2008.

Michael Jacobs, Jr., "An Empirical Study of Exposure at Default," Moody's K.M.V. Credit Practitioners Conference, Chicago, IL, September 2008.

Michael Jacobs, Jr., Dina Layish and Ahmet K. Karagozoglu, "Understanding and Predicting the Resolution of Financial Distress," N.Y.U. Stern School of Business "Risk Management Conference 2008: 40 Years After the Altman Z-Score", Florence, Italy, June 2008.

Michael Jacobs, Jr. and Ahmet K. 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.

Michael Jacobs, Jr., "Theoretical Modeling of Ultimate Loss-Give-Default: Undiversifiable Recovery Risk and Downturn Effects," U.S. Office of the Comptroller of the Currency Risk Analysis Division Seminar, February 2008.

Michael Jacobs, Jr., "Understanding and Predicting Ultimate Loss Given Default on Bonds and Loans," Financial Management Association Annual Meeting, Orlando, FL, October 2007.

Michael Jacobs, Jr., "Construction and Validation of Econometric Models for Ultimate L.G.D. on Bonds and Loans," Interagency Risk Quantification Forum Meeting, Washington DC, October 2007.

Michael Jacobs, Jr., "Exposure at Default: Estimation for Wholesale Exposures," Accord Implementation Group Validation Subgroup Meeting, Washington DC, May 2007.

Michael Jacobs, Jr. and Kishore Tandon, "Term Structure of Interest Rate Models: International Empirical Evidence," Financial Management Association Annual Meeting, Toronto, October 2001.

Other Miscellaneous Papers

Araten, M., Jacobs, Jr., M., and Peeyush Varshney, Default Rates for Borrowers Rated 8 & 9, JP Morgan Chase Memorandum, Risk Capital and Research Group. March 2002.

Araten, M. and Jacobs, Jr., M, Analysis of Charge-offs for Reserve Adequacy, JP Morgan Chase Memorandum, Risk Capital and Research Group. November 2001.

Jacobs, Jr., Michael, Sumitomo Bank. The Return on Risk-Adjusted Capital Model for the Wholesale Bank, Credit and Portfolio Management Review Group, Special Review Report FY98-#10.

Jacobs, Jr., Michael, Sumitomo Bank Capital Markets Credit Risk Simulation Model: Analysis and Commentary, Credit and Portfolio Management Review Group, Addendum to Portfolio and Credit Review Report FY98-#7.

Jacobs, Jr., Michael, The Impact of the Asian Crisis on the Japanese Corporate Department Credits, Credit and Portfolio Management Review Group, Special Review Report FY98-#19.

Professional Organizations

CFA™ Institute

Professional Risk Management International Association (P.R.M.I.A.)

American Finance Association (A.F.A.)

Financial Management Association (A.M.A.)

International Association of Financial Engineers (I.A.F.E.)

Fixed Income Analysts Society International (F.I.A.S.I.)

American Economic Association (A.E.A.)

Risk Management Association (R.M.A.)

Computer Languages And Applications

Development: Visual C++, Visual Basic for Applications.
Mathematical / Scientific / Statistical: R, S-Plus, Mathematica, Matlab Miscellaneous: V.B. for Excel & Access

References

Dr. Michel Araten, Ph.D.
Managing Director - Retired
J.P. Morgan Chase
270 Park Avenue
New York, N.Y.
Email: aaraten@jaol.com

Dr. Jon Frye, Ph.D.
Senior Economist
Federal Reserve Bank of Chicago
230 South LaSalle Street
Chicago IL 60604
Office: 312-322-5035
Cellular: 630-306-4938
Email: jon.frye@chi.frb.org

David Keisman
Senior Vice-President
Moody's Analytics
7 World Trade Center
New York, NY 10007
Office: 212-553-1487
Cellular: 917-405-8191
Email: david.keisman@moodys.com

Dr. Kishore Tandon, Ph.D.
Chairman, Bert W. Wasserman Department of Economics and Finance
Zicklin School of Business, Baruch College, CUNY
55 Lexington Avenue
1 Bernard Baruch Way, Box 10-225
New York, NY  10010
Office: 646-312-3468
Cellular: 732-261-0161
Email: ktandon50@yahoo.com

Dr. Donald R. van Deventer, Ph.D.
Chairman and Chief Executive Officer Kamakura Corporation
2222 Kalakaua Avenue, Suite 1400
Honolulu, Hawaii 96815
Office: 1-808-791-9888, extension 8888
Email: dvandeventer@kamakuraco.com

Steve Bennett
Executive Director
Pan-European Credit Data Consortium
Office: 203-424-1053
Email: steve.bennett@pecdc.org

Dr. Ahmet Karagozoglu, Ph.D.
Professor of Finance
Hofstra University
Hempstead, N.Y.
Office: 917-698-4874
Email: akaragozoglu@gmail.com