Michael Jacobs, Jr.

42 Abonné

Researcher and practitioner in economics and finance for 20 years. Recently interested in all aspects of risk management - stress testing, model risk, credit risk, risk aggregation, economic capital, model development and validation, prudential regulation (CCAR, Basel capital accord), markets (distressed debt), derivatives (structured products), financial distress and bankruptcy. Previously did work on RAROC and capital modelling, term structure and futures markets. Began career in quantitative equity research. Specialties: Credit Risk, Corprorate Credit Modeling, Distressed Debt, Basel II, Quanatitative Analysis, Econometric Methods, Computational Finance, Bayesian Methods.

credit risk basel iii market risk stress testing liquidity risk lgd ead basel ii basel ccar model risk basel iii dodd-frank financial crisis economic capital banking risk management. basel ii pd credit derivatives correlation trading derivatives risk management systemic risk dodd-frank fianncial crisis default risk loss given default carey and gordy geske frye basel 2 merton black and cox creditrisk fast fourrier transform

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Michael Jacobs, Jr.

Présentations

An Empirical Study of the Returns on Defaulted Debt and the Discount Rate for Loss-Given-Default

An Empirical Study of Exposure at Default

Understanding and Predicting Ultimate Loss-Given-Default on Bonds and Loans

Risk Aggregation Inanoglu Jacobs 6 09 V1

Val Econ Cap Mdls Risk Conf Jacobs 1 10 V1

Jacobs Kiefer Bayes Guide 3 10 V1

Bag Jacobs Ead Model Ccl Irmc 6 10

Lgd Model Jacobs 10 10 V2[1]

Jacobs Dofdd Frank&Basel3 Risk Nov11 11 8 11 V1

Jacobs Liquidty Risk Garp 2 16 12

Jacobs Mdl Rsk Par Crdt Der Risk Nov2011 V17 11 7 11

Jacobs Str Tst Crdt Prtfl Risk Mar2012 3 22 12 V20 Nomacr

Empirical Analysis of Bank Capital and New Regulatory Requirements for Risks in Trading Portfolios

Jacobs Dodd Frank&Basel3 July12 7 15 12 V16

Jacobs Reg Frmwrks Mkt Risk Presentation Julu12 7 15 12 V5

Jacobs stress testing_aug13_8-15-13_v4

Documents

Lgd Risk Resolved Bog And Occ