Personal Information
Entreprise/Lieu de travail
Greater New York City Area United States
Profession
Principal Director at Accenture
Secteur d’activité
Finance / Banking / Insurance
Site Web
http://www.michaeljacobsjr.com
À propos
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.
Mots-clés
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
Tout plus
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- Infographies