Senior Financial Economist

Michael Jacobs is a Senior Financial Economist in the Credit Risk Analysis Division of the Office of the Comptroller of the Currency (OCC).

Published Works

"Analyzing the Long-Term Performance of the Defaulted Debt Market: Implications for Investors and Risk Managers," The Journal of Risk and Financial Management, December, 2010.

"A Two-Factor Structural Model of Ultimate Loss-Given-Default: Capital Structure and Calibration to Corporate Recovery Data," The Journal of Financial Transformation, April, 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, June, 2011.

"Validation of Economic Capital Models: State of the Practice, Supervisory Expectations and Results from a Bank Study," The Journal of Risk Management in Financial Institutions, 3(4), September 2010, p. 334-365.

"An Empirical Study of Exposure at Default," The Journal Advanced Studies in Finance, 1(1), 2010, p. 31-59.

"The Bayesian Approach to Default Risk: A Guide," (with Nicholas, M. Kiefer.), in Rethinking Risk Measurement and Reporting, Klaus Boecker (ed.), Risk Books, London, March, 2010.

"Models for Risk Aggregation and Sensitivity Analysis: An Application to Bank Economic Capital," (with Hulusi Inanoglu), The Journal of Risk and Financial Management, 2, 2009, p. 118-189.

"An Internal Ratings Migration Study," (with M. Araten, P. Varshney, and C.R. Pellegrino), The Journal of the Risk Management Association, April, 2004, p. 92-97.

"Measuring LGD on Commercial Loans: An 18-Year internal Study," (with M. Araten and P. Varshney), The Journal of the Risk Management Association, May 2004, p. 28-35.

"Loan Equivalents for Defaulted Revolving Credit and Advised Lines," (with M. Araten), The Journal of the Risk Management Association, May, 2001, p. 34-39.

"A Bivariate G.A.R.C.H.-in-Mean Study of the Relationship Between Return Variability and Trading Volume in International Futures Markets," (with Joseph Onochie), The Journal of Futures Markets, 18(2), May, 1998.

Working Papers

"LGD Risk Resolved," (with Jon Frye), Chicago Federal Reserve Bank Working Paper, November 2010.

"Measuring Credit Spreads: CDS Spreads vs. Credit Ratings, Why are They so Different?" (with A. Karagozoglu and Carissa Peluso), Hofstra University Working Paper. September 2010.

"An Exposure at Default Model for Contingent Credit Lines," (with Pinaki Bag.), Union Bank of Abu Dubai Working Paper, July 2010.

"Understanding and Predicting the Resolution of Financial Distress," (with A. Karagozoglu and Dina Layish), Binghampton University Working Paper, June 2010.

"Understanding and Predicting Ultimate Loss Given Default on Bonds and Loans," (with A. Karagozoglu), Hofstra University Working Paper, November 2010.

"Modeling the Time Varying Dynamics of Correlations: Applications for Forecasting and Risk Management," (with A. Karagozoglu), Working Paper, Hofstra University and Goldman Sachs, March 2010.

"Term Structure of Interest Rate Models: International Empirical Evidence," (with Kishore Tandon), Zicklin School Working Paper, Baruch College, CUNY, 2001.

Works in Progress

"Quantitative Measurement and Management of Liquidity Risk in a Banking Context," November 2010.

"What Do We Know About Exposure at Default on Contingent Credit Lines? - A Survey of the Literature and Empirical Analysis," (with Pinaki Bag.), November 2010.

"Analyzing Bank Efficiency: Are "too-big-to-fail" Banks Efficient?," (with Hulusi Inanoglu), September 2010.

"Risk Aversion, the Demand for Risky Assets, and Recoveries on Defaulted Corporate Debt," (with Lewis Gaul and Pinar Uysal), January 2010.

"A Generalized Model for Risk Aggregation in a Pair-Copula Framework with an Application to Bank Economic Capital," (with Hulusi Inanoglu), September 2009.

"An Empirical Study of the Returns on Defaulted Debt and the Discount Rate for Loss-Given-Default," September 2009.

"How Does Corporate Governance Affect Bankruptcy Risk Quantities?," (with Dror Parnes), December 2008.

Other Papers

"Government Debt Maturity and Recoveries on Defaulted Corporate Securities," (with Lewis Gaul and Pinar Uysal), September 2009.

"Estimation of Diffusive and Jump Components in Financial Time Series: An Application to Credit Spreads," (with A. Karagozoglu), January 2008.

"A Comparison of Fixed Income Valuation Models: Pricing and Econometric Analysis of Interest Rate Derivatives," Unpublished Doctoral Dissertation, The Graduate School and University Center of the City University of New York, 2001.

"Testing of the Random Walk Hypothesis in International Futures Markets," (with Joseph Onochie), Unpublished Working Paper, Baruch College, January 1996.

"The Valuation of Interest Rate Dependent Derivatives and the Market Price of Risk," Unpublished Working Paper, Baruch College, January 1996.

"Cointegration Methodology and its Empirical Application in International Finance,' Unpublished Working Paper, Baruch College, December 1996.

"An Empirical Study of the Relationship between Insider Ownership and the Value of the Firm,' Unpublished Working Paper, Baruch College, May 1995.