Michael Jacobs

Accenture Consulting

Principal Director

1345 Avenue of the Americas

New York, NY 10105

United States

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 7,206

SSRN RANKINGS

Top 7,206

in Total Papers Downloads

6,134

CITATIONS
Rank 44,587

SSRN RANKINGS

Top 44,587

in Total Papers Citations

10

Scholarly Papers (18)

1.

An Empirical Study of Exposure at Default

Number of pages: 36 Posted: 23 Jun 2008 Last Revised: 15 Feb 2010
Michael Jacobs
Accenture Consulting
Downloads 2,027 (6,981)
Citation 4

Abstract:

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Exposure at Default, Loan Equivalent Exposure, Recoveries, Default, Loss Given Default, Financial Distress, Bankruptcy, Restructuring, Credit Risk

2.

A Comparison of Fixed Income Valuation Models: Pricing and Econometric Analysis of Interest Rate Derivatives

Number of pages: 265 Posted: 25 Jun 2007
Michael Jacobs
Accenture Consulting
Downloads 920 (24,280)

Abstract:

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Finance, Statistics, Stochastic models, Economic models, Interest rates, Derivatives, Studies, Comparative analysis

3.

Models for Risk Aggregation and Sensitivity Analysis: An Application to Bank Economic Capital

Number of pages: 59 Posted: 15 Jul 2009 Last Revised: 13 Feb 2010
Hulusi Inanoglu and Michael Jacobs
U.S. Treasury - Comptroller of the Currency and Accenture Consulting
Downloads 649 (39,241)

Abstract:

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risk aggregation, enterprise risk management, economic capital, credit risk, operational risk, market risk, copula

4.

Understanding and Predicting the Resolution of Financial Distress

Number of pages: 48 Posted: 23 Jun 2008
Hofstra University, Zarb School of Business, Binghamton University - School of Management and Accenture Consulting
Downloads 649 (39,241)

Abstract:

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Default, Financial Distress, Liquidation, Reorganization, Bankruptcy, Restructuring, Credit Risk, Discrete Regression, Bootstrap Methods, Forecasting, Classification Accuracy

5.
Downloads 592 (44,415)
Citation 1

Abstract:

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Risk Aggregation, Enterprise Risk Management, Economic Capital, Credit Risk, Operational Risk, Market Risk, Copula

6.

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

Number of pages: 66 Posted: 24 Jun 2009 Last Revised: 15 Feb 2010
Michael Jacobs
Accenture Consulting
Downloads 432 (65,948)
Citation 2

Abstract:

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Recoveries, Default, Loss Given Default, Recoveries, Credit Risk, Basel, Distressed Debt

7.

An Exposure at Default Model for Contingent Credit Line

Number of pages: 27 Posted: 05 Apr 2010 Last Revised: 05 May 2010
Pinaki Bag and Michael Jacobs
Credit Risk Management and Accenture Consulting
Downloads 305 (98,425)

Abstract:

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EAD, Basel II, Credit Risk, Contingent credit line (CCL),Usage

8.

Implementing Dodd-Frank Act Stress Testing

DePaul Business and Commercial Law Journal, Vol. 14, No. 3, pp. 323-356, 2016
Number of pages: 36 Posted: 22 Mar 2016 Last Revised: 12 Mar 2017
Margaret Ryznar, Frank Sensenbrenner and Michael Jacobs
Indiana University Robert H. McKinney School of Law, Johns Hopkins University - Paul H. Nitze School of Advanced International Studies (SAIS) and Accenture Consulting
Downloads 187 (160,673)

Abstract:

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9.
Downloads 184 (163,014)
Citation 4

Abstract:

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Futures Markets, Interest Rates, GARCH, Volume

10.

Performance of Time-Varying Correlation Estimation Methods

Number of pages: 45 Posted: 23 Jun 2008 Last Revised: 15 Feb 2010
Ahmet K Karagozoglu and Michael Jacobs
Hofstra University, Zarb School of Business and Accenture Consulting
Downloads 102 (260,295)

Abstract:

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Correlations, Forecasting, GARCH, DCC, Risk Management, Hedging

11.

Stress Testing and the Quantification of the Dependency Structure Amongst Portfolio Segments

Number of pages: 44 Posted: 14 Aug 2015
Michael Jacobs and Frank Sensenbrenner
Accenture Consulting and Johns Hopkins University - Paul H. Nitze School of Advanced International Studies (SAIS)
Downloads 73 (320,120)

Abstract:

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Stress Testing, Correlation, CCAR, DFAST, Credit Risk, Financial Crisis, Model Risk, Vector Autoregression

12.

A New Model for Bank Stress Tests

Columbia Law School Blue Sky Blog, January 26, 2017
Number of pages: 2 Posted: 04 Jan 2019
Margaret Ryznar and Michael Jacobs
Indiana University Robert H. McKinney School of Law and Accenture Consulting
Downloads 14 (554,587)

Abstract:

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stress testing, Dodd Frank, banks, regulation

13.

Stress Testing and Model Validation: Application of the Bayesian Approach to a Credit Risk Portfolio

Journal of Risk Model Validation, 2015, Vol. 9(3), 41-70
Posted: 01 Nov 2015
Accenture Consulting, Hofstra University, Zarb School of Business and Johns Hopkins University - Paul H. Nitze School of Advanced International Studies (SAIS)

Abstract:

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stress testing; model validation; model risk; credit risk; Bayesian analysis; CCAR

14.

Accounting for the Internal Dynamics of Bilateral Investment Treaties: Every Bit Counts

Western Political Science Association 2011 Annual Meeting Paper
Posted: 22 Feb 2011
Michael Jacobs
Accenture Consulting

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15.

What Do We Know About Exposure at Default on Contingent Credit Lines? A Survey of the Literature and Empirical Analysis

Posted: 08 Nov 2010
Michael Jacobs and Pinaki Bag
Accenture Consulting and Credit Risk Management

Abstract:

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Abstract:

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Recoveries, Default, Loss Given Default, Financial Distress, Bankruptcy, Credit Risk, Basel, Distressed Debt

17.

Measuring Credit Risk: CDS Spreads vs. Credit Ratings

Posted: 12 Feb 2010
Ahmet K Karagozoglu and Michael Jacobs
Hofstra University, Zarb School of Business and Accenture Consulting

Abstract:

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Credit Default Swaps, Credit Ratings, Recoveries, Default, Credit Risk

18.

Understanding and Predicting Ultimate Loss-Given-Default on Corporate Debt

Posted: 27 Nov 2007 Last Revised: 21 May 2011
Michael Jacobs and Ahmet K Karagozoglu
Accenture Consulting and Hofstra University, Zarb School of Business

Abstract:

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Recoveries, Default, Loss Given Default, Financial Distress, Bankruptcy, Restructuring, Credit Risk, Entropic Methods, Bootstrap Methods, Forecasting