Michael Jacobs

PNC Financial Services Group

1 PNC Plaza, 249 5th Avenue

Pittsburgh, PA 15222-2707

United States

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 10,345

SSRN RANKINGS

Top 10,345

in Total Papers Downloads

6,950

SSRN CITATIONS
Rank 47,189

SSRN RANKINGS

Top 47,189

in Total Papers Citations

6

CROSSREF CITATIONS

8

Scholarly Papers (23)

1.

An Empirical Study of Exposure at Default

Number of pages: 36 Posted: 23 Jun 2008 Last Revised: 15 Feb 2010
Michael Jacobs
PNC Financial Services Group
Downloads 2,339 (9,205)
Citation 8

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
PNC Financial Services Group
Downloads 1,038 (31,949)

Abstract:

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

3.

Validation of Economic Capital Models: State of the Practice, Supervisory Expectations and Results from a Bank Study

Number of pages: 28 Posted: 08 Nov 2010
Michael Jacobs
PNC Financial Services Group
Downloads 688 (55,952)
Citation 1

Abstract:

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

4.

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 PNC Financial Services Group
Downloads 678 (57,053)

Abstract:

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

5.

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 PNC Financial Services Group
Downloads 672 (57,679)

Abstract:

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

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
PNC Financial Services Group
Downloads 487 (86,456)
Citation 3

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 PNC Financial Services Group
Downloads 343 (129,298)
Citation 1

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 Lawaffiliation not provided to SSRN, Johns Hopkins University - Paul H. Nitze School of Advanced International Studies (SAIS) and PNC Financial Services Group
Downloads 248 (180,316)

Abstract:

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9.

A Bivariate Generalized Autoregressive Conditional Heteroscedasticity-in-Mean Study of the Relationship between Return Variability and Trading Volume in International Futures Markets

Number of pages: 19 Posted: 25 Jun 2007
Michael Jacobs and Joseph I. Onochie
PNC Financial Services Group and Zicklin School of Business, Baruch College CUNY
Downloads 197 (223,758)
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 PNC Financial Services Group
Downloads 133 (309,781)

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
PNC Financial Services Group and Johns Hopkins University - Paul H. Nitze School of Advanced International Studies (SAIS)
Downloads 80 (434,107)

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 Lawaffiliation not provided to SSRN and PNC Financial Services Group
Downloads 47 (567,598)

Abstract:

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stress testing, Dodd Frank, banks, regulation

13.

On the Characteristics of Dynamic Correlations between Asset Pairs

Research in International Business and Finance, August 2014, v.32, pp. 60-82. DOI:10.1016/j.ribaf.2014.03.004
Posted: 10 Jul 2020
Michael Jacobs and Ahmet K Karagozoglu
PNC Financial Services Group and Hofstra University, Zarb School of Business

Abstract:

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correlation forecasting, dynamic conditional correlation, GARCH, risk management, hedging

14.

Bank Capital and New Regulatory Requirements for Risks in Trading Portfolios

The Journal of Fixed Income, Spring 2014, 23 (4) 71-88; DOI:10.3905/jfi.2014.23.4.071
Posted: 10 Jul 2020
hulusi inanoglu, Michael Jacobs and Ahmet K Karagozoglu
Board of Governors of the Federal Reserve System, PNC Financial Services Group and Hofstra University, Zarb School of Business

Abstract:

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15.

Resolution of Corporate Financial Distress: An Empirical Analysis of Processes and Outcomes

The Journal of Portfolio Management, Winter 2012, 38 (2) 117-135; DOI:10.3905/jpm.2012.38.2.117
Posted: 10 Jul 2020
PNC Financial Services Group, Hofstra University, Zarb School of Business and Binghamton University - School of Management

Abstract:

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financial distress, bankruptcy filing, private work-out, liquidation, reorganization, prepackaged bankruptcy

16.

Modeling Ultimate Loss-Given-Default on Corporate Debt

The Journal of Fixed Income, Summer 2011, 21 (1) 6-20; DOI:10.3905/jfi.2011.21.1.006
Posted: 10 Jul 2020
Michael Jacobs and Ahmet K Karagozoglu
PNC Financial Services Group and Hofstra University, Zarb School of Business

Abstract:

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Loss given default, LGD, credit risk, distressed debt

17.

Credit Risk Signals in CDS Market vs. Agency Ratings

Journal of Risk Finance, Vol. 17 No. 2, pp. 194-217. 2016 DOI:10.1108/JRF-07-2015-0070
Posted: 09 Jul 2020
PNC Financial Services Group, Hofstra University, Zarb School of Business and Binghamton University - School of Management

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CDS, credit rating agencies, credit risk, credit default swap, credit ratings

18.

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
PNC Financial Services Group, 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

19.

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
PNC Financial Services Group

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20.

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
PNC Financial Services Group and Credit Risk Management

Abstract:

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

22.

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 PNC Financial Services Group

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

23.

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
PNC Financial Services Group 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