[ Yahoo! ] options
Welcome to the My Home Page

This sight is dedicated to my research interests:
I am a quantitative researcher in the field of credit risk management
research.  I am currently affiliated with The Office of the Comptroller of
the Currency, Risk Analysis Division / Credit Risk Modeling Group as a
Senior Financial Economist.  I conduct independent research in
finance and participate on bank exams as a quantitative modeling
specialist.  Currently I am involved in various research projects in
wholesale credit risk and the economics of financial distress:
building loan level econometric models of  Basel parameters (Loss
Given Default, Exposure and Probability of Default), studying returns
on defaulted debt, calibrating capital models with systematic recovery
risk to historical default and loss data, a generalized pair copula
framework for risk aggregation, Bayesian modelling of credit risk and
rating transitions, prediction of bankruptcy resolution and analysis of
the determinants of financial distress.  I also study various topics in
finance, such as correlation forecasting and modelling of CDS
spreads.  I hold a doctorate in business from the City University of
New York in finance, and I am a Chartered Financial Analyst.  

Topics that I am interested in include:

Miscellaneous: Related Interests, Hobbies,etc.
On my spare time I enjoy studying the history of economic and
finance thought, recreational programming / development, an
extensive music collection and running.
What's New
Currently I working on a paper that uses stochastic frontier and
quantile regression methodology on historical Call Report data to
analyse bank efficiency and the "too big too fail" debate"; a
CreditRisk+ mixed Posisson model for EAD on contingent credit
lines; a structural model of credit loss to adjust for downturn LGD.  
Other projects include research on an option theoretic LGD
models,correlation forecasting, returns on defaulted debt,
modelling CDS spreads, Bayesian default and rating transition
models for large corporate credits. I am also involved in an
interagency project to evaluate vendor models, Basel 2
implementation serving on the Interagency Whole Qualification
Team: and corporate rating, credit risk models and economic
capital exams at several large  banks.
Credit risk modelling techniques
Michael Jacobs Jr.'s Credit Risk Research Page
Risk capital modeling and aggregation
Statistical analysis of loan and bond data
Credit derivatives and loan valuation