Welcome to the My Home Page

This sight is dedicated to my research interests:
I am a quantitative practitioner and researcher in the field of risk modeling and management.  I am
currently affiliated with Accenture Consulting, Finance & Risk Advisory, as a Principal Director in the
financial institutions, risk, regulatory and analytics practice.  I lead consulting engagements at global
financial institutions, advising clients on risk modeling issues and prudential regulation.  I also
conduct independent research in finance and participate in industry thought leadership initiatives as a
quantitative modeling expert.  Currently I am involved in various research projects and thought
leadership in scenario generation, integrated stress testing, model risk, wholesale credit risk,
operational risk and asset price bubbles.  Prior research spanned 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
Current industry projects include CCAR model development, model risk management and risk policy at
a large international financial institution; end-to-end SR 11-7 compliant model validation a major FBO
bank; CCAR model development support at a super-regional bank.

Current research includes the impact of asset price bubbles on credit and liquidity risk quantification;
scenario generation for stress testing incorporating heavy  tailed distributions through a regime
switching methodology; a framework for integrated stress testing that includes risk appetite and capital
optimization.  
Risk modelling methodologies and analytics
Michael Jacobs Jr: Risk Modeling, Methodologies and Analytics
Risk capital modeling and aggregation
Statistical and econometric techniques
Credit derivatives and loan valuation
Stress testing