MICHAEL JACOBS, Ph.D., CFA
The Office of the Comptroller of the Currency                
Credit Risk Analysis Division
Department of Economics
One Independence Square
250 E Street SW, Suite 3144                                
Washington, D.C. 20024                                                                                     
office: (202) 874-4728                                                                                
fax: (202) 534-2055                                        
e-mail: michael.jacobs@occ.treas.gov                                                       

Residence
170 East 88th Street
New York, N.Y. 10128
Apt. 2D
home: (212) 369-0025
cellular: (917) 324-2098
e-mail: mike.jacobs@yahoo.com
Personal Website: http://www.michaeljacobsjr.com
Work Website: http://www.occ.gov/jacobs_michael.htm
SSRN Author Page: http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=97517
YouTube: http://www.youtube.com/user/MikeJacobsJr/videos
LinkedIn: http://www.linkedin.com/profile/view?id=17630774&trk=tab_pro

I have been researcher and practitioner in economics and finance for 20 years seeks a position
in quantitative risk management.  Recently I have been focused on many aspects of risk
management, including economic capital, model development and validation, risk aggregation,
markets (distressed debt), derivatives (structured products), financial distress and bankruptcy.  
I previously did work in RAROC and economic capital modeling, term structure and futures
markets.  I began career in quantitative equity research.  I bring to the table expertise in model
development, an understanding of banking supervision and of the banking industry, technical
acumen and academic credibility.  I am a high energy problem solver who thrives in a fast
paced environment and is geared toward delivering solutions.   

RELEVANT EXPERIENCE:

6/05-Present        
Senior Financial Economist
Credit Modeling Group / Risk Analysis Division / International Policy and Economics Affairs,
The Office of the Comptroller of the Currency, Washington, D.C.
Duties: Senior consultant to national bank examiners on credit risk modeling issues and credit
markets. Independent quantitative researcher performing statistical analysis and econometric
modeling of credit risk.  Publish studies in the domain of empirical and structural credit
modeling.  Conduct independent research in capital allocation, loss given default, probability of
default, rating transitions, resolution of financial distress, quantitative methods, model
parameterization, structured products, credit derivatives and regulatory issues (Basel II).  
Publish in academic and practitioner journals, including several in the Journal Risk Management
in Financial Institutions (the official journal of PRMIA.), present at both academic and
practitioner venues.  Participate as a credit risk modeling expert in examinations of nationally
chartered banks, providing consultation on issues related to the design and validation of credit
risk models, rendering judgments and making recommendations regarding bank’s approaches
to the modeling of credit risk, thereby contributing to the soundness of the banking system.  
Involvement in projects related to the development of policy and guidance for the new Basel
capital framework, including the Accord Implementation Group Validation Subcommittee
(AIGV) Research Task Force (RTF) of  the Bank for International Settlements (BIS) on
vendor models, contributing to a library of model documentation, as a specialist in estimation
methodology and model validation.  Serve as credit risk modeling advisor and OCC
representative to the inter-agency Basel II Wholesale Qualification Team.  Liaison with both
academic and industry credit communities through attendance and presentations at seminars.  

6/00-6/05        
Vice-President
Applied Research Group / Risk Methodology / Risk Management Services, J.P. Morgan
Chase and Co., New York, N.Y.
Duties: Quantitative researcher performing statistical analysis and econometric modeling of
credit risk. Lead empirical research for wholesale credit risk methodology.  Conducted
empirical development and validation of models for Loss Severity, Loan Equivalent Exposure,
Expected Default Frequency as well as reserve adequacy for the wholesale loan portfolio
studies using J.P. Morgan Chase’s internal data and consortium sources for internal credit risk
models (the Proprietary Credit Capital Model, Default Prediction Meta-Model) and Basel II..  
Validation of internal models (the risk rating system, loss severity prediction model).  Worked
with lines of business to develop credit risk management solutions and tools (e.g., loss severity
forecasting for the Workout Group, a facility rating tool for the commercial bank, a bank rating
template for the Financial Institutions group.)  Publish internal and external studies on historical
research in internally estimated risk parameters in support of Basel II requirements, having
several publications in the Journal of the Risk Management Association.  Interact with Risk
Management Technology groups in designing both back & front end capabilities for the Bank’s
in-house models.  Contribute to the plans to integrate credit and market portfolio management
systems, mark-to-market the loan portfolio, and model credit risk arising from derivatives
exposures.

2/98-6/00        
Assistant Vice-President
Credit Portfolio Management Group, Sumitomo-Mitsui Banking Corporation, New York, N.Y.
Duties: Participate as a portfolio analyst, quantifying exposure and profitability for all global
business units, industries and product lines. Work with the Planning Department and Credit,
helping to develop analytical tools for this function. In particular: determine risk concentrations
by risk grade, industry, and sector; studies on the history of the banks exposure; analyze public
data on defaults, ratings, and interest rate spreads; review portfolio management and pricing
models in the process of developing an exposure management system; participate in formulation
of provision and capital allocation methodology in the context of early warning credit
deterioration models; provide analytical support and participate in the sections reviews done in
new York throughout North America, London, Hong Kong, and Brazil.

6/95-6/99        
Instructor
Department of Economics and Finance, Baruch College, New York, N.Y.
Duties: Academic research in financial economics. Lectured in the subjects undergraduate
econometrics, microeconomics, macroeconomics, and finance (corporation and introductory).
Prepared and graded examinations and student projects.

3/91-9/92        
Junior Research Analyst
Research Department, Value Line, Inc., New York, N.Y.
Duties: Fundamental and technical equity research. Analyzed S.E.C. documents and company
financial statements. Forecasted earnings, dividends, and financial performance measures.
Wrote for the Value Line Investment Survey on a weekly basis. Concentrated in banking,
financial, and insurance stocks.


PROFESSIONAL CERTIFICATION:
Chartered Financial Analyst, Granted by the CFA™ Institute, September 2003


EDUCATION:

9/94-6/01        
Ph.D. in Finance, June 2001
M.Ph. in Business, May 1997
Graduate School and University Center of the City University of New York, Program in
Economics and  Finance
Major Fields: Derivative Asset Pricing and the Econometrics of Financial Markets

9/92-5/94        
M.A. in Economics, May 1994
State University of New York at Stony Brook
Major Fields: Applied Econometrics and Economic Demography
Advanced to Ph.D. Candidacy

09/86-5/90       
B.S. in Engineering Science, December 1990
State University of New York at Stony Brook, School of Engineering and the Applied Sciences
Major: Applied Mathematics & Statistics
Minors: Operations Research and Economics
Graduated Cum Laude

09/82-6/86        
Regents Diploma, June 1986
Stuyvesant High School, NYC


PUBLICATIONS AND FORTHCOMING:

Frye, J., and Jacobs, Jr., M., 2012, Credit Loss and Systematic LGD, Forthcoming in The
Journal of Credit Risk, Spring.   

Jacobs, Jr., M., and Karagozoglu, A, 2012, Who Wins the Loss-Given-Default Matchup?,
Creditflux, February.

Jacobs, Jr., M., Karagozoglu, A., and Layish, D., 2012, Resolution of corporate financial
distress: an empirical analysis of processes and outcomes, The Journal of Portfolio
Management, Winter.

Jacobs, Jr., M., 2012, An empirical study of the returns on defaulted debt, Applied Financial
Economics, 22:7 (Winter), 563-579.   

Bag, P., and Jacobs, Jr., M., 2012, Parsimonious modeling of exposure at default for
contingent credit lines, The Journal of Risk Finance, 13:1 (January), 77-94.

Jacobs, Jr., M., 2012, 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, BIS Paper No. 58 (October), pp. 257-285.

Jacobs, Jr., M., and Karagozoglu, A, 2011, Modeling ultimate loss given default on corporate
debt, The Journal of Fixed Income, 21:1 (Summer), 6-20.

Jacobs, Jr., M., 2011, Empirical analysis and trading strategies for defaulted debt securities
with models for risk and investment management, The Journal of Financial Transformation 32
(August), 59-74.    

Jacobs, Jr., M., 2011, Analyzing the long-term performance of the defaulted debt market:
implications for investors and risk managers, The International Review of Applied Financial
Issues and Economics, 3:3 (Fall).

Bag, P., and Jacobs, Jr., M., 2011, What do we know about exposure at default on contingent
credit lines? – a survey of the literature and empirical analysis, The Journal Advanced Studies in
Finance, 2: 2 (Summer), pp. 26-46.

Jacobs, Jr., M., 2011, A two-factor structural model of ultimate loss-given-default: capital
structure and calibration to corporate recovery data, The Journal of Financial Transformation
31 (April), pp. 31-43.   

Jacobs, Jr., M., 2010, Validation of economic capital models: State of the practice, supervisory
expectations and results from a bank study, Journal of Risk Management in Financial
Institutions, 3:4 (September), 334-365   

Jacobs, Jr., M., and Kiefer, N.M., 2010 (March), The Bayesian approach to default risk: a
guide, Working Paper, U.S. Office of the Comptroller of the Currency and Cornell University,
in Ed.: Klaus Boecker, Rethinking Risk Measurement and Reporting (Risk Books, London).

Jacobs, Jr., M., 2010, An empirical study of exposure at default, The Journal Advanced
Studies in Finance, Volume 1, Number 1 (Summer).

Inanoglu, H., and Jacobs, Jr., M., 2009, Models for risk aggregation and sensitivity analysis:
An application to bank economic capital, The Journal of Risk and Financial Management 2,
118-189.

Araten, M., Jacobs, Jr., M., P. Varshney, and Pellegrino, C.R., 2004, An internal ratings
migration study, The Journal of the Risk Management Association, April, 92-97.

Araten, M., Jacobs, Jr., and Varshney, P., 2004, Measuring LGD on commercial loans: An 18-
year internal study, The Journal of the Risk Management Association, May, 28-35.

Araten, M. and Jacobs, Jr., M, 2001, Loan equivalents for defaulted revolving credits and
advised lines, The Journal of the Risk Management Association, May, 34-39.

Jacobs, Jr., M., and Onochie, J., 1998, A bivariate G.A.R.C.H.-in-Mean study of the
relationship between return variability and trading volume in international futures markets, The
Journal of Futures Markets, Vol. 18. No. 2.


WORKING PAPERS AND UNDER REVIEW:

Jacobs, Jr., M., and Kiefer, N.M., 2011 (May), The Bayesian approach to default risk analysis
and the prediction of default rates, Forthcoming in The Econometric Review.

Inanoglu, H., Jacobs, Jr., M., Liu, J, and R.C. Sickles, 2012 (January), Analyzing bank
efficiency: Are “too-big-to-fail” banks efficient?, Working paper: U.S. Office of the
Comptroller of the Currency, Board of Governors of the Federal Reserve System and Rice
University.  Under review in the Journal of Efficiency.

Inanoglu, H., Jacobs, Jr., and A.K., Karagozoglu, 2012 (January), Empirical Analysis of Bank
Capital and New Regulatory Requirements for Risks in Trading Portfolios, Working paper: U.
S. Office of the Comptroller of the Currency, Board of Governors of the Federal Reserve
System and Hofstra University.  Under review in the Journal of Applied Finance.

Garcia-Appendini, E, Jacobs, Jr., M., and  Montoriol-Garriga, J.,  Trade credit and bank lines
of credit for firms in financial distress:Who withdraws first?, Working paper: Bocconi
University,  U.S. Office of the Comptroller of the Currency and Universitat Autònoma de
Barcelona.

Jacobs, Jr., M, 2011 (September), Adjusting default rates for withdrawn ratings: implications
for probability-of-default estimation and Basel II quantification, Working paper.

Jacobs, Jr., M., and Marrick, S., 2011 (September), A comparison of models for exposure-at-
default on contingent lines of credit, Working paper.

Jacobs, Jr., M, 2011 (May), A Bayesian network framework for modeling and measuring
credit risk concentrations, Working paper.

Jacobs, Jr., M, 2011 (May), A credit derivative pricing model in a Gaussian copula framework
with stochastic recovery, Working paper.

Jacobs, Jr., M., 2010 (November), Quantitative measurement and management of liquidity risk
in a banking context, Working paper.

Jacobs, Jr., M., and Karagozoglu, A., 2010 (July), Measuring credit risk: CDS spreads vs.
credit ratings, Working paper. Under review for The Journal of Credit Risk.

Jacobs, Jr., M., and Karagozoglu, A, 2010 (April), Performance of time varying correlation
estimation methods, Working paper.  Under review for Quantitative Finance.

Balasubramian, B, Guirguis, H., and Jacobs, Jr., M., 2010 (January), Do credit default swaps
predict firm-specific risks of banks and other financial firms?, Working paper.

Gaul, L., Jacobs, M. and Uysal, P., 2010 (January), Government debt maturity and recoveries
on defaulted debt securities, Working paper, U.S. Office of the Comptroller of the Currency.

Jacobs, Jr., M., 2009 (November), An empirical study of the returns on defaulted debt and the
discount rate for loss-given-default, Working paper, U.S. Office of the Comptroller of the
Currency.   

Jacobs, M. and Parnes, D., 2008 (February), How does corporate governance affect
bankruptcy risk quantities?, Working paper, U.S. Office of the Comptroller of the Currency
and the University of South Florida.

Jacobs, Jr., M., and Tandon, K., 2001 (October), Term structure of interest rate models:
international empirical evidence, Working paper, Zicklin School of Business / Baruch College /
C.U.N.Y.

Jacobs, Jr., M., 2001, “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.

Jacobs, Jr., M., 2000 (January), A comparison of  bond option valuation models: An
econometric analysis of interest rate derivatives, Working paper, Zicklin School of Business /
Baruch College / C.U.N.Y.

Jacobs, Jr., M., and Onochie, J., 1996 (January), Testing of the random walk hypothesis in
international futures markets, Working paper, Zicklin School of Business / Baruch College / C.
U.N.Y.  

Jacobs, Jr., M., 1996 (December), Cointegration methodology and its empirical application in
international finance, Working paper, Zicklin School of Business / Baruch College / C.U.N.Y.

Jacobs, Jr., M., 1995 (May), An empirical study of the relationship between insider ownership
and the value of the firm, Working paper, Zicklin School of Business / Baruch College / C.U.N.
Y.


PRESENTATIONS AND TRAINING SEMInARS:

Jacobs, Michael, “Stress Testing Credit Risk Portfolios”, Risk-Incisive Media Training
Conference: Credit Risk Management, New York, NY, March, 2012.

Jacobs, Michael, “Regulatory Requirements and Expectations for Portfolio Level Counterparty
Risk Management”, Professional Risk Management International Association and CIRANO
Institute Risk Practitioners’ Luncheon, Montreal, Canada, February 9, 2012.

Jacobs, Jr., M., “Models for Risk Aggregation and Sensitivity Analysis:    An Application to
Bank Economic Capital”, Henry Stewart Series: Risk Management for Sovereign Institutions,
January 2012.

Jacobs, Jr., M., “Quantitative Measurement and Management of Liquidity Risk in a Banking
Context”, Henry Stewart Series: Risk Management for Sovereign Institutions, January 2012.

Jacobs, Michael, “Dodd-Frank and Basel III: Post-Financial Crisis Developments and New
Expectations in Regulatory Capital”, Pace University-Global Association of Risk Professionals,
New York, NY, November 11, 2011.

Jacobs, Michael, “Risk Parameter Modeling for Credit Derivatives”, Risk-Incisive Media
Training Conference: Managing Counterparty Risk in Volatile Markets, New York, NY,
November 10-11, 2011.

Jacobs, Michael, “Regulatory Requirements and Expectations for Portfolio Level Counterparty
Risk Management”, Risk-Incisive Media Training Conference: Managing Counterparty Risk in
Volatile Markets, New York, NY, November 10-11, 2011.

Michael Jacobs, Jr., "Parsimonious Exposure-at-Default Modeling for Unfunded Loan
Commitments", Financial Management Association Annual Meeting, Denver, CO, October
2011.

Michael Jacobs, Jr., " Analyzing the Long-Term Performance of the Defaulted Debt Market:
Implications for Investors and Risk Managers", Financial Management Association Annual
Meeting, Denver, CO, October 2011.

Jon Frye and Michael Jacobs, Jr., “The Relation Between Defaults and Losses”, First
International Conference on Credit Analysis and Risk Management, Oakland University,
Auborn Hills, MI, July, 22, 2011.

Jon Frye and Michael Jacobs, Jr., “The Relation Between Defaults and Losses”, 4th
International Risk Management Conference: New Dimensions in Risk Management,
Amsterdam, NV, June, 15, 2011.

Michael Jacobs, Jr., “The LGD Discount Rate for Basel II IRB Quantification: Requirements,
Theory, Bank Practice and Evidence”, Federal Interagency Risk Quantification Forum, U.S.
Office of the Comptroller of the Currency, Washington DC, June, 3, 2011.

Jon Frye and Michael Jacobs, Jr., “The Relation Between Defaults and Losses”, Federal
Interagency Risk Quantification Forum, U.S. Office of the Comptroller of the Currency,
Washington DC, June, 2, 2011.

Jacobs, Michael, “Design of Economic Capital Models”, Risk-Incisive Media Training
Conference: Measuring and Managing Risk in Credit Portfolio, New York, NY, March 28-29,
2011.

Jacobs, Michael and Jon Frye,“ LGD Risk Resolved,” Board of Governors of the Federal
Reserve System Seminar, 10-23-10.

Jon Frye and Michael Jacobs, Jr., “Adjusting for LGD”, Federal Interagency Risk
Quantification Forum, Federal Deposit Insurance Corporation, Washington DC, March 2010.

Jacobs, Michael and Jon Frye,“ The Robust Approach to Downturn LGD,” Boston Federal
Reserve Seminar, 11-22-10.

Jacobs, Michael and Jon Frye,“ LGD Risk Reconciled,” Chicago Federal Reserve Quantitative
Congress, 10-29-10.

Jacobs, Jr., M., “An Option Theoretic Model for Ultimate Loss-Given-Default with Systematic
Recovery Risk and Stochastic Returns on Defaulted Debt”, 3rd Bank for International
Settlement, World Bank and European Central Bank Public Investors Conference, Basel,
Switzerland,11-3-10.

Jacobs, Jr., M., “An Option Theoretic Model for Ultimate Loss-Given-Default with Systematic
Recovery Risk and Stochastic Returns on Defaulted Debt”, 69th Annual Meeting of the
International Atlantic Economic Society, Charleston, SC, 10-12-10.

Jacobs, Jr., M., “Quantitative Measurement and Management of Liquidity Risk in a Banking
Context”, Professional Risk Management International Association and CIRANO Institute Risk
Practitioners’ Luncheon, Montreal, Canada, October 2010.

Michael Jacobs and Nick Kiefer, “The Bayesian Approach to Default Risk Analysis and the
Prediction of Default Rates”, American University Info-metrics Conference, Washington, DC,
9-24-10.

Hulusi Inanoglu and Michael Jacobs Jr.,” Analyzing Bank Efficiency: Are “too-big-to-fail”
Banks Efficient?”, North American Productivity Workshop VI, Rice University, Houston,
Texas (June 2-June 5, 2010)..

Pinaki Bag and Michael Jacobs Jr., “An Exposure at Default Model for Contingent Credit
Lines”, NYU Stern School of Business International Risk Management Conference, Florence,
Italy, 6-10.

Jon Frye and Michael Jacobs, Jr., “Adjusting for LGD”, Interagency Risk Quantification
Forum, Washington DC, March 2010.

Michael Jacobs, Jr.,”Validation of Economic Capital Models: State of the Practice,
Supervisory Expectations and Results from a Bank Study”, Risk-Incisive Media Training
Conference “Economic Capital Modeling”, New York, NY, February, 2010.   

Michael Jacobs, Jr. and Ahmet K. Karagozoglu, " Measuring credit risk: CDS spreads vs.
credit ratings ", XLIII Meeting of the Euro Working Group in Financial Modeling, Costa Rica,
January 2010.

Michael Jacobs, Jr. and Ahmet K. Karagozoglu, "Modeling the Time Varying Dynamics of
Correlations: Applications for Forecasting and Risk Management", Financial Management
Association Annual Meeting, Reno, Nevada, November 2009.

Michael Jacobs, Jr., “A Generalized Model for Risk Aggregation in a Pair-Copula Framework
with an Application to Bank Economic Capital”, Professional Risk Management International
Association and CIRANO Institute Risk Practitioners’ Luncheon, Montreal, Canada,
November 2009.

Michael Jacobs, Jr., “An Empirical Study of the Returns on Defaulted Debt and the Discount
Rate for Loss-Given-Default”, Basel Committee in Banking Supervision “Challenges in Banking
Research”, Madrid, Spain, May 2009.

Michael Jacobs, Jr., “An Empirical Study of the Returns on Defaulted Debt and the Discount
Rate for Loss-Given-Default”, Meeting of the European Financial Management Association,
Turin, Italy, June 2009   

Michael Jacobs, Jr., "An Empirical Study of Exposure at Default", Interagency Risk
Quantification Forum, Philadelphia, PA, November 2008.

Michael Jacobs, Jr., "An Empirical Study of Exposure at Default", Moody's KMV Credit
Practitioners Conference, Chicago, IL, September 2008.

Michael Jacobs, Jr., Dina Layish and Ahmet K. Karagozoglu, "Understanding and Predicting
the Resolution of Financial Distress", NYU Stern School of Business “Risk Management
Conference 2008: 40 Years After the Altman Z-Score”, Florence, Italy, June 2008.

Michael Jacobs, Jr. and Ahmet K. Karagozoglu, "Modeling the Time Varying Dynamics of
Correlations: Applications for Forecasting and Risk Management", XLII Meeting of the Euro
Working Group in Financial  Modeling, Stockholm, Sweden, May 17, 2008.

Michael Jacobs, Jr., "Theoretical Modeling of Ultimate Loss-Give-Default: Undiversifiable
Recovery Risk and Downturn Effects", U.S. Office of the Comptroller of the Currency Risk
Analysis Division Seminar, February 2008.

Michael Jacobs, Jr., "Understanding and Predicting Ultimate Loss Given Default on Bonds and
Loans", Financial Management Association Annual Meeting, Orlando, FL, October 2007.

Michael Jacobs, Jr., "Construction and Validation of Econometric Models for Ultimate LGD on
Bonds and Loans", Interagency Risk Quantification Forum Meeting, Washington DC, October
2007.

Michael Jacobs, Jr., "Exposure at Default: Estimation for Wholesale Exposures", Accord
Implementation Group Validation Subgroup Meeting, Washington DC, May 2007.

Michael Jacobs, Jr. and Kishore Tandon, “Term Structure of Interest Rate Models:
International Empirical Evidence”, Financial Management Association Annual Meeting,
Toronto, October 2001.  

OTHER MISCELLANEOUS PAPERS:

Araten, M., Jacobs, Jr., M., and Peeyush Varshney, Default Rates for Borrowers Rated 8 &
9, JP Morgan Chase Memorandum, Risk Capital and Research Group. March 2002.

Araten, M. and Jacobs, Jr., M, Analysis of Charge-offs for Reserve Adequacys, JP Morgan
Chase Memorandum, Risk Capital and Research Group. November 2001.

Jacobs, Jr., Michael, Sumitomo Bank. The Return on Risk Adjusted Capital Model for the
Wholesale Bank,  Credit and Portfolio Management Review Group, Special Review Report
FY98-#10.

Jacobs, Jr., Michael, Sumitomo Bank Capital Markets Credit Risk Simulation Model: Analysis
and Commentary,  Credit and Portfolio Management Review Group, Addendum to Portfolio
and Credit Review Report FY98-#7.   

Jacobs, Jr., Michael, The Impact of the Asian Crisis on the Japanese Corporate Department
Credits, Credit and Portfolio Management Review Group, Special Review Report FY98-
#19.   


PROFESSIONAL ORGANIZATIONS:

CFA™ Institute
Professional Risk Management International Association (PRMIA)
American Finance Association (AFA)
Financial Management Association (AMA)
International Association of Financial Engineers (IAFE)
Fixed Income Analysts Society International (FIASI)
American Economic Association (AEA)
Risk Management Association (RMA)


COMPUTER LANGUAGES AND APPLICATIONS:

Development: Visual C++, Visual Basic for Applications.
Mathematical / Scientific / Statistical: R, S-Plus, Mathematica, Matlab  
Miscellaneous: VB for Excel & Access
Resume Jacobs January 2012
Michael Jacobs Jr.: Resume