Accenture Consulting   
Financial Services Advisory             
1345 Avenue of the Americas                      
New York, N.Y. 10105                                                                                    
office: (212) 313-3309                                                                                       
email: michael.a.jacobs@accenture.com

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:

6/15-Present
Accenture Consulting                                                                                                              
New York, N.Y.
Risk Management Advisory
Principal Director
Financial Advisory | Finance and Risk | Models, Methodologies and Analytics

Senior advisor to global financial institutions and practice leader in model risk management,
development and validation across a range of risk and product type in Accenture Consulting's
global Finance and Risk Services division.  Innovation/thought leadership strategist and subject
matter expert in risk models, methodologies and analytics in the financial services industry;
having a special focus on the regulatory uses and implications of these solutions.


6/13-6/14
Director, Pricewaterhouse Coopers LLC, New York, N.Y., Financial Advisory / Risk and
Regulation / Models and Methodologies.

Senior advisor to global financial institutions on model risk management, development and
validations across a range of risk types.  Assist financial institutions with enterprise risk
management, stress testing, credit risk and operational risk modeling, data and management,
and their response to changes in banking regulation, both domestically and internationally.  
Apply deep expertise in building and validating stress-testing, PPNR, economic capital, and
credit risk models; as well as a high level of knowledgeable in Risk IT infrastructure and data
warehouse design.  Publish thought leadership and academic literature in the intersection
between financial engineering, forecasting, and regulation, and adept at working with senior
management and stakeholders to drive complex solutions to regulatory requirements.  Lead
large-scale teams to assist banks in meeting their stress-testing requirements, focusing on loss
forecasting, operational risk modeling, PPNR modeling, scenario-building, and capital
planning.  Demonstrate deep experience in the field of enterprise risk and performance analysis
and improvement.  Performed enterprise risk assessments, portfolio risk analysis, economic
capital implementations, and RAROC management infrastructure at over 30 banks and financial
institutions.  Lead  teams embedding risk analytics into enterprise data and portfolio offerings
for risk monitoring and management, e.g. systemic risk, counterparty risk, and the use of
benchmarking analysis.  Validate Basel II and ICAAP reports and frameworks at multiple
banks.  Exhibit extremely deep knowledge of modeling analytics and reporting and using these
analytics, as well as model validation.  Key projects includes:

•        Assisted a large bank in the Northeast with resolving stress-testing MRAs around         
modeling techniques and process, model governance, the BHC scenario, and its capital
planning process, assisted with PPNR modeling and operational risk modeling, and advised on
the capital plan, working with senior management to justify assumptions and final calculations,
establish narratives, and clarify the stress-testing process for regulators

•        Assisted a regional bank in the Southeast with a first build of its entire stress-testing loss
forecasting suite, leading the modeling team, educating senior management, advising on capital
buffer calculations, and shepherding the models through model validation and a positive review
by regulators;

•        For a fast-growing regional bank with international operations, built an operational risk
stress testing model, assisted in stress scenario analysis for operational risk, built
macroeconomic forecasting models, and advised on the capital plan;

•        Advised a CCAR bank on resolving an MRA on inadequacies in their loss forecasting
models; and

•        Led a large cross-functional team to assist in validating a CCAR institution's entire suite
of stress testing and Basel models, working with different model development teams, helping to
rewrite model governance policies and establish new standards for model documentation and
model development processes based on regulatory requirements

•        Developed an analytic model that closely replicated Monte Carlo economic capital
results as part of a pricing tool for the origination desk of a large international bank based in
London

•        LGD model development across wholesale loans for a large Canadian Bank and a large
super-regional US bank

•        RAROC model validation for a superregional US bank

•        PD Scorecard approaches for Low Default Portfolios

•        Improving the Allowance for Loan and Lease Losses forecasting process at a large
community bank, using credit cycle adjustments for dynamic updating of estimates

•        Architected a new Basel-compliant LGD framework for a large regional bank in North
America


6/12-6-14        
Senior Risk Advisory Manager, Audit and Enterprise Risk Services, Deloitte and Touche LLP,
New York, N.Y.
Senior advisor to banking clients in the United States risk modeling issues.  Manage
engagement teams and provide advisory services on risk modeling issues, specializing in
quantitative techniques, credit risk and regulation.  Leverage broad risk management consulting
skills across relevant areas such as credit, market and operational risk and enterprise risk
management.  Provide engagement or task management, and select appropriate methodologies
to play a substantive and leading role in client relationship and communication, attaining quality
internal and external communication deliverables (including technical content of reports,
proposals, etc.)  Demonstrate a high level of understanding of clients’ business knowledge,
industry or functional specialty.  Attain quality internal and external communication on
deliverables, including technical content of reports, proposals, etc.  Deliver services that meet
Deloitte & Touches’ engagement leader and client specifications.  Participate in professional
organizations, produce material for internal publications and participate in proposal
development efforts.  Evaluate, counsel, mentor, and provide feedback on performance of
others, assist in retention of professionals and participate / assist in training efforts.  Play a
substantive role in enhancing relationships with internal resources.  Assist clients in counterparty
credit risk measurement techniques including counterparty ratings, probability of default, loss
given default, exposure at default, current exposure, potential exposure, potential future
exposure, mark-to-future, collateral modeling, portfolio margining and related concepts.  Apply
knowledge of relevant risk based regulatory schemes including SR-17, Basel II & III,
Sarbanes-Oxley, FIDICIA and other key regulations.  Implement risk assessment
methodologies, infrastructure design, risk controls and segregation of duties.  Selected client
engagement accomplishments include:
  
•        Development a model risk management framework for all the Client’s material models
(Integrated Capital Stress Test, MSR valuation, Fixed Income/Mortgage Pipeline interest rate
hedging, ALM, ALLL)

•        Draft policies and procedures related to model risk governance, model validation  and
development, model risk appetite, model inventories and designed model risk scorecards  

•        Build out an Enterprise Risk Management (ERM)  function through working closely with
lines of businesses and IT to implement model risk controls, remediate validation findings and
establish operating procedures for interface between model owners and ERM  

•        Compose model governance and validation sections of the Client ‘s capital plan
submitted in preparation for participating in the supervisory CCAR process

•        Model validation for Basel II (PD, LGD and EAD), CCAR stressed migration and
default model and ALLL   Performed model replication, assumptions evaluation, development
of  benchmark models, sensitivity analysis and testing of model output  

•        Draft model development and validation documentation conforming to Basel II
supervisory requirements and SR-17 model risk management guidance.  Worked closely with
the Client to establish a centralized model risk validation and management function through
advising senior management and training staff.

•        Advise as a quantitative modeling expert in an assessment of the Client’s framework for
capital planning and stress testing through model development and validation for  operational
risk, CRE / C&I, retail credit, operational risk and PPNR models, as well as loss forecasting
frameworks

•        Advise on ICAAP and as a quantitative modeling expert in a comprehensive gap
assessment of the bank’s framework for capital planning and stress testing


6/05-6/12        
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:

Jacobs, Jr., M., Karagozoglu, A.K. and F.J. Sensenbrenner, 2015 (August), Stress Testing
and Model Validation:
Application of the Bayesian Approach to a Credit Risk Portfolio, Forthcoming, The Journal of
Risk Model Validation, September 2015.

Jacobs, M. and Parnes, D., 2015 (April), Risk Models for CMO with Credit Tranching,
Working paper, in Ed.: J. Austin Murphy, The Proceedings of the Third International
Conference on Credit Analysis and Risk Management (Cambridge Scholars Publishing,
Cambridge), Chapter 6, pp. 194-199.

Inanoglu, H., Jacobs, Jr., M., Liu, J, and R.C. Sickles, 2015 (March), Analyzing bank
efficiency: Are “too-big-to-fail” banks efficient?, in Ed.: Emmanuel E. Haven, Handbook of
Post Crisis Financial Modelling (Palgrave Macmillan, New York).

Jacobs, Jr., Michael, 2015, Stress testing for credit risk portfolio: supervisory expectations and
practices, in Ed.: Constantin Zopounidis, Quantitative Financial Risk Management: Theory and
Practice (Wiley, London), Chapter10, pp. 273-295.

Jacobs, Jr., Michael, 2015, Supervisory requirements and expectations for portfolio level
counterparty credit risk measurement and management, in Ed.: Constantin Zopounidis,
Quantitative Financial Risk Management: Theory and Practice (Wiley, London), Chapter 2, pp.
22-45.

Jacobs, Jr., M., and Karagozoglu, A, 2014, On the characteristics of dynamic correlations
between asset pairs,  Research in International Business and Finance 32, 60-82. http:
//michaeljacobsjr.com/JacobsKaragozoglu_Correlation_RIBF_no32_2014_pp60-82.pdf

Inanoglu, H., Jacobs, Jr.,M., and A.K., Karagozoglu, 2014 (Spring), Empirical analysis of
bank capital and new regulatory requirements for risks in trading portfolios, Journal of Fixed
Income, 23:4, 71-88. http://www.iijournals.com/doi/abs/10.3905/jfi.2014.23.4.071#

Jacobs, Jr., Michael, 2014, Stress testing for credit risk portfolio: supervisory expectations and
practices, in Ed.: Constantin Zopounidis, Quantitative Financial Risk Management: Theory and
Practice (Wiley, London), Forthcoming.

Jacobs, Jr., Michael, 2014, Supervisory requirements and expectations for portfolio level
counterparty credit risk measurement and management, in Ed.: Constantin Zopounidis,
Quantitative Financial Risk Management: Theory and Practice (Wiley, London), Forthcoming.

Jacobs, Jr., Michael, 2014, Supervisory requirements and expectations for portfolio level
counterparty credit risk measurement and management, Journal of Financial Regulation and
Compliance, 22:3. http://michaeljacobsjr.
com/Jacobs_RegulatoryCCR_JFRC_Nov2013_Proof.pdf

Jacobs, Jr., Michael, 2013 (March), Stress testing credit risk portfolios, Journal of Financial
Transformation 37 (April), 53-75.

Jacobs, Jr., M., 2013, An empirical analysis of exposure at default for unfunded loan
commitments, The FSR Forum  of the University of Rotterdam, 15:3 (April), 14-20.

Frye, J., and Jacobs, Jr., M., 2013 (January), Credit loss and systematic LGD, Working Paper,
Deloitte & Touche LLP of the Chicago Federal Reserve Bank, in Ed.: Oliviero Roggi and Edward
Altman, Managing and Measuring Risk: Emerging Global Standards and Regulation After the
Financial Crisis (World Scientific Publishing Co. Pte. Ltd., London) http://michaeljacobsjr.
com/FryeJacobs_2012_CrdtRiskSysLGD_MeasMngCrdtRsk_Ch11_Vol5_pp307-339.pdf

Inanoglu, H., Jacobs, Jr., M., and A.K., Karagozoglu, 2012, Empirical analysis of bank capital
and new regulatory requirements for risks in trading portfolios, Proceedings of the Forum for
Economists International, Amsterdam, NV, June 1-4, 117-145.

Frye, J., and Jacobs, Jr., M., 2012, Credit loss and systematic LGD, The Journal of Credit
Risk, 8:1 (Spring), 109-140.   
Jacobs, Jr., M., and Karagozoglu, A, 2012, Re-thinking recovery, Creditflux, #168
(February), 14-15.

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, 117-135.

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. http://www.bis.
org/author/michael_jacobs.htm

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.


PRESENTATIONS AND TRAINING SEMINARS:

Meeting, New York, N.Y., November 11, 2013. http://www.youtube.com/watch?
v=ymTKcS3fsY0

Jacobs, Michael, “US Regulatory Stress Testing: Implications for Large Banks”, Annual
Meeting of the American Institute of Certified Public Accountants, Washington, DC,
September 26, 2013.

Jacobs, Michael, “Framework and Modeling Methodology: Loss Forecasting for Stress
Testing”, Key Bank Stress Testing and CCAR Symposium, Cleveland, OH, April 26, 2013.

Hulusi Inanoglu, Michael Jacobs Jr., Junrong Liu and Robin C. Sickles,” Analyzing Bank
Efficiency: Are “too-big-to-fail” Banks Efficient?”, Financial Management Association Annual
Meeting, Atlanta, GA, October, 20th, 2012.

Inanoglu, H., Jacobs, Jr., and A.K., Karagozoglu, “Empirical analysis of bank capital and new
regulatory requirements for risks in trading portfolios”, International Risk Management
Conference 2012: Global Standards for Risk Measurement, Rome, June 18-19 (online at http:
//www.youtube.com/watch?v=_Jk9klmR_Is&feature=youtu.be).

Hulusi Inanoglu, Michael Jacobs Jr., Junrong Liu and Robin C. Sickles,” Analyzing Bank
Efficiency: Are “too-big-to-fail” Banks Efficient?”, Measuring Economic Performance,
Loughborough University, UK, March 22nd, 2012 (online  at http://michaeljacobsjr.
com/InanogluJacobsLiuSickles_BankEfficiency_2012Mar_3-14-12.ppt ).

Jacobs, Michael, “Stress Testing Credit Risk Portfolios”, Risk-Incisive Media Training Conference:
Credit Risk Management, New York, NY, March 20th, 2012 (online at http://www.youtube.
com/watch?v=6R04roIbyQQ&context=C4f03cbeADvjVQa1PpcFNdqb-
hkU6pCdaJZlm3IDmlNQAIZgDSLLc= or Jacobs_StrTstCrdtPrtfl_Risk_Mar2012_3-22-12_V21.pdf
).

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(online at http:
//www.youtube.com/watch?v=W6VKtPayJ2Y&context=C4eee273ADvjVQa1PpcFNdqb-
hkU6pCQYucMVUssvI-nxJH10Ybzs= ).

Jacobs, M. (2012), " Models for risk aggregation and sensitivity analysis:  an application to bank economic
capital ", in Kreuser, J.L. (ed.), Risk Management for Sovereign Institutions: , The Marketing &
Management Collection, Henry Stewart Talks Ltd, London (online at http://hstalks.com/?t=MM1453087-
Jacobs or http://www.youtube.com/watch?v=SvrNgxNBVBM&context=C462fb13ADvjVQa1PpcFNdqb-
hkU6pCZ3CKkqtO9XVOLhA9cougCM=  or http://michaeljacobsjr.
com/RiskAggregation_Jacobs_HenryStewart_1-12.pdf ).

Jacobs, M. (2012), "Quantitative measurement and management of liquidity risk in a banking
context", in Kreuser, J.L. (ed.), Risk Management for Sovereign Institutions: , The Marketing
& Management Collection, Henry Stewart Talks Ltd, London (online at http://michaeljacobsjr.
com/Jacobs_LiquidtyRisk_HenryStewart_1-12.pdf)

Jacobs, Jr., M., “Quantitative Measurement and Management of Liquidity Risk in a Banking
Context”, Global Association of Risk Professionals Annual Meeting, New York, N.Y.,
February 15th, 2010 (online at http://www.youtube.com/watch?v=fqCArC-
KHrA&context=C4473a35ADvjVQa1PpcFNdqb-
hkU6pCUWVXpF2XM7Qg0lwL_tkBnU= ).

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 (online at http://www.youtube.com/watch?
v=DEf47gapyqk&feature=plcp&context=C447f395VDvjVQa1PpcFNdqb-
hkU6pCb4Mu2B5km04b4uGtEDimdA%3D  ).


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

REFERENCES:

Dr. Michel Araten, Ph.D.
Managing Director - Retired
J.P. Morgan Chase
270 Park Avenue
New York, N.Y.
Email:aaraten@jaol.com

Dr. Jon Frye, Ph.D.
Senior Economist
Federal Reserve Bank of Chicago
230 South LaSalle Street
Chicago IL 60604
Office: 312-322-5035
Cellular: 630-306-4938
Email: Jon.Frye@chi.frb.org

David Keisman
Senior Vice-President
Moody’s Analytics
7 World Trade Center
New York, NY 10007
Office: 212-553-1487
Cellular: 917-405-8191
Email: David.Keisman@moodys.com

Dr. Kishore Tandon, Ph.D.
Chairman, Bert W. Wasserman Department of Economics and Finance
Zicklin School of Business, Baruch College, CUNY
55 Lexington Avenue
1 Bernard Baruch Way, Box 10-225
New York, NY  10010
Office: 646-312-3468
Cellular: 732-261-0161
Email: ktandon50@yahoo.com

Dr. Donald R. van Deventer, Ph.D.
Chairman and Chief Executive Officer Kamakura Corporation
2222 Kalakaua Avenue, Suite 1400
Honolulu, Hawaii 96815
Office: 1-808-791-9888, extension 8888
Email: dvandeventer@kamakuraco.com

Steve Bennett
Executive Director
Pan-European Credit Data Consortium
Office: 203-424-1053
Email: steve.bennett@pecdc.org

Dr. Ahmet Karagozoglu, Ph.D.
Professor of Finance
Hofstra University
Hempstead, N.Y.
Office: 917-698-4874
Email: akaragozoglu@gmail.com6/05-6/12
Resume Jacobs July 2014
Michael Jacobs, Jr., Ph.D., CFA : Resume