Doctoral Research
Jacobs, "A Comparison of Fixed Income Valuation Models - Pricing and Econometric Analysis of Interest Rate
Derivatives", Unpublished CUNY Dissertation, 2001
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., 2011 (September), Quantitative measurement and management of liquidity risk in a banking context,
Working paper, U.S. Office of the Comptroller of the Currency.   
Jacobs, Jr., M., 2011 (September), Adjusting default rates for withdrawn ratings: implications for
probability-of-default estimation and Basel II quantification, Working paper, U.S. Office of the Comptroller of the
Currency.   
Jacobs, Jr., M, 2011 (May), A Bayesian network framework for modeling and measuring credit risk concentrations,
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.
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.   
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.
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., and Kiefer, N.M., 2011 (May), The Bayesian approach to default risk analysis and the prediction of
default rates, Forthcoming in The Econometric Review.
Michael Jacobs Jr.: Working Papers
Jacobs, Jr., M., and F.J. Sensenbrenner, 2015 (June), Stress testing and the quantification of the dependency structure
amongst portfolio segments in top-down credit risk modeling, Working paper.
Jacobs, Jr., M., 2016 (March), Asset price bubbles and the quantification of credit risk capital, Under review for the
Journal of Credit Risk.