Michael Jacobs, Ph.D., CFA is a Principal Director in the Risk Analytics practice of Accenture and leads the practice in risk modeling, analytics and methodology in North America. Mike is a Subject Matter Expert in risk model development and validation across a range of risk (credit, market and operational) and product (traditional and traded credit as well as financial derivatives), with a particular focus on regulatory solutions. Mike ha 25 years of experience in financial risk modeling and analytics, having worked in advisory for prudential regulation and risk modeling as a Director in the Big Four, a Senior Economist with the U.S. banking regulators and a lead model developer in the banking industry. His skills include model development & validation for CCAR, PPNR, credit / market / operational risk; Basel and ICAAPP; model risk management; financial regulation; advanced statistical and optimization methodologies. Mike holds a doctorate in mathematical finance from C.U.N.Y. / Zicklin School of Business; an M.A. / A.B.D. in Mathematical Economics and a B.S., both from S.U.N.Y. Stony Brook; and is a Chartered Financial Analyst. Mike is extensively published in refereed academic and practitioner journals, and has spoken at several high profile venues.
Asset price bubbles and the quantification of credit risk capital with sensitivity analysis, empirical implementation and an application to stress testing
This paper presents an analysis of the impact of asset price bubbles on standard credit risk measures.