Details about Michael Gordy

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Short-id: pgo10

Working Papers

2002

1. A risk-factor model foundation for ratings-based bank capital rules
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations

1998

2. A comparative anatomy of credit risk models
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations
3. A generalization of generalized beta distributions
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations

1997

4. Computationally convenient distributional assumptions for common value auctions
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
   See also Journal Article in Computational Economics (1998)
   Software Item (1997)

Undated

5. Estimation of a Markov Model of Loan Seasoning with Aggregated Performance Data
   Computing in Economics and Finance 1997, Society for Computational Economics
6. Multiple Bids in a Multiple-Unit Common Value Auction
   Computing in Economics and Finance 1996, Society for Computational Economics View citations

Journal Articles

2000

1. Credit VAR and risk-bucket capital rules: a reconciliation
   Proceedings, 2000, (May), 406-417 View citations

1999

2. Hedging Winner'S Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction
   The Review of Economics and Statistics, 1999, 81, (3), 448-465 View citations

1998

3. Computationally Convenient Distributional Assumptions for Common-Value Auctions
   Computational Economics, 1998, 12, (1), 61-78 View citations
   See also Working Paper (1997)

Software Items

1997

1. MATLAB/C code for GIG and BNLG common value auction specifications
   Matlab codes
   See also Working Paper (1997)

1996

2. GA.M: A Matlab routine for function maximization using a Genetic Algorithm
   Matlab codes