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Details about Michael Gordy

E-mail:
Homepage:http://michael.marginalq.com/
Phone:+1-202-452-3705
Workplace:Federal Reserve Board (Board of Governors of the Federal Reserve System), (more information at EDIRC)

Access statistics for papers by Michael Gordy.

Last updated 2016-11-29. Update your information in the RePEc Author Service.

Short-id: pgo10


Jump to Journal Articles Software Items

Working Papers

2016

  1. Counterparty Risk and Counterparty Choice in the Credit Default Swap Market
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads
  2. The Bank as Grim Reaper: Debt Composition and Bankruptcy Thresholds
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads

2015

  1. Bayesian Estimation of Time-Changed Default Intensity Models
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads

2013

  1. Expectations of functions of stochastic time with application to credit risk modeling
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads
    See also Journal Article in Mathematical Finance (2016)

2012

  1. On the distribution of a discrete sample path of a square-root diffusion
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads

2010

  1. Constant proportion debt obligations: a post-mortem analysis of rating models
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (1)
    See also Journal Article in Management Science (2012)
  2. Granularity adjustment for mark-to-market credit risk models
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads
    See also Journal Article in Journal of Banking & Finance (2012)

2008

  1. Nested simulation in portfolio risk measurement
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (3)
    See also Journal Article in Management Science (2010)

2007

  1. Granularity adjustment for Basel II
    Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, Research Centre Downloads View citations (10)
  2. The bank as grim reaper: debt composition and recoveries on defaulted debt
    Proceedings, Federal Reserve Bank of Chicago View citations (1)

2005

  1. Switching costs and adverse selection in the market for credit cards: new evidence
    Working Papers, Federal Reserve Bank of Philadelphia Downloads View citations (6)
    See also Journal Article in Journal of Banking & Finance (2006)

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.) Downloads View citations (55)
    See also Journal Article in Journal of Financial Intermediation (2003)

2000

  1. Credit VAR and risk-bucket capital rules: a reconciliation
    Proceedings, Federal Reserve Bank of Chicago View citations (11)

1998

  1. A comparative anatomy of credit risk models
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (72)
    See also Journal Article in Journal of Banking & Finance (2000)
  2. A generalization of generalized beta distributions
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (3)

1997

  1. Computationally convenient distributional assumptions for common value auctions
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads

    See also Journal Article in Computational Economics (1998)
    Software Item (1997)
  2. Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction
    Microeconomics, EconWPA Downloads
    See also Journal Article in The Review of Economics and Statistics (1999)

Undated

  1. Estimation of a Markov Model of Loan Seasoning with Aggregated Performance Data
    Computing in Economics and Finance 1997, Society for Computational Economics Downloads View citations (1)
  2. Multiple Bids in a Multiple-Unit Common Value Auction
    Computing in Economics and Finance 1996, Society for Computational Economics Downloads View citations (2)

Journal Articles

2016

  1. EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING
    Mathematical Finance, 2016, 26, (4), 748-784 Downloads
    See also Working Paper (2013)

2013

  1. Granularity Adjustment for Regulatory Capital Assessment
    International Journal of Central Banking, 2013, 9, (3), 38-77 Downloads View citations (3)

2012

  1. Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models
    Management Science, 2012, 58, (3), 476-492 Downloads View citations (2)
    See also Working Paper (2010)
  2. Granularity adjustment for mark-to-market credit risk models
    Journal of Banking & Finance, 2012, 36, (7), 1896-1910 Downloads View citations (6)
    See also Working Paper (2010)

2010

  1. Nested Simulation in Portfolio Risk Measurement
    Management Science, 2010, 56, (10), 1833-1848 Downloads View citations (10)
    See also Working Paper (2008)

2006

  1. Procyclicality in Basel II: Can we treat the disease without killing the patient?
    Journal of Financial Intermediation, 2006, 15, (3), 395-417 Downloads View citations (104)
  2. Switching costs and adverse selection in the market for credit cards: New evidence
    Journal of Banking & Finance, 2006, 30, (6), 1653-1685 Downloads View citations (35)
    See also Working Paper (2005)

2003

  1. A risk-factor model foundation for ratings-based bank capital rules
    Journal of Financial Intermediation, 2003, 12, (3), 199-232 Downloads View citations (187)
    See also Working Paper (2002)

2002

  1. Saddlepoint approximation of CreditRisk+
    Journal of Banking & Finance, 2002, 26, (7), 1335-1353 Downloads View citations (12)

2000

  1. A comparative anatomy of credit risk models
    Journal of Banking & Finance, 2000, 24, (1-2), 119-149 Downloads View citations (219)
    See also Working Paper (1998)

1999

  1. 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 Downloads View citations (20)
    See also Working Paper (1997)

1998

  1. Computationally Convenient Distributional Assumptions for Common-Value Auctions
    Computational Economics, 1998, 12, (1), 61-78 Downloads View citations (2)
    See also Working Paper (1997)

Software Items

1997

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

1996

  1. GA.M: A Matlab routine for function maximization using a Genetic Algorithm
    Matlab codes Downloads
 
Page updated 2017-03-28