Details about Michael Gordy

Access statistics for papers by Michael Gordy.

Last updated 2013-04-16. Update your information in the RePEc Author Service.

Short-id: pgo10

Working Papers

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.)

2012

2. 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.)

2010

3. 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.)
   See also Journal Article in Management Science (2012)
4. Granularity adjustment for mark-to-market credit risk models
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
   See also Journal Article in Journal of Banking & Finance (2012)

2008

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

2007

6. Granularity adjustment for Basel II
   Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, Research Centre View citations (9)

2005

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

2002

8. 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 (55)
   See also Journal Article in Journal of Financial Intermediation (2003)

1998

9. A comparative anatomy of credit risk models
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (78)
   See also Journal Article in Journal of Banking & Finance (2000)
10. A generalization of generalized beta distributions
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (3)

1997

11. 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)
12. Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction
    Microeconomics, EconWPA
    See also Journal Article in The Review of Economics and Statistics (1999)

Undated

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

Journal Articles

2012

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

2010

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

2007

4. The bank as grim reaper: debt composition and recoveries on defaulted debt
   Proceedings, 2007, (May), 336-354 View citations (5)

2006

5. Procyclicality in Basel II: Can we treat the disease without killing the patient?
   Journal of Financial Intermediation, 2006, 15, (3), 395-417 View citations (52)
6. Switching costs and adverse selection in the market for credit cards: New evidence
   Journal of Banking & Finance, 2006, 30, (6), 1653-1685 View citations (13)
   See also Working Paper (2005)

2003

7. A risk-factor model foundation for ratings-based bank capital rules
   Journal of Financial Intermediation, 2003, 12, (3), 199-232 View citations (85)
   See also Working Paper (2002)

2002

8. Saddlepoint approximation of CreditRisk+
   Journal of Banking & Finance, 2002, 26, (7), 1335-1353 View citations (10)

2000

9. A comparative anatomy of credit risk models
   Journal of Banking & Finance, 2000, 24, (1-2), 119-149 View citations (142)
   See also Working Paper (1998)
10. Credit VAR and risk-bucket capital rules: a reconciliation
    Proceedings, 2000, (May), 406-417 View citations (11)

1999

11. 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 (15)
    See also Working Paper (1997)

1998

12. Computationally Convenient Distributional Assumptions for Common-Value Auctions
    Computational Economics, 1998, 12, (1), 61-78 View citations (1)
    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