Details about Michael Gordy

Access statistics for papers by Michael Gordy.

Last updated 2024-06-05. Update your information in the RePEc Author Service.

Short-id: pgo10

Working Papers

2024

1. Spectral backtests unbounded and folded
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

2019

2. Computationally Convenient Distributional Assumptions for Common Value Auctions
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
   Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1997) View citations (1)
   See also Journal Article Computationally Convenient Distributional Assumptions for Common-Value Auctions, Computational Economics, Springer (1998) View citations (11) (1998)
3. Spectral backtests of forecast distributions with application to risk management
   Papers, arXiv.org View citations (2)
   Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2018) View citations (1)
   See also Journal Article Spectral backtests of forecast distributions with application to risk management, Journal of Banking & Finance, Elsevier (2020) View citations (2) (2020)

2016

4. 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.) View citations (12)
5. 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.) View citations (3)
   See also Journal Article The bank as Grim Reaper: Debt composition and bankruptcy thresholds, Journal of Financial Economics, Elsevier (2021) View citations (4) (2021)

2015

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

2013

7. 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.)
   See also Journal Article EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING, Mathematical Finance, Wiley Blackwell (2016) View citations (1) (2016)

2012

8. 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

9. 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.) View citations (1)
   See also Journal Article Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models, Management Science, INFORMS (2012) View citations (8) (2012)
10. 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 Granularity adjustment for mark-to-market credit risk models, Journal of Banking & Finance, Elsevier (2012) View citations (11) (2012)

2008

11. Nested simulation in portfolio risk measurement
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (5)
    See also Journal Article Nested Simulation in Portfolio Risk Measurement, Management Science, INFORMS (2010) View citations (78) (2010)

2007

12. Granularity adjustment for Basel II
    Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank View citations (21)
13. The bank as grim reaper: debt composition and recoveries on defaulted debt
    Proceedings, Federal Reserve Bank of Chicago View citations (14)

2005

14. Switching costs and adverse selection in the market for credit cards: new evidence
    Working Papers, Federal Reserve Bank of Philadelphia View citations (8)
    See also Journal Article Switching costs and adverse selection in the market for credit cards: New evidence, Journal of Banking & Finance, Elsevier (2006) View citations (57) (2006)

2002

15. 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 (52)
    See also Journal Article A risk-factor model foundation for ratings-based bank capital rules, Journal of Financial Intermediation, Elsevier (2003) View citations (328) (2003)

2000

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

1998

17. A comparative anatomy of credit risk models
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (75)
    See also Journal Article A comparative anatomy of credit risk models, Journal of Banking & Finance, Elsevier (2000) View citations (293) (2000)
18. A generalization of generalized beta distributions
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (7)

1997

19. Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction
    Microeconomics, University Library of Munich, Germany
    See also Journal Article Hedging Winner'S Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction, The Review of Economics and Statistics, MIT Press (1999) View citations (32) (1999)

Undated

20. Estimation of a Markov Model of Loan Seasoning with Aggregated Performance Data
    Computing in Economics and Finance 1997, Society for Computational Economics View citations (2)
21. Multiple Bids in a Multiple-Unit Common Value Auction
    Computing in Economics and Finance 1996, Society for Computational Economics View citations (6)

Journal Articles

2021

1. The bank as Grim Reaper: Debt composition and bankruptcy thresholds
   Journal of Financial Economics, 2021, 142, (3), 1092-1108 View citations (4)
   See also Working Paper The Bank as Grim Reaper: Debt Composition and Bankruptcy Thresholds, Finance and Economics Discussion Series (2016) View citations (3) (2016)

2020

2. Spectral backtests of forecast distributions with application to risk management
   Journal of Banking & Finance, 2020, 116, (C) View citations (2)
   See also Working Paper Spectral backtests of forecast distributions with application to risk management, Papers (2019) View citations (2) (2019)

2017

3. Special Issue: Monitoring Systemic Risk: Data, Models and Metrics
   Statistics & Risk Modeling, 2017, 34, (3-4), 89-89

2016

4. EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING
   Mathematical Finance, 2016, 26, (4), 748-784 View citations (1)
   See also Working Paper Expectations of functions of stochastic time with application to credit risk modeling, Finance and Economics Discussion Series (2013) (2013)

2013

5. Granularity Adjustment for Regulatory Capital Assessment
   International Journal of Central Banking, 2013, 9, (3), 38-77 View citations (15)

2012

6. Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models
   Management Science, 2012, 58, (3), 476-492 View citations (8)
   See also Working Paper Constant proportion debt obligations: a post-mortem analysis of rating models, Finance and Economics Discussion Series (2010) View citations (1) (2010)
7. Granularity adjustment for mark-to-market credit risk models
   Journal of Banking & Finance, 2012, 36, (7), 1896-1910 View citations (11)
   See also Working Paper Granularity adjustment for mark-to-market credit risk models, Finance and Economics Discussion Series (2010) (2010)

2010

8. Nested Simulation in Portfolio Risk Measurement
   Management Science, 2010, 56, (10), 1833-1848 View citations (78)
   See also Working Paper Nested simulation in portfolio risk measurement, Finance and Economics Discussion Series (2008) View citations (5) (2008)

2006

9. Procyclicality in Basel II: Can we treat the disease without killing the patient?
   Journal of Financial Intermediation, 2006, 15, (3), 395-417 View citations (204)
10. Switching costs and adverse selection in the market for credit cards: New evidence
    Journal of Banking & Finance, 2006, 30, (6), 1653-1685 View citations (57)
    See also Working Paper Switching costs and adverse selection in the market for credit cards: new evidence, Working Papers (2005) View citations (8) (2005)

2003

11. A risk-factor model foundation for ratings-based bank capital rules
    Journal of Financial Intermediation, 2003, 12, (3), 199-232 View citations (328)
    See also Working Paper A risk-factor model foundation for ratings-based bank capital rules, Finance and Economics Discussion Series (2002) View citations (52) (2002)

2002

12. Saddlepoint approximation of CreditRisk+
    Journal of Banking & Finance, 2002, 26, (7), 1335-1353 View citations (23)

2000

13. A comparative anatomy of credit risk models
    Journal of Banking & Finance, 2000, 24, (1-2), 119-149 View citations (293)
    See also Working Paper A comparative anatomy of credit risk models, Finance and Economics Discussion Series (1998) View citations (75) (1998)

1999

14. 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 (32)
    See also Working Paper Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction, Microeconomics (1997) (1997)

1998

15. Computationally Convenient Distributional Assumptions for Common-Value Auctions
    Computational Economics, 1998, 12, (1), 61-78 View citations (11)
    See also Working Paper Computationally Convenient Distributional Assumptions for Common Value Auctions, Finance and Economics Discussion Series (2019) (2019)

Chapters

2010

1. Small-Sample Estimation of Models of Portfolio Credit Risk
   Chapter 2 in Recent Advances In Financial Engineering 2009, 2010, pp 43-63 View citations (7)

Software Items

1997

1. MATLAB/C code for GIG and BNLG common value auction specifications
   Matlab codes

1996

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