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
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Working Papers
2024
- Spectral backtests unbounded and folded
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
2019
- 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)
- 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
- 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)
- 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
- 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
- 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
- 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
- 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)
- 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
- 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
- Granularity adjustment for Basel II
Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank View citations (21)
- The bank as grim reaper: debt composition and recoveries on defaulted debt
Proceedings, Federal Reserve Bank of Chicago View citations (14)
2005
- 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
- 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 (322) (2003)
2000
- Credit VAR and risk-bucket capital rules: a reconciliation
Proceedings, Federal Reserve Bank of Chicago View citations (11)
1998
- 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 (292) (2000)
- 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
- 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
- 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)
- 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
- 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
- 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
- Special Issue: Monitoring Systemic Risk: Data, Models and Metrics
Statistics & Risk Modeling, 2017, 34, (3-4), 89-89
2016
- 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
- Granularity Adjustment for Regulatory Capital Assessment
International Journal of Central Banking, 2013, 9, (3), 38-77 View citations (15)
2012
- 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)
- 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
- 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
- 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)
- 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
- A risk-factor model foundation for ratings-based bank capital rules
Journal of Financial Intermediation, 2003, 12, (3), 199-232 View citations (322)
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
- Saddlepoint approximation of CreditRisk+
Journal of Banking & Finance, 2002, 26, (7), 1335-1353 View citations (22)
2000
- A comparative anatomy of credit risk models
Journal of Banking & Finance, 2000, 24, (1-2), 119-149 View citations (292)
See also Working Paper A comparative anatomy of credit risk models, Finance and Economics Discussion Series (1998) View citations (75) (1998)
1999
- 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
- 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
- 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
- MATLAB/C code for GIG and BNLG common value auction specifications
Matlab codes
1996
- GA.M: A Matlab routine for function maximization using a Genetic Algorithm
Matlab codes
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