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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 2022-10-20. Update your information in the RePEc Author Service.

Short-id: pgo10


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Working Papers

2019

  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.) (1997) Downloads View citations (1)

    See also Journal Article Computationally Convenient Distributional Assumptions for Common-Value Auctions, Computational Economics, Springer (1998) Downloads View citations (10) (1998)
  2. Spectral backtests of forecast distributions with application to risk management
    Papers, arXiv.org Downloads View citations (2)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2018) Downloads View citations (1)

    See also Journal Article Spectral backtests of forecast distributions with application to risk management, Journal of Banking & Finance, Elsevier (2020) Downloads View citations (1) (2020)

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

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 View citations (1)

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 EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING, Mathematical Finance, Wiley Blackwell (2016) Downloads View citations (1) (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 Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models, Management Science, INFORMS (2012) Downloads View citations (8) (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 Granularity adjustment for mark-to-market credit risk models, Journal of Banking & Finance, Elsevier (2012) Downloads View citations (9) (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 (5)
    See also Journal Article Nested Simulation in Portfolio Risk Measurement, Management Science, INFORMS (2010) Downloads View citations (72) (2010)

2007

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

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 (8)
    See also Journal Article Switching costs and adverse selection in the market for credit cards: New evidence, Journal of Banking & Finance, Elsevier (2006) Downloads View citations (55) (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 (52)
    See also Journal Article A risk-factor model foundation for ratings-based bank capital rules, Journal of Financial Intermediation, Elsevier (2003) Downloads View citations (317) (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 (75)
    See also Journal Article A comparative anatomy of credit risk models, Journal of Banking & Finance, Elsevier (2000) Downloads View citations (290) (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 (7)

1997

  1. Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction
    Microeconomics, University Library of Munich, Germany Downloads
    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) Downloads View citations (32) (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 (2)
  2. Multiple Bids in a Multiple-Unit Common Value Auction
    Computing in Economics and Finance 1996, Society for Computational Economics Downloads 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 Downloads View citations (3)
    See also Working Paper The Bank as Grim Reaper: Debt Composition and Bankruptcy Thresholds, Finance and Economics Discussion Series (2016) Downloads View citations (3) (2016)

2020

  1. Spectral backtests of forecast distributions with application to risk management
    Journal of Banking & Finance, 2020, 116, (C) Downloads View citations (1)
    See also Working Paper Spectral backtests of forecast distributions with application to risk management, Papers (2019) Downloads View citations (2) (2019)

2017

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

2016

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

2013

  1. Granularity Adjustment for Regulatory Capital Assessment
    International Journal of Central Banking, 2013, 9, (3), 38-77 Downloads View citations (13)

2012

  1. Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models
    Management Science, 2012, 58, (3), 476-492 Downloads View citations (8)
    See also Working Paper Constant proportion debt obligations: a post-mortem analysis of rating models, Finance and Economics Discussion Series (2010) Downloads View citations (1) (2010)
  2. Granularity adjustment for mark-to-market credit risk models
    Journal of Banking & Finance, 2012, 36, (7), 1896-1910 Downloads View citations (9)
    See also Working Paper Granularity adjustment for mark-to-market credit risk models, Finance and Economics Discussion Series (2010) Downloads (2010)

2010

  1. Nested Simulation in Portfolio Risk Measurement
    Management Science, 2010, 56, (10), 1833-1848 Downloads View citations (72)
    See also Working Paper Nested simulation in portfolio risk measurement, Finance and Economics Discussion Series (2008) Downloads View citations (5) (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 (201)
  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 (55)
    See also Working Paper Switching costs and adverse selection in the market for credit cards: new evidence, Working Papers (2005) Downloads View citations (8) (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 (317)
    See also Working Paper A risk-factor model foundation for ratings-based bank capital rules, Finance and Economics Discussion Series (2002) Downloads View citations (52) (2002)

2002

  1. Saddlepoint approximation of CreditRisk+
    Journal of Banking & Finance, 2002, 26, (7), 1335-1353 Downloads View citations (21)

2000

  1. A comparative anatomy of credit risk models
    Journal of Banking & Finance, 2000, 24, (1-2), 119-149 Downloads View citations (290)
    See also Working Paper A comparative anatomy of credit risk models, Finance and Economics Discussion Series (1998) Downloads View citations (75) (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 (32)
    See also Working Paper Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction, Microeconomics (1997) Downloads (1997)

1998

  1. Computationally Convenient Distributional Assumptions for Common-Value Auctions
    Computational Economics, 1998, 12, (1), 61-78 Downloads View citations (10)
    See also Working Paper Computationally Convenient Distributional Assumptions for Common Value Auctions, Finance and Economics Discussion Series (2019) Downloads (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 Downloads View citations (7)

Software Items

1997

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

1996

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