Michael Gordy
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Michael |
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Gordy |
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Affiliations
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Federal Reserve Board (Board of Governors of the Federal Reserve System)
Research profile
author of:
- Spectral backtests of forecast distributions with application to risk management (RePEc:arx:papers:1708.01489)
by Michael B. Gordy & Alexander J. McNeil - Expectations Of Functions Of Stochastic Time With Application To Credit Risk Modeling (RePEc:bla:mathfi:v:26:y:2016:i:4:p:748-784)
by Ovidiu Costin & Michael B. Gordy & Min Huang & Pawel J. Szerszen - Special Issue: Monitoring Systemic Risk: Data, Models and Metrics (RePEc:bpj:strimo:v:34:y:2017:i:3-4:p:89-89:n:4)
by Cont Rama & Gordy Michael - GA.M: A Matlab routine for function maximization using a Genetic Algorithm (RePEc:cod:matlab:ga)
by Michael B. Gordy - MATLAB/C code for GIG and BNLG common value auction specifications (RePEc:cod:matlab:gigbnlg)
by Michael Gordy & Margaret Kyle - Spectral backtests of forecast distributions with application to risk management (RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620300844)
by Gordy, Michael B. & McNeil, Alexander J. - A comparative anatomy of credit risk models (RePEc:eee:jbfina:v:24:y:2000:i:1-2:p:119-149)
by Gordy, Michael B. - Saddlepoint approximation of CreditRisk+ (RePEc:eee:jbfina:v:26:y:2002:i:7:p:1335-1353)
by Gordy, Michael B. - Switching costs and adverse selection in the market for credit cards: New evidence (RePEc:eee:jbfina:v:30:y:2006:i:6:p:1653-1685)
by Calem, Paul S. & Gordy, Michael B. & Mester, Loretta J. - Granularity adjustment for mark-to-market credit risk models (RePEc:eee:jbfina:v:36:y:2012:i:7:p:1896-1910)
by Gordy, Michael B. & Marrone, James - The bank as Grim Reaper: Debt composition and bankruptcy thresholds (RePEc:eee:jfinec:v:142:y:2021:i:3:p:1092-1108)
by Carey, Mark & Gordy, Michael B. - A risk-factor model foundation for ratings-based bank capital rules (RePEc:eee:jfinin:v:12:y:2003:i:3:p:199-232)
by Gordy, Michael B. - Procyclicality in Basel II: Can we treat the disease without killing the patient? (RePEc:eee:jfinin:v:15:y:2006:i:3:p:395-417)
by Gordy, Michael B. & Howells, Bradley - Computationally Convenient Distributional Assumptions for Common Value Auctions (RePEc:fip:fedgfe:1997-05)
by Michael B. Gordy - Computationally convenient distributional assumptions for common value auctions (RePEc:fip:fedgfe:1997-5)
by Michael B. Gordy - A generalization of generalized beta distributions (RePEc:fip:fedgfe:1998-18)
by Michael B. Gordy - A comparative anatomy of credit risk models (RePEc:fip:fedgfe:1998-47)
by Michael B. Gordy - A risk-factor model foundation for ratings-based bank capital rules (RePEc:fip:fedgfe:2002-55)
by Michael B. Gordy - Nested simulation in portfolio risk measurement (RePEc:fip:fedgfe:2008-21)
by Michael B. Gordy & Sandeep Juneja - Constant proportion debt obligations: a post-mortem analysis of rating models (RePEc:fip:fedgfe:2010-05)
by Michael B. Gordy & Søren Willemann - Granularity adjustment for mark-to-market credit risk models (RePEc:fip:fedgfe:2010-37)
by Michael B. Gordy & James Marrone - On the distribution of a discrete sample path of a square-root diffusion (RePEc:fip:fedgfe:2012-12)
by Michael B. Gordy - Expectations of functions of stochastic time with application to credit risk modeling (RePEc:fip:fedgfe:2013-14)
by Ovidiu Costin & Michael B. Gordy & Min Huang & Pawel J. Szerszen - Bayesian Estimation of Time-Changed Default Intensity Models (RePEc:fip:fedgfe:2015-02)
by Michael B. Gordy & Pawel J. Szerszen - The Bank as Grim Reaper : Debt Composition and Bankruptcy Thresholds (RePEc:fip:fedgfe:2016-69)
by Mark S. Carey & Michael B. Gordy - Counterparty Risk and Counterparty Choice in the Credit Default Swap Market (RePEc:fip:fedgfe:2016-87)
by Wenxin Du & Salil Gadgil & Michael B. Gordy & Clara Vega - Spectral Backtests of Forecast Distributions with Application to Risk Management (RePEc:fip:fedgfe:2018-21)
by Michael B. Gordy & Alexander J. McNeil - Spectral backtests unbounded and folded (RePEc:fip:fedgfe:2024-60)
by Michael B. Gordy & Alexander J. McNeil - The bank as grim reaper: debt composition and recoveries on defaulted debt (RePEc:fip:fedhpr:1056)
by Mark S. Carey & Michael B. Gordy - Credit VAR and risk-bucket capital rules: a reconciliation (RePEc:fip:fedhpr:685)
by Michael B. Gordy - Switching costs and adverse selection in the market for credit cards: new evidence (RePEc:fip:fedpwp:05-16)
by Paul S. Calem & Michael B. Gordy & Loretta J. Mester - Granularity Adjustment for Regulatory Capital Assessment (RePEc:ijc:ijcjou:y:2013:q:3:a:2)
by M. B. Gordy & E. Lutkebohmert - Nested Simulation in Portfolio Risk Measurement (RePEc:inm:ormnsc:v:56:y:2010:i:10:p:1833-1848)
by Michael B. Gordy & Sandeep Juneja - Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models (RePEc:inm:ormnsc:v:58:y:2012:i:3:p:476-492)
by Michael B. Gordy & SØren Willemann - Counterparty Risk and Counterparty Choice in the Credit Default Swap Market (RePEc:inm:ormnsc:v:70:y:2024:i:6:p:3808-3826)
by Wenxin Du & Salil Gadgil & Michael B. Gordy & Clara Vega - Computationally Convenient Distributional Assumptions for Common-Value Auctions (RePEc:kap:compec:v:12:y:1998:i:1:p:61-78)
by Gordy, Michael B - Multiple Bids in a Multiple-Unit Common Value Auction (RePEc:sce:scecf6:_021)
by Michael B. Gordy - Estimation of a Markov Model of Loan Seasoning with Aggregated Performance Data (RePEc:sce:scecf7:95)
by Robert B. Avery & Michael Gordy - Hedging Winner'S Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction (RePEc:tpr:restat:v:81:y:1999:i:3:p:448-465)
by Michael B. Gordy - Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction (RePEc:wpa:wuwpmi:9702002)
by Michael B. Gordy - Small-Sample Estimation of Models of Portfolio Credit Risk (RePEc:wsi:wschap:9789814304078_0002)
by Michael B. Gordy & Erik Heitfield - Granularity adjustment for Basel II (RePEc:zbw:bubdp2:5353)
by Lütkebohmert, Eva & Gordy, Michael B.