Michael Gordy
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Gordy |
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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
Papers, arXiv.org (2017)
by Michael B. Gordy & Alexander J. McNeil
(ReDIF-paper, arx:papers:1708.01489) - Expectations Of Functions Of Stochastic Time With Application To Credit Risk Modeling
Mathematical Finance, Wiley Blackwell (2016)
by Ovidiu Costin & Michael B. Gordy & Min Huang & Pawel J. Szerszen
(ReDIF-article, bla:mathfi:v:26:y:2016:i:4:p:748-784) - Special Issue: Monitoring Systemic Risk: Data, Models and Metrics
Statistics & Risk Modeling, De Gruyter (2017)
by Cont Rama & Gordy Michael
(ReDIF-article, bpj:strimo:v:34:y:2017:i:3-4:p:89-89:n:4) - GA.M: A Matlab routine for function maximization using a Genetic Algorithm
Matlab codes, ()
by Michael B. Gordy
(ReDIF-software, cod:matlab:ga) - MATLAB/C code for GIG and BNLG common value auction specifications
Matlab codes, (1997)
by Michael Gordy & Margaret Kyle
(ReDIF-software, cod:matlab:gigbnlg) - Spectral backtests of forecast distributions with application to risk management
Journal of Banking & Finance, Elsevier (2020)
by Gordy, Michael B. & McNeil, Alexander J.
(ReDIF-article, eee:jbfina:v:116:y:2020:i:c:s0378426620300844) - A comparative anatomy of credit risk models
Journal of Banking & Finance, Elsevier (2000)
by Gordy, Michael B.
(ReDIF-article, eee:jbfina:v:24:y:2000:i:1-2:p:119-149) - Saddlepoint approximation of CreditRisk+
Journal of Banking & Finance, Elsevier (2002)
by Gordy, Michael B.
(ReDIF-article, eee:jbfina:v:26:y:2002:i:7:p:1335-1353) - Switching costs and adverse selection in the market for credit cards: New evidence
Journal of Banking & Finance, Elsevier (2006)
by Calem, Paul S. & Gordy, Michael B. & Mester, Loretta J.
(ReDIF-article, eee:jbfina:v:30:y:2006:i:6:p:1653-1685) - Granularity adjustment for mark-to-market credit risk models
Journal of Banking & Finance, Elsevier (2012)
by Gordy, Michael B. & Marrone, James
(ReDIF-article, eee:jbfina:v:36:y:2012:i:7:p:1896-1910) - The bank as Grim Reaper: Debt composition and bankruptcy thresholds
Journal of Financial Economics, Elsevier (2021)
by Carey, Mark & Gordy, Michael B.
(ReDIF-article, eee:jfinec:v:142:y:2021:i:3:p:1092-1108) - A risk-factor model foundation for ratings-based bank capital rules
Journal of Financial Intermediation, Elsevier (2003)
by Gordy, Michael B.
(ReDIF-article, eee:jfinin:v:12:y:2003:i:3:p:199-232) - Procyclicality in Basel II: Can we treat the disease without killing the patient?
Journal of Financial Intermediation, Elsevier (2006)
by Gordy, Michael B. & Howells, Bradley
(ReDIF-article, eee:jfinin:v:15:y:2006:i:3:p:395-417) - Computationally Convenient Distributional Assumptions for Common Value Auctions
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) ()
by Michael B. Gordy
(ReDIF-paper, fip:fedgfe:1997-05) - Computationally convenient distributional assumptions for common value auctions
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1997)
by Michael B. Gordy
(ReDIF-paper, fip:fedgfe:1997-5) - A generalization of generalized beta distributions
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1998)
by Michael B. Gordy
(ReDIF-paper, fip:fedgfe:1998-18) - A comparative anatomy of credit risk models
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1998)
by Michael B. Gordy
(ReDIF-paper, fip:fedgfe:1998-47) - 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.) (2002)
by Michael B. Gordy
(ReDIF-paper, fip:fedgfe:2002-55) - Nested simulation in portfolio risk measurement
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2008)
by Michael B. Gordy & Sandeep Juneja
(ReDIF-paper, fip:fedgfe:2008-21) - 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.) (2010)
by Michael B. Gordy & Søren Willemann
(ReDIF-paper, fip:fedgfe:2010-05) - Granularity adjustment for mark-to-market credit risk models
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2010)
by Michael B. Gordy & James Marrone
(ReDIF-paper, fip:fedgfe:2010-37) - 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.) (2012)
by Michael B. Gordy
(ReDIF-paper, fip:fedgfe:2012-12) - 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.) (2013)
by Ovidiu Costin & Michael B. Gordy & Min Huang & Pawel J. Szerszen
(ReDIF-paper, fip:fedgfe:2013-14) - Bayesian Estimation of Time-Changed Default Intensity Models
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2015)
by Michael B. Gordy & Pawel J. Szerszen
(ReDIF-paper, fip:fedgfe:2015-02) - 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.) (2016)
by Mark S. Carey & Michael B. Gordy
(ReDIF-paper, fip:fedgfe:2016-69) - 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.) (2016)
by Wenxin Du & Salil Gadgil & Michael B. Gordy & Clara Vega
(ReDIF-paper, fip:fedgfe:2016-87) - Spectral Backtests of Forecast Distributions with Application to Risk Management
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2018)
by Michael B. Gordy & Alexander J. McNeil
(ReDIF-paper, fip:fedgfe:2018-21) - Spectral backtests unbounded and folded
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2024)
by Michael B. Gordy & Alexander J. McNeil
(ReDIF-paper, fip:fedgfe:2024-60) - The bank as grim reaper: debt composition and recoveries on defaulted debt
Proceedings, Federal Reserve Bank of Chicago (2007)
by Mark S. Carey & Michael B. Gordy
(ReDIF-paper, fip:fedhpr:1056) - Credit VAR and risk-bucket capital rules: a reconciliation
Proceedings, Federal Reserve Bank of Chicago (2000)
by Michael B. Gordy
(ReDIF-paper, fip:fedhpr:685) - Switching costs and adverse selection in the market for credit cards: new evidence
Working Papers, Federal Reserve Bank of Philadelphia (2005)
by Paul S. Calem & Michael B. Gordy & Loretta J. Mester
(ReDIF-paper, fip:fedpwp:05-16) - Granularity Adjustment for Regulatory Capital Assessment
International Journal of Central Banking, International Journal of Central Banking (2013)
by M. B. Gordy & E. Lutkebohmert
(ReDIF-article, ijc:ijcjou:y:2013:q:3:a:2) - Nested Simulation in Portfolio Risk Measurement
Management Science, INFORMS (2010)
by Michael B. Gordy & Sandeep Juneja
(ReDIF-article, inm:ormnsc:v:56:y:2010:i:10:p:1833-1848) - Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models
Management Science, INFORMS (2012)
by Michael B. Gordy & SØren Willemann
(ReDIF-article, inm:ormnsc:v:58:y:2012:i:3:p:476-492) - Computationally Convenient Distributional Assumptions for Common-Value Auctions
Computational Economics, Springer;Society for Computational Economics (1998)
by Gordy, Michael B
(ReDIF-article, kap:compec:v:12:y:1998:i:1:p:61-78) - Multiple Bids in a Multiple-Unit Common Value Auction
Computing in Economics and Finance 1996, Society for Computational Economics ()
by Michael B. Gordy
(ReDIF-paper, sce:scecf6:_021) - Estimation of a Markov Model of Loan Seasoning with Aggregated Performance Data
Computing in Economics and Finance 1997, Society for Computational Economics ()
by Robert B. Avery & Michael Gordy
(ReDIF-paper, sce:scecf7:95) - Hedging Winner'S Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction
The Review of Economics and Statistics, MIT Press (1999)
by Michael B. Gordy
(ReDIF-article, tpr:restat:v:81:y:1999:i:3:p:448-465) - Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction
Microeconomics, University Library of Munich, Germany (1997)
by Michael B. Gordy
(ReDIF-paper, wpa:wuwpmi:9702002) - Small-Sample Estimation of Models of Portfolio Credit Risk
World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2010)
by Michael B. Gordy & Erik Heitfield
(ReDIF-chapter, wsi:wschap:9789814304078_0002) - Granularity adjustment for Basel II
Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank (2007)
by Lütkebohmert, Eva & Gordy, Michael B.
(ReDIF-paper, zbw:bubdp2:5353)