Advanced Search
MyIDEAS: Login to follow this author

Michael Gordy

Contents:

This is information that was supplied by Michael Gordy in registering through RePEc. If you are Michael Gordy , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Michael
Middle Name:
Last Name: Gordy
Suffix:

RePEc Short-ID: pgo10

Email:
Homepage: http://michael.marginalq.com/
Postal Address:
Phone: +1-202-452-3705

Affiliation

Federal Reserve Board (Board of Governors of the Federal Reserve System)
Location: Washington, District of Columbia (United States)
Homepage: http://www.federalreserve.gov/
Email:
Phone:
Fax:
Postal: 20th Street and Constitution Avenue, NW, Washington, DC 20551
Handle: RePEc:edi:frbgvus (more details at EDIRC)

Works

as in new window

Working papers

  1. Ovidiu Costin & Michael B. Gordy & Min Huang & Pawel J. Szerszen, 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.) 2013-14, Board of Governors of the Federal Reserve System (U.S.).
  2. Michael B. Gordy, 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.) 2012-12, Board of Governors of the Federal Reserve System (U.S.).
  3. Michael B. Gordy & Søren Willemann, 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.) 2010-05, Board of Governors of the Federal Reserve System (U.S.).
  4. Michael B. Gordy & James Marrone, 2010. "Granularity adjustment for mark-to-market credit risk models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2010-37, Board of Governors of the Federal Reserve System (U.S.).
  5. Michael B. Gordy & Sandeep Juneja, 2008. "Nested simulation in portfolio risk measurement," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2008-21, Board of Governors of the Federal Reserve System (U.S.).
  6. Lütkebohmert, Eva & Gordy, Michael B., 2007. "Granularity adjustment for Basel II," Discussion Paper Series 2: Banking and Financial Studies 2007,01, Deutsche Bundesbank, Research Centre.
  7. Paul S. Calem & Michael B. Gordy & Loretta J. Mester, 2005. "Switching costs and adverse selection in the market for credit cards: new evidence," Working Papers 05-16, Federal Reserve Bank of Philadelphia.
  8. Michael B. Gordy, 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.) 2002-55, Board of Governors of the Federal Reserve System (U.S.).
  9. Michael B. Gordy, 1998. "A generalization of generalized beta distributions," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 1998-18, Board of Governors of the Federal Reserve System (U.S.).
  10. Michael B. Gordy, 1998. "A comparative anatomy of credit risk models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 1998-47, Board of Governors of the Federal Reserve System (U.S.).
  11. Michael B. Gordy, 1997. "Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction," Microeconomics, EconWPA 9702002, EconWPA.
  12. Michael B. Gordy, 1997. "Computationally convenient distributional assumptions for common value auctions," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 1997-5, Board of Governors of the Federal Reserve System (U.S.).
  13. Michael B. Gordy, . "Multiple Bids in a Multiple-Unit Common Value Auction," Computing in Economics and Finance 1996 _021, Society for Computational Economics.
  14. Robert B. Avery & Michael Gordy, . "Estimation of a Markov Model of Loan Seasoning with Aggregated Performance Data," Computing in Economics and Finance 1997 95, Society for Computational Economics.

Articles

  1. Michael B. Gordy & SØren Willemann, 2012. "Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models," Management Science, INFORMS, INFORMS, vol. 58(3), pages 476-492, March.
  2. Gordy, Michael B. & Marrone, James, 2012. "Granularity adjustment for mark-to-market credit risk models," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1896-1910.
  3. Michael B. Gordy & Sandeep Juneja, 2010. "Nested Simulation in Portfolio Risk Measurement," Management Science, INFORMS, INFORMS, vol. 56(10), pages 1833-1848, October.
  4. Gordy, Michael B. & Howells, Bradley, 2006. "Procyclicality in Basel II: Can we treat the disease without killing the patient?," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 15(3), pages 395-417, July.
  5. Calem, Paul S. & Gordy, Michael B. & Mester, Loretta J., 2006. "Switching costs and adverse selection in the market for credit cards: New evidence," Journal of Banking & Finance, Elsevier, vol. 30(6), pages 1653-1685, June.
  6. Gordy, Michael B., 2003. "A risk-factor model foundation for ratings-based bank capital rules," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 12(3), pages 199-232, July.
  7. Gordy, Michael B., 2002. "Saddlepoint approximation of CreditRisk+," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1335-1353, July.
  8. Gordy, Michael B., 2000. "A comparative anatomy of credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 119-149, January.
  9. Michael B. Gordy, 1999. "Hedging Winner'S Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction," The Review of Economics and Statistics, MIT Press, vol. 81(3), pages 448-465, August.
  10. Gordy, Michael B, 1998. "Computationally Convenient Distributional Assumptions for Common-Value Auctions," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 12(1), pages 61-78, August.

Software components

  1. Michael Gordy & Margaret Kyle, 1997. "MATLAB/C code for GIG and BNLG common value auction specifications," Matlab codes, gigbnlg, .
  2. Michael B. Gordy, . "GA.M: A Matlab routine for function maximization using a Genetic Algorithm," Matlab codes, ga, , revised 12 Feb 1996.

NEP Fields

8 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (4) 2007-03-03 2010-02-27 2010-07-24 2013-04-06. Author is listed
  2. NEP-CMP: Computational Economics (1) 2008-06-07
  3. NEP-COM: Industrial Competition (1) 2005-09-11
  4. NEP-FIN: Finance (1) 2003-01-27
  5. NEP-FMK: Financial Markets (1) 2005-09-11
  6. NEP-ORE: Operations Research (1) 2013-04-06
  7. NEP-RMG: Risk Management (5) 2003-01-27 2007-03-03 2008-06-07 2010-02-27 2010-07-24. Author is listed

Statistics

This author is among the top 5% authors according to these criteria:
  1. Number of Citations, Weighted by Number of Authors
  2. Number of Abstract Views in RePEc Services over the past 12 months
  3. Number of Downloads through RePEc Services over the past 12 months
  4. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
  5. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors

Most cited item

Most downloaded item (past 12 months)

Access and download statistics for all items

Co-authorship network on CollEc

Corrections

For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Michael Gordy should log into the RePEc Author Service

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.