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Michael Gordy

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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

Works


Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Michael B. Gordy & Søren Willemann, 2010. "Constant proportion debt obligations: a post-mortem analysis of rating models," Finance and Economics Discussion Series 2010-05, Board of Governors of the Federal Reserve System (U.S.).
  2. Michael B. Gordy & James Marrone, 2010. "Granularity adjustment for mark-to-market credit risk models," Finance and Economics Discussion Series 2010-37, Board of Governors of the Federal Reserve System (U.S.).
  3. Michael B. Gordy & Sandeep Juneja, 2008. "Nested simulation in portfolio risk measurement," Finance and Economics Discussion Series 2008-21, Board of Governors of the Federal Reserve System (U.S.).
  4. 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.
  5. 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.
  6. Michael B. Gordy, 2002. "A risk-factor model foundation for ratings-based bank capital rules," Finance and Economics Discussion Series 2002-55, Board of Governors of the Federal Reserve System (U.S.).
  7. Michael B. Gordy, 1998. "A generalization of generalized beta distributions," Finance and Economics Discussion Series 1998-18, Board of Governors of the Federal Reserve System (U.S.).
  8. Michael B. Gordy, 1998. "A comparative anatomy of credit risk models," Finance and Economics Discussion Series 1998-47, Board of Governors of the Federal Reserve System (U.S.).
  9. Michael B. Gordy, 1997. "Computationally convenient distributional assumptions for common value auctions," Finance and Economics Discussion Series 1997-5, Board of Governors of the Federal Reserve System (U.S.).
  10. Michael B. Gordy, 1997. "Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction," Microeconomics 9702002, EconWPA.
  11. 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.
  12. Michael B. Gordy, . "Multiple Bids in a Multiple-Unit Common Value Auction," Computing in Economics and Finance 1996 _021, Society for Computational Economics.

Articles

  1. Mark S. Carey & Michael Gordy, 2007. "The bank as grim reaper: debt composition and recoveries on defaulted debt," Proceedings, Federal Reserve Bank of Chicago, issue May, pages 336-354.
  2. Gordy, Michael B. & Howells, Bradley, 2006. "Procyclicality in Basel II: Can we treat the disease without killing the patient?," Journal of Financial Intermediation, Elsevier, vol. 15(3), pages 395-417, July.
  3. 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.
  4. Gordy, Michael B., 2003. "A risk-factor model foundation for ratings-based bank capital rules," Journal of Financial Intermediation, Elsevier, vol. 12(3), pages 199-232, July.
  5. Gordy, Michael B., 2002. "Saddlepoint approximation of CreditRisk+," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1335-1353, July.
  6. Michael B. Gordy, 2000. "Credit VAR and risk-bucket capital rules: a reconciliation," Proceedings, Federal Reserve Bank of Chicago, issue May, pages 406-417.
  7. Gordy, Michael B., 2000. "A comparative anatomy of credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 119-149, January.
  8. 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.
  9. Gordy, Michael B, 1998. "Computationally Convenient Distributional Assumptions for Common-Value Auctions," 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

6 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (3) 2007-03-03 2010-02-27 2010-07-24 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-RMG: Risk Management (5) 2003-01-27 2007-03-03 2008-06-07 2010-02-27 2010-07-24 Author is listed

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