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Michael Gordy

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Personal Details

First Name:Michael
Middle Name:
Last Name:Gordy
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RePEc Short-ID:pgo10
Email:
Homepage:http://michael.marginalq.com/
Postal Address:
Phone:+1-202-452-3705
Location: Washington, District of Columbia (United States)
Homepage: http://www.federalreserve.gov/
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Postal: 20th Street and Constitution Avenue, NW, Washington, DC 20551
Handle: RePEc:edi:frbgvus (more details at EDIRC)
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  1. Gordy, Michael B. & Szerszen, Pawel J., 2015. "Bayesian Estimation of Time-Changed Default Intensity Models," Finance and Economics Discussion Series 2015-2, Board of Governors of the Federal Reserve System (U.S.).
  2. 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 2013-14, Board of Governors of the Federal Reserve System (U.S.).
  3. Michael B. Gordy, 2012. "On the distribution of a discrete sample path of a square-root diffusion," Finance and Economics Discussion Series 2012-12, Board of Governors of the Federal Reserve System (U.S.).
  4. 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.).
  5. 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.).
  6. 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.).
  7. Mark S. Carey & Michael Gordy, 2007. "The bank as grim reaper: debt composition and recoveries on defaulted debt," Proceedings 1056, Federal Reserve Bank of Chicago.
  8. 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.
  9. 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.
  10. 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.).
  11. Michael B. Gordy, 2000. "Credit VAR and risk-bucket capital rules: a reconciliation," Proceedings 685, Federal Reserve Bank of Chicago.
  12. 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.).
  13. 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.).
  14. 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.).
  15. Michael B. Gordy, 1997. "Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction," Microeconomics 9702002, EconWPA.
  16. 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.
  17. Michael B. Gordy, . "Multiple Bids in a Multiple-Unit Common Value Auction," Computing in Economics and Finance 1996 _021, Society for Computational Economics.
  1. M. B. Gordy & E. Lutkebohmert, 2013. "Granularity Adjustment for Regulatory Capital Assessment," International Journal of Central Banking, International Journal of Central Banking, vol. 9(3), pages 38-77, September.
  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 & SØren Willemann, 2012. "Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models," Management Science, INFORMS, vol. 58(3), pages 476-492, March.
  4. Michael B. Gordy & Sandeep Juneja, 2010. "Nested Simulation in Portfolio Risk Measurement," Management Science, INFORMS, vol. 56(10), pages 1833-1848, October.
  5. 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.
  6. 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.
  7. 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.
  8. Gordy, Michael B., 2002. "Saddlepoint approximation of CreditRisk+," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1335-1353, July.
  9. Gordy, Michael B., 2000. "A comparative anatomy of credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 119-149, January.
  10. 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.
  11. 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.
  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.
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-ECM: Econometrics (1) 2015-03-05
  5. NEP-FIN: Finance (1) 2003-01-27
  6. NEP-FMK: Financial Markets (1) 2005-09-11
  7. NEP-MFD: Microfinance (1) 2015-03-05
  8. NEP-ORE: Operations Research (2) 2013-04-06 2015-03-05. Author is listed
  9. NEP-RMG: Risk Management (6) 2003-01-27 2007-03-03 2008-06-07 2010-02-27 2010-07-24 2015-03-05. Author is listed
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