Michael Gordy
Personal Details
First Name: | Michael |
Middle Name: | |
Last Name: | Gordy |
Suffix: | |
RePEc Short-ID: | pgo10 |
[This author has chosen not to make the email address public] | |
http://michael.marginalq.com/ | |
+1-202-452-3705 | |
Terminal Degree: | 1994 Economics Department; Massachusetts Institute of Technology (MIT) (from RePEc Genealogy) |
Affiliation
Federal Reserve Board (Board of Governors of the Federal Reserve System)
Washington, District of Columbia (United States)http://www.federalreserve.gov/
RePEc:edi:frbgvus (more details at EDIRC)
Research output
Jump to: Working papers Articles Software ChaptersWorking papers
- Michael B. Gordy & Alexander J. McNeil, 2024. "Spectral backtests unbounded and folded," Finance and Economics Discussion Series 2024-060, Board of Governors of the Federal Reserve System (U.S.).
- Michael B. Gordy & Alexander J. McNeil, 2017.
"Spectral backtests of forecast distributions with application to risk management,"
Papers
1708.01489, arXiv.org, revised Jul 2019.
- Gordy, Michael B. & McNeil, Alexander J., 2020. "Spectral backtests of forecast distributions with application to risk management," Journal of Banking & Finance, Elsevier, vol. 116(C).
- Michael B. Gordy & Alexander J. McNeil, 2018. "Spectral Backtests of Forecast Distributions with Application to Risk Management," Finance and Economics Discussion Series 2018-021, Board of Governors of the Federal Reserve System (U.S.).
- Wenxin Du & Salil Gadgil & Michael B. Gordy & Clara Vega, 2016. "Counterparty Risk and Counterparty Choice in the Credit Default Swap Market," Finance and Economics Discussion Series 2016-087, Board of Governors of the Federal Reserve System (U.S.).
- Mark S. Carey & Michael B. Gordy, 2016.
"The Bank as Grim Reaper : Debt Composition and Bankruptcy Thresholds,"
Finance and Economics Discussion Series
2016-069, Board of Governors of the Federal Reserve System (U.S.).
- Carey, Mark & Gordy, Michael B., 2021. "The bank as Grim Reaper: Debt composition and bankruptcy thresholds," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1092-1108.
- Michael B. Gordy & Pawel J. Szerszen, 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.).
- 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.).
- Ovidiu Costin & Michael B. Gordy & Min Huang & Pawel J. Szerszen, 2016. "Expectations Of Functions Of Stochastic Time With Application To Credit Risk Modeling," Mathematical Finance, Wiley Blackwell, vol. 26(4), pages 748-784, October.
- 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.).
- 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.).
- 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.
- 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.).
- 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.
- 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.).
- Michael B. Gordy & Sandeep Juneja, 2010. "Nested Simulation in Portfolio Risk Measurement," Management Science, INFORMS, vol. 56(10), pages 1833-1848, October.
- Lütkebohmert, Eva & Gordy, Michael B., 2007. "Granularity adjustment for Basel II," Discussion Paper Series 2: Banking and Financial Studies 2007,01, Deutsche Bundesbank.
- Mark S. Carey & Michael B. Gordy, 2007. "The bank as grim reaper: debt composition and recoveries on defaulted debt," Proceedings 1056, Federal Reserve Bank of Chicago.
- 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.
- 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.
- 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.).
- 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.
- Michael B. Gordy, 2000. "Credit VAR and risk-bucket capital rules: a reconciliation," Proceedings 685, Federal Reserve Bank of Chicago.
- 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.).
- Gordy, Michael B., 2000. "A comparative anatomy of credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 119-149, January.
- 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.).
- Michael B. Gordy, 1997.
"Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction,"
Microeconomics
9702002, University Library of Munich, Germany.
- 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.
- Robert B. Avery & Michael Gordy, "undated". "Estimation of a Markov Model of Loan Seasoning with Aggregated Performance Data," Computing in Economics and Finance 1997 95, Society for Computational Economics.
- Michael B. Gordy, "undated". "Multiple Bids in a Multiple-Unit Common Value Auction," Computing in Economics and Finance 1996 _021, Society for Computational Economics.
- Michael B. Gordy, "undated".
"Computationally Convenient Distributional Assumptions for Common Value Auctions,"
Finance and Economics Discussion Series
1997-05, Board of Governors of the Federal Reserve System (U.S.), revised 10 Dec 2019.
- Gordy, Michael B, 1998. "Computationally Convenient Distributional Assumptions for Common-Value Auctions," Computational Economics, Springer;Society for Computational Economics, vol. 12(1), pages 61-78, August.
- 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.).
Articles
- Carey, Mark & Gordy, Michael B., 2021.
"The bank as Grim Reaper: Debt composition and bankruptcy thresholds,"
Journal of Financial Economics, Elsevier, vol. 142(3), pages 1092-1108.
- Mark S. Carey & Michael B. Gordy, 2016. "The Bank as Grim Reaper : Debt Composition and Bankruptcy Thresholds," Finance and Economics Discussion Series 2016-069, Board of Governors of the Federal Reserve System (U.S.).
- Gordy, Michael B. & McNeil, Alexander J., 2020.
"Spectral backtests of forecast distributions with application to risk management,"
Journal of Banking & Finance, Elsevier, vol. 116(C).
- Michael B. Gordy & Alexander J. McNeil, 2017. "Spectral backtests of forecast distributions with application to risk management," Papers 1708.01489, arXiv.org, revised Jul 2019.
- Michael B. Gordy & Alexander J. McNeil, 2018. "Spectral Backtests of Forecast Distributions with Application to Risk Management," Finance and Economics Discussion Series 2018-021, Board of Governors of the Federal Reserve System (U.S.).
- Cont Rama & Gordy Michael, 2017. "Special Issue: Monitoring Systemic Risk: Data, Models and Metrics," Statistics & Risk Modeling, De Gruyter, vol. 34(3-4), pages 89-89, September.
- Ovidiu Costin & Michael B. Gordy & Min Huang & Pawel J. Szerszen, 2016.
"Expectations Of Functions Of Stochastic Time With Application To Credit Risk Modeling,"
Mathematical Finance, Wiley Blackwell, vol. 26(4), pages 748-784, October.
- 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.).
- 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.
- 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.
- 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.).
- 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.
- 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.).
- Michael B. Gordy & Sandeep Juneja, 2010.
"Nested Simulation in Portfolio Risk Measurement,"
Management Science, INFORMS, vol. 56(10), pages 1833-1848, October.
- 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.).
- 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.
- 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.
- 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.
- 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.
- 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.).
- Gordy, Michael B., 2002. "Saddlepoint approximation of CreditRisk+," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1335-1353, July.
- Gordy, Michael B., 2000.
"A comparative anatomy of credit risk models,"
Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 119-149, January.
- 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.).
- 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.
- Michael B. Gordy, 1997. "Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction," Microeconomics 9702002, University Library of Munich, Germany.
- Gordy, Michael B, 1998.
"Computationally Convenient Distributional Assumptions for Common-Value Auctions,"
Computational Economics, Springer;Society for Computational Economics, vol. 12(1), pages 61-78, August.
- Michael B. Gordy, "undated". "Computationally Convenient Distributional Assumptions for Common Value Auctions," Finance and Economics Discussion Series 1997-05, Board of Governors of the Federal Reserve System (U.S.), revised 10 Dec 2019.
- 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.).
Software components
- Michael Gordy & Margaret Kyle, 1997.
"MATLAB/C code for GIG and BNLG common value auction specifications,"
Matlab codes
gigbnlg, .
- 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.).
- Michael B. Gordy, "undated".
"GA.M: A Matlab routine for function maximization using a Genetic Algorithm,"
Matlab codes
ga, , revised 12 Feb 1996.
- Dorsey, Robert E & Mayer, Walter J, 1995. "Genetic Algorithms for Estimation Problems with Multiple Optima, Nondifferentiability, and Other Irregular Features," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 53-66, January.
Chapters
- Michael B. Gordy & Erik Heitfield, 2010. "Small-Sample Estimation of Models of Portfolio Credit Risk," World Scientific Book Chapters, in: Masaaki Kijima & Chiaki Hara & Keiichi Tanaka & Yukio Muromachi (ed.), Recent Advances In Financial Engineering 2009, chapter 2, pages 43-63, World Scientific Publishing Co. Pte. Ltd..
More information
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Rankings
This author is among the top 5% authors according to these criteria:- Number of Citations, Weighted by Number of Authors
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Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 13 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-RMG: Risk Management (9) 2003-01-27 2007-03-03 2008-06-07 2010-02-27 2010-07-24 2015-03-05 2017-08-13 2018-06-25 2024-09-09. Author is listed
- NEP-BAN: Banking (5) 2007-03-03 2010-02-27 2010-07-24 2013-04-06 2016-11-13. Author is listed
- NEP-ECM: Econometrics (3) 2015-03-05 2017-08-13 2024-09-09
- NEP-FMK: Financial Markets (2) 2005-09-11 2016-11-13
- NEP-ORE: Operations Research (2) 2013-04-06 2015-03-05
- NEP-CMP: Computational Economics (1) 2008-06-07
- NEP-COM: Industrial Competition (1) 2005-09-11
- NEP-FIN: Finance (1) 2003-01-27
- NEP-FOR: Forecasting (1) 2017-08-13
- NEP-MFD: Microfinance (1) 2015-03-05
- NEP-URE: Urban and Real Estate Economics (1) 2016-09-04
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