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Michael B. Gordy
Michael B. Gordy
Principal Economist, Federal Reserve Board
Verified email at frb.gov - Homepage
Title
Cited by
Cited by
Year
A risk-factor model foundation for ratings-based bank capital rules
MB Gordy
Journal of Financial Intermediation 12 (3), 199-232, 2003
14612003
A comparative anatomy of credit risk models
MB Gordy
Journal of Banking & Finance 24 (1), 119-149, 2000
13522000
Procyclicality in Basel II: Can we treat the disease without killing the patient?
MB Gordy, B Howells
Journal of Financial Intermediation 15 (3), 395-417, 2006
6282006
Nested simulation in portfolio risk measurement
MB Gordy, S Juneja
Management Science 56 (10), 1833-1848, 2010
2572010
Saddlepoint approximation of CreditRisk+
MB Gordy
Journal of Banking & Finance 26 (7), 1335-1353, 2002
191*2002
Granularity Adjustment for Regulatory Capital Assessment
MB Gordy, E Lutkebohmert
International Journal of Central Banking 9 (3), 38-77, 2013
181*2013
Switching costs and adverse selection in the market for credit cards: New evidence
PS Calem, MB Gordy, LJ Mester
Journal of Banking & Finance 30 (6), 1653-1685, 2006
1792006
Small-Sample Estimation of Models of Portfolio Credit Risk
MB Gordy, E Heitfield
Recent Advances in Financial Engineering: Proceedings of the Kier-Tmu …, 2010
154*2010
The bank as grim reaper: debt composition and recoveries on defaulted debt
M Carey, M Gordy
Third International Conference on Credit and Operational Risks, HEC Montreal, 2007
120*2007
Counterparty risk and counterparty choice in the credit default swap market
W Du, S Gadgil, MB Gordy, C Vega
105*2017
Computationally convenient distributional assumptions for common-value auctions
MB Gordy
Computational Economics 12 (1), 61-78, 1998
1051998
Granularity adjustment in portfolio credit risk measurement
M Gordy
Risk Measures for the 21st Century. John Wiley & Sons, 2004
842004
Systematic risk in recoveries on defaulted debt
M Carey, M Gordy
mimeo, Federal Reserve Board, Washington, 2003
722003
A generalization of generalized beta distributions
MB Gordy, Board of Governors of the Federal Reserve System (US)
Division of Research and Statistics, Division of Monetary Affairs, Federal …, 1998
691998
Hedging winner's curse with multiple bids: evidence from the Portuguese treasury bill auction
MB Gordy
Review of Economics and Statistics 81 (3), 448-465, 1999
671999
Credit portfolio risk: Random tranches
M Gordy, D Jones
RISK-LONDON-RISK MAGAZINE LIMITED- 16 (3), 78-83, 2003
59*2003
A note on Turán type and mean inequalities for the Kummer function
RW Barnard, MB Gordy, KC Richards
Journal of Mathematical Analysis and Applications 349 (1), 259-263, 2009
542009
Credit VaR and risk-bucket capital rules: A reconciliation
MB Gordy
Proceedings of the 36th Annual Conference on Bank Structure and Competition …, 2000
522000
Granularity adjustment for mark-to-market credit risk models
MB Gordy, J Marrone
Journal of Banking & Finance 36 (7), 1896-1910, 2012
442012
Constant proportion debt obligations: A postmortem analysis of rating models
MB Gordy, S Willemann
Management Science 58 (3), 476-492, 2012
362012
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