Michael B. Gordy

Board of Governors of the Federal Reserve System

Principal Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

http://https://www.federalreserve.gov/econres/michael-b-gordy.htm

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 4,542

SSRN RANKINGS

Top 4,542

in Total Papers Downloads

11,665

SSRN CITATIONS
Rank 4,346

SSRN RANKINGS

Top 4,346

in Total Papers Citations

228

CROSSREF CITATIONS

86

Scholarly Papers (15)

1.

A Comparative Anatomy of Credit Risk Models

Journal of Banking and Finance, Vol. 24, No. 1/2, 2000, Board of Governors of the Federal Reserve System FEDS Paper No. 98-47
Number of pages: 29 Posted: 03 Mar 1999 Last Revised: 30 Jan 2011
Michael B. Gordy
Board of Governors of the Federal Reserve System
Downloads 8,198 (906)
Citation 33

Abstract:

Loading...

A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules

FEDS Working Paper No. 2002-55
Number of pages: 35 Posted: 02 Dec 2003
Michael B. Gordy
Board of Governors of the Federal Reserve System
Downloads 1,119 (24,147)
Citation 145

Abstract:

Loading...

Capital allocation, banking regulation, value-at-risk

A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules

Posted: 07 Dec 2004
Michael B. Gordy
Board of Governors of the Federal Reserve System

Abstract:

Loading...

Counterparty Risk and Counterparty Choice in the Credit Default Swap Market

Number of pages: 72 Posted: 30 Sep 2016 Last Revised: 21 Feb 2019
Wenxin Du, Salil Gadgil, Michael B. Gordy and Clara Vega
University of Chicago Booth School of Business, University of California, Los Angeles (UCLA) - Anderson School of Management, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 582 (59,225)
Citation 33

Abstract:

Loading...

Counterparty Credit Risk, Credit Default Swaps, Central Clearing

Counterparty Risk and Counterparty Choice in the Credit Default Swap Market

Number of pages: 42 Posted: 07 Nov 2016
Wenxin Du, Salil Gadgil, Michael B. Gordy and Clara Vega
University of Chicago Booth School of Business, University of California, Los Angeles (UCLA) - Anderson School of Management, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 76 (398,334)

Abstract:

Loading...

4.

Granularity Adjustment for Basel Ii

Number of pages: 40 Posted: 08 Jun 2016
Michael B. Gordy, Eva Luetkebohmert and Eva Luetkebohmert
Board of Governors of the Federal Reserve System and University of Freiburg, Institute for Economic ResearchUniversity of Freiburg - Institute for Economic Research
Downloads 410 (91,781)
Citation 2

Abstract:

Loading...

Basel II, granularity adjustment, value-at-risk, idiosyncratic risk

5.

Switching Costs and Adverse Selection in the Market for Credit Cards: New Evidence

Journal of Banking and Finance, Vol. 30, No. 6, 2006, FRB Philadelphia Working Paper No. 05-16
Number of pages: 46 Posted: 09 Sep 2005 Last Revised: 22 Nov 2019
Paul S. Calem, Michael B. Gordy and Loretta J. Mester
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Board of Governors of the Federal Reserve System and Federal Reserve Banks - Federal Reserve Bank of Cleveland
Downloads 260 (150,487)
Citation 18

Abstract:

Loading...

Credit cards, Consumer switching costs, Adverse selection

Granularity Adjustment for Mark-to-Market Credit Risk Models

Number of pages: 39 Posted: 29 Jan 2011
Michael B. Gordy and James V Marrone
Board of Governors of the Federal Reserve System and University of Chicago
Downloads 113 (308,451)

Abstract:

Loading...

Granularity adjustment, idiosyncratic risk, portfolio credit risk, value-at-risk, expected shortfall

Granularity Adjustment for Mark-to-Market Credit Risk Models

Number of pages: 44 Posted: 27 Jul 2011
Michael B. Gordy and James V Marrone
Board of Governors of the Federal Reserve System and University of Chicago
Downloads 105 (324,840)
Citation 3

Abstract:

Loading...

Granularity adjustment, idiosyncratic risk, portfolio credit risk, value-at-risk, expected shortfall

7.

Nested Simulation in Portfolio Risk Measurement

Management Science, Vol. 56, No. 10, October 2010, FEDS Working Paper No. 2008-21
Number of pages: 33 Posted: 29 Jan 2011
Michael B. Gordy and Sandeep Juneja
Board of Governors of the Federal Reserve System and Tata Institute of Fundamental Research (TIFR)
Downloads 211 (184,033)
Citation 5

Abstract:

Loading...

nested simulation, loss distribution, value-at-risk, expected shortfall, jackknife estimator, dynamic allocation

Constant Proportion Debt Obligations: A Post-Mortem Analysis of Rating Models

Number of pages: 29 Posted: 29 Jan 2011
Michael B. Gordy and Søren Willemann
Board of Governors of the Federal Reserve System and Barclays Investment Bank
Downloads 65 (434,439)
Citation 2

Abstract:

Loading...

Credit risk, securitization, structured credit, rating agencies

Constant Proportion Debt Obligations: A Post-Mortem Analysis of Rating Models

Number of pages: 29 Posted: 15 Nov 2011
Michael B. Gordy and Søren Willemann
Board of Governors of the Federal Reserve System and Barclays Investment Bank
Downloads 58 (460,405)
Citation 9

Abstract:

Loading...

Credit risk, securitization, structured credit, rating agencies

9.

Computationally Convenient Distributional Assumptions for Common Value Auctions

Computational Economics, Vol. 12, No. 1, August 1998, FEDS Discussion Paper No. 97-5
Number of pages: 20 Posted: 28 May 1997 Last Revised: 15 Feb 2011
Michael B. Gordy
Board of Governors of the Federal Reserve System
Downloads 110 (312,641)
Citation 2

Abstract:

Loading...

10.

The Bank as Grim Reaper: Debt Composition and Bankruptcy Thresholds

Number of pages: 55 Posted: 23 Aug 2016 Last Revised: 21 Sep 2016
Mark Carey and Michael B. Gordy
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 102 (329,056)

Abstract:

Loading...

11.

Spectral Backtests of Forecast Distributions with Application to Risk Management

Number of pages: 41 Posted: 06 Jun 2018 Last Revised: 29 Apr 2020
Michael B. Gordy and Alexander McNeil
Board of Governors of the Federal Reserve System and ETH Zürich - Department of Mathematics
Downloads 78 (388,343)
Citation 5

Abstract:

Loading...

12.

Bayesian Estimation of Time-Changed Default Intensity Models

FEDS Working Paper No. 2015-002, http://dx.doi.org/10.17016/FEDS.2015.002
Number of pages: 47 Posted: 14 Feb 2015
Michael B. Gordy and Pawel Szerszen
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 68 (418,871)

Abstract:

Loading...

Bayesian estimation, CDS, CIR process, Credit derivatives, MCMC, Particle filter, Stochastic time change

Expectations of Functions of Stochastic Time with Application to Credit Risk Modeling

Number of pages: 40 Posted: 09 Apr 2013
Ovidiu Costin, Michael B. Gordy, Min Huang and Pawel Szerszen
Ohio State University (OSU), Board of Governors of the Federal Reserve System, University of Chicago and Board of Governors of the Federal Reserve System
Downloads 63 (441,684)

Abstract:

Loading...

Stochastic time change, default intensity, credit risk, CDS options

Expectations of Functions of Stochastic Time with Application to Credit Risk Modeling

Mathematical Finance, Vol. 26, Issue 4, pp. 748-784, 2016
Number of pages: 37 Posted: 20 Sep 2016
Ovidiu Costin, Michael B. Gordy, Min Huang and Pawel Szerszen
Ohio State University (OSU), Board of Governors of the Federal Reserve System, City University of Hong Kong (CityU) and Board of Governors of the Federal Reserve System
Downloads 0
Citation 1
  • Add to Cart

Abstract:

Loading...

time change, default intensity, credit risk, CDS options

14.

On the Distribution of a Discrete Sample Path of a Square-Root Diffusion

Number of pages: 12 Posted: 04 May 2012
Michael B. Gordy
Board of Governors of the Federal Reserve System
Downloads 47 (497,648)
Citation 1

Abstract:

Loading...

Square-root diffusion, CIR process, multivariate gamma distribution, difference of gamma variates, Krishnamoorthy-Parthasarathy distribution, Kibble-Moran distribution, Bell polynomials

15.

A Generalization of Generalized Beta Distributions

Posted: 01 Jun 1998
Michael B. Gordy
Board of Governors of the Federal Reserve System

Abstract:

Loading...