Michael S. Gibson

Federal Reserve Board

Washington, DC 20551

United States

SCHOLARLY PAPERS

16

DOWNLOADS
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Top 1,275

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17,977

CITATIONS
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SSRN RANKINGS

Top 3,221

in Total Papers Citations

170

Scholarly Papers (16)

Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities

FEDS Working Paper No. 2004-56, AFA 2006 Boston Meetings Paper, Journal of Econometrics, Forthcoming
Number of pages: 31 Posted: 25 Jan 2005 Last Revised: 13 Mar 2009
Tim Bollerslev, Michael S. Gibson and Hao Zhou
Duke University - Finance, Federal Reserve Board and Tsinghua University - PBC School of Finance
Downloads 2,277 (4,221)
Citation 65

Abstract:

Stochastic Volatility Risk Premium, Model-Free Implied Volatility, Model-Free Realized Volatility, Black-Scholes, GMM Estimation, Return Predictability

Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities

CREATES Research Paper 2007-16
Number of pages: 48 Posted: 23 Jun 2008 Last Revised: 25 Sep 2009
Tim Bollerslev, Michael S. Gibson and Hao Zhou
Duke University - Finance, Federal Reserve Board and Tsinghua University - PBC School of Finance
Downloads 289 (84,222)
Citation 65

Abstract:

Stochastic Volatility Risk Premium, Model-Free Implied Volatility, Model-Free Realized Volatility, Black-Scholes, GMM Estimation, Return Predictability

2.

Is Corporate Governance Ineffective in Emerging Markets?

Federal Reserve Board FEDS Working Paper No. 99-63; Tuck-JQFA Contemporary Corporate Governance Issues II Conference
Number of pages: 42 Posted: 17 Apr 2000
Michael S. Gibson
Federal Reserve Board
Downloads 2,447 (3,714)
Citation 43

Abstract:

Management Turnover, Performance, Ownership Concentration

3.

The Implications of Risk Management Information Systems for the Organization of Financial Firms

International Finance Discussion Paper No. 632
Number of pages: 18 Posted: 16 Feb 1999
Michael S. Gibson
Federal Reserve Board
Downloads 2,164 (4,595)
Citation 1

Abstract:

4.

Understanding the Risk of Synthetic CDOs

FEDS Working Paper No. 2004-36
Number of pages: 29 Posted: 28 Sep 2004
Michael S. Gibson
Federal Reserve Board
Downloads 2,117 (4,292)
Citation 37

Abstract:

Credit derivatives, credit risk, collateralized debt obligation

5.

Credit Derivatives and Risk Management

FEDS Working Paper No. 2007-47
Number of pages: 23 Posted: 29 Nov 2007
Michael S. Gibson
Federal Reserve Board
Downloads 1,922 (5,044)
Citation 3

Abstract:

Credit risk, credit index tranches, counterparty risk, rating agencies, model risk

6.

'Big Bang' Deregulation and Japanese Corporate Governance: A Survey of the Issues

FRB International Finance Discussion Paper No. 624
Number of pages: 35 Posted: 16 Oct 1998
Michael S. Gibson
Federal Reserve Board
Downloads 1,428 (9,389)
Citation 5

Abstract:

7.

Information Systems for Risk Management

FRB International Finance Discussion Paper No. 585
Number of pages: 29 Posted: 14 Jun 2000
Michael S. Gibson
Federal Reserve Board
Downloads 1,282 (11,078)
Citation 2

Abstract:

8.

Measuring Counterparty Credit Exposure to a Margined Counterparty

FEDs Working Paper No. 2005-50
Number of pages: 18 Posted: 05 Jan 2006
Michael S. Gibson
Federal Reserve Board
Downloads 1,090 (13,804)
Citation 4

Abstract:

Counterparty risk, collateral, margin, derivatives

9.

Incorporating Event Risk into Value-at-Risk

FEDS Discussion Paper No. 2001-17
Number of pages: 36 Posted: 04 May 2001
Michael S. Gibson
Federal Reserve Board
Downloads 854 (20,399)
Citation 4

Abstract:

Specific risk, market risk, jump risk, jump diffusion, default risk

10.

An International Survey of Stress Tests

Current Issues in Economics and Finance, Vol. 7, No. 10, November 2001
Number of pages: 6 Posted: 26 Apr 2005
Patricia C. Mosser, Ingo Fender and Michael S. Gibson
Federal Reserve Banks - Federal Reserve Bank of New York, Bank for International Settlements (BIS) and Federal Reserve Board
Downloads 636 (29,552)
Citation 1

Abstract:

risk management, stress test scenarios, G-10 central banks

11.

Improving Grid-Based Methods for Estimating Value at Risk of Fixed-Income Portfolios

Board of Governors of the Federal Reserve System, Finance and Economics Working Paper No. 25, 2000
Number of pages: 30 Posted: 02 Oct 2001
Michael S. Gibson and Matt Pritsker
Federal Reserve Board and Federal Reserve Bank of Boston
Downloads 511 (41,386)
Citation 2

Abstract:

Scenario simulation, principal components, partial least squares, Monte Carlo

12.

Stress Testing in Practice: A Survey of 43 Major Financial Institutions

BIS Quarterly Review June 2001
Number of pages: 5 Posted: 17 Apr 2012
Ingo Fender and Michael S. Gibson
Bank for International Settlements (BIS) and Federal Reserve Board
Downloads 330 (62,900)
Citation 3

Abstract:

banks, stress testing

13.

Can Bank Health Affect Investment? Evidence from Japan

JOURNAL OF BUSINESS, Vol 68 No 3, July 1995
Posted: 26 Oct 1999
Michael S. Gibson
Federal Reserve Board

Abstract:

14.

Evaluating Forecasts of Correlation Using Option Pricing

FRB International Finance Discussion Paper No. 600
Posted: 15 Feb 1998
Michael S. Gibson and Brian H. Boyer
Federal Reserve Board and Brigham Young University - J. Willard and Alice S. Marriott School of Management

Abstract:

15.

Pitfalls in Tests for Changes in Correlations

FRB International Finance Discussion Paper No. 597
Posted: 10 Feb 1998
Brian H. Boyer, Michael S. Gibson and Mico Loretan
Brigham Young University - J. Willard and Alice S. Marriott School of Management, Federal Reserve Board and Swiss National Bank

Abstract:

16.

Regulation and the Cost of Capital in Japan: A Case Study

FRB International Finance Discussion Paper No. 556
Posted: 07 Oct 1996
John Ammer and Michael S. Gibson
U.S. Federal Reserve Board of Governors and Federal Reserve Board

Abstract: