Michael B. Gordy

Federal Reserve Board

Principal Economist

20th & C. St., N.W.

Washington, DC 20551

United States

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

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SCHOLARLY PAPERS

15

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CITATIONS
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333

Scholarly Papers (15)

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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
Federal Reserve Board
Downloads 8,037 (647)
Citation 210

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2.

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

Downloads 1,000 ( 21,311)
Citation 258

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

Board of Governors of the Federal Reserve System Working Paper No. 2002-55
Number of pages: 35 Posted: 02 Dec 2003
Michael B. Gordy
Federal Reserve Board
Downloads 1,000 (20,941)
Citation 258

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Capital allocation, banking regulation, value-at-risk

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

Journal of Financial Intermediation, Vol. 12, 2003
Posted: 07 Dec 2004
Michael B. Gordy
Federal Reserve Board

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3.

Counterparty Risk and Counterparty Choice in the Credit Default Swap Market

Downloads 459 ( 60,823)
Citation 24

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, Federal Reserve Board and Board of Governors of the Federal Reserve System
Downloads 396 (71,976)
Citation 27

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Counterparty Credit Risk, Credit Default Swaps, Central Clearing

Counterparty Risk and Counterparty Choice in the Credit Default Swap Market

FEDS Working Paper No. 2016-087
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, Federal Reserve Board and Board of Governors of the Federal Reserve System
Downloads 63 (348,143)

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Counterparty credit risk, Credit default swaps, Central clearing

4.

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: 16 Feb 2011
Paul S. Calem, Michael B. Gordy and Loretta J. Mester
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Federal Reserve Board and Federal Reserve Banks - Federal Reserve Bank of Cleveland
Downloads 246 (122,625)
Citation 46

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Credit cards, Consumer switching costs, Adverse selection

5.

Granularity Adjustment for Basel Ii

Bundesbank Series 2 Discussion Paper No. 2007,01
Number of pages: 40 Posted: 08 Jun 2016
Michael B. Gordy and Eva Lütkebohmert
Federal Reserve Board and University of Freiburg, Institute for Economic Research
Downloads 206 (145,716)
Citation 8

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

6.

Granularity Adjustment for Mark-to-Market Credit Risk Models

Downloads 200 (149,819)
Citation 10

Granularity Adjustment for Mark-to-Market Credit Risk Models

FEDS Working Paper No. 2010-37
Number of pages: 39 Posted: 29 Jan 2011
Michael B. Gordy and James V Marrone
Federal Reserve Board and University of Chicago
Downloads 110 (246,364)

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

Granularity Adjustment for Mark-to-Market Credit Risk Models

FEDS Working Paper No. 2010-37
Number of pages: 44 Posted: 27 Jul 2011
Michael B. Gordy and James V Marrone
Federal Reserve Board and University of Chicago
Downloads 90 (282,397)
Citation 10

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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
Federal Reserve Board and Tata Institute of Fundamental Research (TIFR)
Downloads 185 (160,937)
Citation 17

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

8.

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

Downloads 109 (246,698)
Citation 12

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
Federal Reserve Board and affiliation not provided to SSRN
Downloads 60 (356,961)
Citation 3

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Credit risk, securitization, structured credit, rating agencies

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

FEDS Working Paper No. 2010-05
Number of pages: 29 Posted: 15 Nov 2011
Michael B. Gordy and Søren Willemann
Federal Reserve Board and affiliation not provided to SSRN
Downloads 49 (393,245)
Citation 15

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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
Federal Reserve Board
Downloads 104 (254,897)
Citation 1

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10.

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
Federal Reserve Board and Board of Governors of the Federal Reserve System
Downloads 64 (340,879)

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

11.

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

Downloads 57 (361,042)
Citation 1

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

FEDS Working Paper No. 2013-14
Number of pages: 40 Posted: 09 Apr 2013
Ovidiu Costin, Michael B. Gordy, Min Huang and Pawel Szerszen
Ohio State University (OSU), Federal Reserve Board, University of Chicago and Board of Governors of the Federal Reserve System
Downloads 57 (366,392)

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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), Federal Reserve Board, City University of Hong Kong (CityUHK) and Board of Governors of the Federal Reserve System
Downloads 0
Citation 1
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time change, default intensity, credit risk, CDS options

12.

The Bank as Grim Reaper: Debt Composition and Bankruptcy Thresholds

FEDS Working Paper No. 2016-069
Number of pages: 55 Posted: 23 Aug 2016
Mark Carey and Michael B. Gordy
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - International Banking Section and Federal Reserve Board
Downloads 53 (373,451)
Citation 1

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Bankruptcy, Credit risk, Debt default, Recovery rates

13.

Spectral Backtests of Forecast Distributions with Application to Risk Management

FEDS Working Paper No. 2018-021
Number of pages: 41 Posted: 06 Jun 2018 Last Revised: 21 Feb 2019
Michael B. Gordy and Alexander McNeil
Federal Reserve Board and ETH Zürich - Department of Mathematics
Downloads 45 (400,463)
Citation 17

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Backtesting, Risk management, Volatility

14.

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

FEDS Working Paper No. 2012-12
Number of pages: 12 Posted: 04 May 2012
Michael B. Gordy
Federal Reserve Board
Downloads 44 (404,038)
Citation 2

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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

FEDS Paper No. 98-18
Posted: 01 Jun 1998
Michael B. Gordy
Federal Reserve Board

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