Michael B. Gordy

Board of Governors of the Federal Reserve

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

Washington, DC 20551

United States

SCHOLARLY PAPERS

14

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CITATIONS
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329

Scholarly Papers (14)

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
Downloads 7,584 (510)
Citation 140

Abstract:

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
Board of Governors of the Federal Reserve
Downloads 924 (19,012)
Citation 145

Abstract:

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
Board of Governors of the Federal Reserve

Abstract:

Counterparty Risk and Counterparty Choice in the Credit Default Swap Market

Number of pages: 41 Posted: 30 Sep 2016
Wenxin Du, Salil Gadgil, Michael B. Gordy and Clara Vega
Federal Reserve Board, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve and Board of Governors of the Federal Reserve System
Downloads 185 (135,693)

Abstract:

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
Federal Reserve Board, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve and Board of Governors of the Federal Reserve System
Downloads 43 (356,420)

Abstract:

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, Board of Governors of the Federal Reserve and Federal Reserve Banks - Federal Reserve Bank of Cleveland
Downloads 214 (111,575)
Citation 18

Abstract:

Credit cards, Consumer switching costs, Adverse selection

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
Board of Governors of the Federal Reserve and University of Chicago
Downloads 105 (216,438)
Citation 3

Abstract:

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
Board of Governors of the Federal Reserve and University of Chicago
Downloads 80 (259,305)
Citation 3

Abstract:

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

6.

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 and Tata Institute of Fundamental Research (TIFR)
Downloads 120 (157,923)
Citation 7

Abstract:

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 and affiliation not provided to SSRN
Downloads 59 (307,622)
Citation 3

Abstract:

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
Board of Governors of the Federal Reserve and affiliation not provided to SSRN
Downloads 45 (349,671)
Citation 3

Abstract:

Credit risk, securitization, structured credit, rating agencies

8.

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
Downloads 100 (218,210)

Abstract:

9.

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 and Board of Governors of the Federal Reserve System
Downloads 54 (316,944)

Abstract:

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

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), Board of Governors of the Federal Reserve, University of Chicago and Board of Governors of the Federal Reserve System
Downloads 52 (330,666)

Abstract:

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, City University of Hong Kong (CityUHK) and Board of Governors of the Federal Reserve System
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Abstract:

time change, default intensity, credit risk, CDS options

11.

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
Board of Governors of the Federal Reserve
Downloads 33 (359,683)
Citation 1

Abstract:

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

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 Board of Governors of the Federal Reserve
Downloads 0 (451,206)
Citation 3

Abstract:

Bankruptcy, Credit risk, Debt default, Recovery rates

13.

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
Board of Governors of the Federal Reserve and University of Freiburg
Downloads 0 (373,810)
Citation 9

Abstract:

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

14.

A Generalization of Generalized Beta Distributions

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

Abstract: