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

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SCHOLARLY PAPERS

16

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TOTAL CITATIONS
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Top 4,698

in Total Papers Citations

352

Scholarly Papers (16)

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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
Board of Governors of the Federal Reserve System
Downloads 8,564 (1,556)
Citation 44

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2.

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

Downloads 1,340 (31,806)
Citation 188

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 1,340 (31,239)
Citation 188

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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

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3.

Counterparty Risk and Counterparty Choice in the Credit Default Swap Market

Downloads 896 (56,410)
Citation 43

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
Harvard Business School, Office of Financial Research, U.S. Department of the Treasury, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 782 (66,789)
Citation 43

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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. 2016-87
Number of pages: 42 Posted: 07 Nov 2016
Wenxin Du, Salil Gadgil, Michael B. Gordy and Clara Vega
Harvard Business School, Office of Financial Research, U.S. Department of the Treasury, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 114 (510,755)

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4.

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 Luetkebohmert
Board of Governors of the Federal Reserve System and University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN
Downloads 701 (78,147)
Citation 20

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

5.

Granularity Adjustment for Mark-to-Market Credit Risk Models

Downloads 337 (188,006)
Citation 4

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 System and University of Chicago
Downloads 198 (319,636)

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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
Board of Governors of the Federal Reserve System and University of Chicago
Downloads 139 (435,849)
Citation 4

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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 System and Tata Institute of Fundamental Research (TIFR)
Downloads 322 (197,319)
Citation 5

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

7.

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 Bank of Cleveland
Downloads 312 (204,106)
Citation 26

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Credit cards, Consumer switching costs, Adverse selection

8.

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

Downloads 255 (251,546)
Citation 11

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 System and Barclays Investment Bank
Downloads 164 (379,323)
Citation 9

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Credit risk, securitization, structured credit, rating agencies

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 91 (599,693)
Citation 2

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Credit risk, securitization, structured credit, rating agencies

9.

The Bank as Grim Reaper: Debt Composition and Bankruptcy Thresholds

FEDS Working Paper No. 2016-69
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 160 (387,668)

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Bankruptcy, Credit risk, Debt default, recovery rates

10.

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 141 (430,058)
Citation 4

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11.

Spectral Backtests of Forecast Distributions with Application to Risk Management

FEDS Working Paper No. 2018-21
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 128 (464,324)
Citation 5

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12.

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 System
Downloads 110 (521,166)
Citation 1

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

13.

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 97 (569,638)

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

14.

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 System, University of Chicago and Board of Governors of the Federal Reserve System
Downloads 93 (585,192)
Citation 1

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

15.

Spectral Backtests Unbounded and Folded

FEDS Working Paper No. 2024-60
Number of pages: 48 Posted: 09 Aug 2024
Michael B. Gordy and Alexander McNeil
Board of Governors of the Federal Reserve System and University of York
Downloads 30 (989,077)

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Backtesting, Volatility, Risk management

16.

A Generalization of Generalized Beta Distributions

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

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