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Michael B. Gordy
Michael B. Gordy
Principal Economist, Federal Reserve Board
Verified email at frb.gov - Homepage
Title
Cited by
Cited by
Year
A risk-factor model foundation for ratings-based bank capital rules
MB Gordy
Journal of Financial Intermediation 12 (3), 199-232, 2003
13862003
A comparative anatomy of credit risk models
MB Gordy
Journal of Banking & Finance 24 (1), 119-149, 2000
12762000
Procyclicality in Basel II: Can we treat the disease without killing the patient?
MB Gordy, B Howells
Journal of Financial Intermediation 15 (3), 395-417, 2006
6212006
Nested simulation in portfolio risk measurement
MB Gordy, S Juneja
Management Science 56 (10), 1833-1848, 2010
2312010
Saddlepoint approximation of CreditRisk+
MB Gordy
Journal of Banking & Finance 26 (7), 1335-1353, 2002
184*2002
Granularity Adjustment for Regulatory Capital Assessment
MB Gordy, E Lutkebohmert
International Journal of Central Banking 9 (3), 38-77, 2013
170*2013
Switching costs and adverse selection in the market for credit cards: New evidence
PS Calem, MB Gordy, LJ Mester
Journal of Banking & Finance 30 (6), 1653-1685, 2006
1632006
Small-Sample Estimation of Models of Portfolio Credit Risk
MB Gordy, E Heitfield
Recent Advances in Financial Engineering: Proceedings of the Kier-Tmu …, 2010
146*2010
The bank as grim reaper: debt composition and recoveries on defaulted debt
M Carey, M Gordy
Third International Conference on Credit and Operational Risks, HEC Montreal, 2007
110*2007
Computationally convenient distributional assumptions for common-value auctions
MB Gordy
Computational Economics 12 (1), 61-78, 1998
971998
Counterparty risk and counterparty choice in the credit default swap market
W Du, S Gadgil, MB Gordy, C Vega
852017
Granularity adjustment in portfolio credit risk measurement
M Gordy
Risk Measures for the 21st Century. John Wiley & Sons, 2004
842004
Systematic risk in recoveries on defaulted debt
M Carey, M Gordy
mimeo, Federal Reserve Board, Washington, 2003
682003
Hedging winner's curse with multiple bids: evidence from the Portuguese treasury bill auction
MB Gordy
Review of Economics and Statistics 81 (3), 448-465, 1999
681999
A generalization of generalized beta distributions
MB Gordy, Board of Governors of the Federal Reserve System (US)
Division of Research and Statistics, Division of Monetary Affairs, Federal …, 1998
641998
Credit portfolio risk: Random tranches
M Gordy, D Jones
RISK-LONDON-RISK MAGAZINE LIMITED- 16 (3), 78-83, 2003
56*2003
Credit VaR and risk-bucket capital rules: A reconciliation
MB Gordy
Proceedings of the 36th Annual Conference on Bank Structure and Competition …, 2000
532000
A note on Turán type and mean inequalities for the Kummer function
RW Barnard, MB Gordy, KC Richards
Journal of Mathematical Analysis and Applications 349 (1), 259-263, 2009
492009
Granularity adjustment for mark-to-market credit risk models
MB Gordy, J Marrone
Journal of Banking & Finance 36 (7), 1896-1910, 2012
392012
Constant proportion debt obligations: A postmortem analysis of rating models
MB Gordy, S Willemann
Management Science 58 (3), 476-492, 2012
332012
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