Access Statistics for Michael Gordy

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A comparative anatomy of credit risk models 1 1 4 1,580 3 4 18 3,356
A generalization of generalized beta distributions 0 1 2 790 1 4 12 4,177
A risk-factor model foundation for ratings-based bank capital rules 18 21 48 2,006 35 46 112 3,829
Bayesian Estimation of Time-Changed Default Intensity Models 2 2 7 23 2 3 17 39
Computationally Convenient Distributional Assumptions for Common Value Auctions 0 0 0 0 0 0 1 1
Computationally convenient distributional assumptions for common value auctions 0 1 2 222 2 4 8 740
Constant proportion debt obligations: a post-mortem analysis of rating models 0 0 0 42 0 0 3 125
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market 0 1 20 20 0 0 18 18
Credit VAR and risk-bucket capital rules: a reconciliation 0 0 0 0 0 2 13 32
Estimation of a Markov Model of Loan Seasoning with Aggregated Performance Data 0 0 1 186 0 0 4 587
Expectations of functions of stochastic time with application to credit risk modeling 1 2 4 29 1 3 8 52
Granularity adjustment for Basel II 3 7 55 926 6 29 161 2,609
Granularity adjustment for mark-to-market credit risk models 1 1 4 78 1 2 13 159
Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction 0 0 2 247 0 0 4 1,275
Multiple Bids in a Multiple-Unit Common Value Auction 0 0 0 192 0 0 4 530
Nested simulation in portfolio risk measurement 1 2 4 97 2 3 14 249
On the distribution of a discrete sample path of a square-root diffusion 0 0 0 3 0 0 4 39
Switching costs and adverse selection in the market for credit cards: new evidence 0 1 4 393 3 18 76 1,428
The Bank as Grim Reaper: Debt Composition and Bankruptcy Thresholds 0 1 8 8 0 3 12 12
The bank as grim reaper: debt composition and recoveries on defaulted debt 0 0 0 0 0 1 5 30
Total Working Papers 27 41 165 6,842 56 122 507 19,287


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A comparative anatomy of credit risk models 10 15 34 800 18 38 104 1,571
A risk-factor model foundation for ratings-based bank capital rules 15 23 72 577 40 63 157 1,106
Computationally Convenient Distributional Assumptions for Common-Value Auctions 0 0 0 41 0 0 4 167
Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models 0 0 1 2 0 0 8 37
EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING 0 0 2 2 1 3 13 13
Granularity Adjustment for Regulatory Capital Assessment 1 2 14 57 5 15 59 291
Granularity adjustment for mark-to-market credit risk models 0 0 2 40 0 3 9 210
Hedging Winner'S Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction 0 0 1 81 1 1 8 301
Nested Simulation in Portfolio Risk Measurement 0 0 0 4 1 2 7 38
Procyclicality in Basel II: Can we treat the disease without killing the patient? 2 6 25 621 6 12 71 1,523
Saddlepoint approximation of CreditRisk+ 0 0 3 689 1 2 17 1,139
Switching costs and adverse selection in the market for credit cards: New evidence 0 0 1 65 3 12 33 279
Total Journal Articles 28 46 155 2,979 76 151 490 6,675


Software Item File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
GA.M: A Matlab routine for function maximization using a Genetic Algorithm 11 40 176 10,250 43 137 542 25,265
MATLAB/C code for GIG and BNLG common value auction specifications 4 10 29 1,607 11 24 95 5,405
Total Software Items 15 50 205 11,857 54 161 637 30,670


Statistics updated 2017-06-02