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 7 13 1,591 1 15 34 3,379
A generalization of generalized beta distributions 0 0 2 790 0 0 7 4,177
A risk-factor model foundation for ratings-based bank capital rules 14 29 76 2,042 25 53 152 3,893
Bayesian Estimation of Time-Changed Default Intensity Models 0 0 7 23 0 0 15 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 0 2 222 0 1 8 741
Constant proportion debt obligations: a post-mortem analysis of rating models 0 0 0 42 0 0 1 125
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market 0 1 21 21 2 3 21 21
Credit VAR and risk-bucket capital rules: a reconciliation 0 0 0 0 0 2 13 37
Estimation of a Markov Model of Loan Seasoning with Aggregated Performance Data 0 0 0 186 0 0 1 587
Expectations of functions of stochastic time with application to credit risk modeling 0 1 5 30 0 1 8 53
Granularity adjustment for Basel II 3 13 46 942 6 42 145 2,658
Granularity adjustment for mark-to-market credit risk models 0 0 6 80 1 1 14 162
Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction 0 0 1 247 0 1 3 1,276
Multiple Bids in a Multiple-Unit Common Value Auction 0 1 1 193 2 3 6 533
Nested simulation in portfolio risk measurement 1 3 7 101 1 5 15 255
On the distribution of a discrete sample path of a square-root diffusion 1 1 1 4 1 1 3 40
Switching costs and adverse selection in the market for credit cards: new evidence 0 0 4 396 0 3 62 1,440
The Bank as Grim Reaper: Debt Composition and Bankruptcy Thresholds 0 0 1 8 2 3 11 15
The bank as grim reaper: debt composition and recoveries on defaulted debt 0 0 0 0 0 0 3 30
Total Working Papers 20 56 193 6,918 41 134 523 19,462


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 2 10 50 822 5 28 133 1,618
A risk-factor model foundation for ratings-based bank capital rules 19 36 105 625 35 80 226 1,210
Computationally Convenient Distributional Assumptions for Common-Value Auctions 0 0 0 41 0 1 3 168
Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models 0 0 0 2 0 0 1 37
EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING 0 0 2 2 0 0 13 13
Granularity Adjustment for Regulatory Capital Assessment 1 5 16 64 3 10 57 304
Granularity adjustment for mark-to-market credit risk models 1 1 2 41 4 7 15 219
Hedging Winner'S Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction 0 1 2 82 0 1 5 302
Nested Simulation in Portfolio Risk Measurement 0 0 1 5 0 1 6 40
Procyclicality in Basel II: Can we treat the disease without killing the patient? 3 7 25 630 5 18 67 1,544
Saddlepoint approximation of CreditRisk+ 1 1 3 690 1 1 13 1,143
Switching costs and adverse selection in the market for credit cards: New evidence 0 1 1 66 0 1 34 285
Total Journal Articles 27 62 207 3,070 53 148 573 6,883


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 29 155 10,288 29 87 481 25,378
MATLAB/C code for GIG and BNLG common value auction specifications 0 4 28 1,613 3 11 81 5,419
Total Software Items 11 33 183 11,901 32 98 562 30,797


Statistics updated 2017-10-05