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 0 0 0 1,640 3 4 6 3,544
A generalization of generalized beta distributions 0 1 2 804 0 5 8 4,254
A risk-factor model foundation for ratings-based bank capital rules 1 1 4 2,130 3 8 20 4,160
Bayesian Estimation of Time-Changed Default Intensity Models 0 0 0 28 0 1 6 63
Computationally Convenient Distributional Assumptions for Common Value Auctions 0 0 0 2 2 10 12 25
Computationally convenient distributional assumptions for common value auctions 1 1 2 233 2 10 17 810
Constant proportion debt obligations: a post-mortem analysis of rating models 0 0 0 48 1 3 4 193
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market 0 0 1 39 1 3 8 115
Credit VAR and risk-bucket capital rules: a reconciliation 0 0 0 0 0 2 3 78
Estimation of a Markov Model of Loan Seasoning with Aggregated Performance Data 0 0 0 187 2 5 7 599
Expectations of functions of stochastic time with application to credit risk modeling 0 0 0 32 0 3 3 77
Granularity adjustment for Basel II 0 3 17 1,464 6 28 75 4,000
Granularity adjustment for mark-to-market credit risk models 0 0 1 88 2 9 10 208
Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction 0 0 0 252 1 5 6 1,312
Multiple Bids in a Multiple-Unit Common Value Auction 0 0 0 200 3 6 7 578
Nested simulation in portfolio risk measurement 0 0 0 110 0 4 6 332
On the distribution of a discrete sample path of a square-root diffusion 0 0 0 7 4 8 10 63
Spectral Backtests of Forecast Distributions with Application to Risk Management 0 0 0 15 1 5 8 53
Spectral backtests of forecast distributions with application to risk management 0 0 0 52 0 4 7 58
Spectral backtests unbounded and folded 0 0 1 12 3 6 8 19
Switching costs and adverse selection in the market for credit cards: new evidence 0 0 1 402 1 11 15 1,519
The Bank as Grim Reaper: Debt Composition and Bankruptcy Thresholds 0 0 0 19 3 11 17 114
The bank as grim reaper: debt composition and recoveries on defaulted debt 0 0 0 0 0 3 7 69
Total Working Papers 2 6 29 7,764 38 154 270 22,243

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 0 1 1 1,035 2 7 15 2,126
A risk-factor model foundation for ratings-based bank capital rules 1 3 22 946 12 32 97 2,068
Computationally Convenient Distributional Assumptions for Common-Value Auctions 0 0 0 42 1 5 5 187
Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models 0 0 0 2 1 3 4 88
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market 1 1 2 4 3 6 15 21
EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING 0 0 0 5 1 4 4 38
Granularity Adjustment for Regulatory Capital Assessment 0 1 12 165 7 15 61 657
Granularity adjustment for mark-to-market credit risk models 0 1 4 60 0 8 20 298
Hedging Winner'S Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction 0 0 1 88 0 4 7 340
Nested Simulation in Portfolio Risk Measurement 0 0 1 10 2 6 9 81
Procyclicality in Basel II: Can we treat the disease without killing the patient? 0 1 1 705 0 5 15 1,791
Saddlepoint approximation of CreditRisk+ 0 0 3 729 1 2 7 1,218
Special Issue: Monitoring Systemic Risk: Data, Models and Metrics 0 0 0 4 0 4 6 27
Spectral backtests of forecast distributions with application to risk management 1 1 1 14 1 2 10 66
Switching costs and adverse selection in the market for credit cards: New evidence 0 0 0 82 2 10 15 361
The bank as Grim Reaper: Debt composition and bankruptcy thresholds 0 0 0 8 1 2 6 37
Total Journal Articles 3 9 48 3,899 34 115 296 9,404

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Small-Sample Estimation of Models of Portfolio Credit Risk 0 0 2 28 0 2 8 50
Total Chapters 0 0 2 28 0 2 8 50

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 0 0 4 10,525 3 11 25 26,864
MATLAB/C code for GIG and BNLG common value auction specifications 0 0 2 1,673 2 6 17 5,725
Total Software Items 0 0 6 12,198 5 17 42 32,589

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Statistics updated 2026-03-04