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 0 5 11 3,549
A generalization of generalized beta distributions 0 0 2 804 0 1 8 4,255
A risk-factor model foundation for ratings-based bank capital rules 0 1 4 2,131 0 6 23 4,166
Bayesian Estimation of Time-Changed Default Intensity Models 0 0 0 28 0 3 9 66
Computationally Convenient Distributional Assumptions for Common Value Auctions 0 0 0 2 0 0 11 25
Computationally convenient distributional assumptions for common value auctions 0 0 2 233 0 4 21 814
Constant proportion debt obligations: a post-mortem analysis of rating models 0 0 0 48 1 5 9 198
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market 0 0 0 39 0 4 11 119
Credit VAR and risk-bucket capital rules: a reconciliation 0 0 0 0 1 3 6 81
Estimation of a Markov Model of Loan Seasoning with Aggregated Performance Data 0 0 0 187 0 1 8 600
Expectations of functions of stochastic time with application to credit risk modeling 0 0 0 32 0 3 6 80
Granularity adjustment for Basel II 4 5 16 1,469 6 19 83 4,019
Granularity adjustment for mark-to-market credit risk models 0 0 0 88 0 1 10 209
Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction 0 0 0 252 0 2 8 1,314
Multiple Bids in a Multiple-Unit Common Value Auction 0 0 0 200 0 1 8 579
Nested simulation in portfolio risk measurement 0 0 0 110 0 4 10 336
On the distribution of a discrete sample path of a square-root diffusion 0 0 0 7 1 4 12 67
Spectral Backtests of Forecast Distributions with Application to Risk Management 0 0 0 15 0 2 9 55
Spectral backtests of forecast distributions with application to risk management 0 0 0 52 2 4 11 62
Spectral backtests unbounded and folded 0 0 0 12 1 2 8 21
Switching costs and adverse selection in the market for credit cards: new evidence 0 0 1 402 0 1 14 1,520
The Bank as Grim Reaper: Debt Composition and Bankruptcy Thresholds 0 0 0 19 0 1 18 115
The bank as grim reaper: debt composition and recoveries on defaulted debt 0 0 0 0 1 2 9 71
Total Working Papers 4 6 25 7,770 13 78 323 22,321

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 2 1,036 0 7 18 2,133
A risk-factor model foundation for ratings-based bank capital rules 3 7 23 953 6 22 99 2,090
Computationally Convenient Distributional Assumptions for Common-Value Auctions 0 0 0 42 0 1 6 188
Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models 0 0 0 2 1 5 8 93
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market 0 0 1 4 2 4 15 25
EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING 0 0 0 5 0 1 5 39
Granularity Adjustment for Regulatory Capital Assessment 2 7 16 172 3 10 60 667
Granularity adjustment for mark-to-market credit risk models 0 0 4 60 2 4 20 302
Hedging Winner'S Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction 0 0 1 88 1 5 12 345
Nested Simulation in Portfolio Risk Measurement 0 0 1 10 3 8 16 89
Procyclicality in Basel II: Can we treat the disease without killing the patient? 0 0 1 705 2 6 18 1,797
Saddlepoint approximation of CreditRisk+ 0 0 2 729 0 2 8 1,220
Special Issue: Monitoring Systemic Risk: Data, Models and Metrics 0 0 0 4 0 1 7 28
Spectral backtests of forecast distributions with application to risk management 0 0 1 14 1 2 12 68
Switching costs and adverse selection in the market for credit cards: New evidence 0 0 0 82 0 7 20 368
The bank as Grim Reaper: Debt composition and bankruptcy thresholds 0 0 0 8 0 5 10 42
Total Journal Articles 5 15 52 3,914 21 90 334 9,494

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 1 8 51
Total Chapters 0 0 2 28 0 1 8 51

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 2 10,525 0 4 23 26,868
MATLAB/C code for GIG and BNLG common value auction specifications 0 0 0 1,673 0 2 17 5,727
Total Software Items 0 0 2 12,198 0 6 40 32,595

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Statistics updated 2026-06-04