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 1 1 5 3,539
A generalization of generalized beta distributions 0 0 0 802 0 1 5 4,247
A risk-factor model foundation for ratings-based bank capital rules 0 1 3 2,127 1 3 8 4,144
Bayesian Estimation of Time-Changed Default Intensity Models 0 0 0 28 0 0 1 57
Computationally Convenient Distributional Assumptions for Common Value Auctions 0 0 0 2 0 1 1 14
Computationally convenient distributional assumptions for common value auctions 1 1 2 232 1 1 2 794
Constant proportion debt obligations: a post-mortem analysis of rating models 0 0 0 48 0 0 1 189
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market 0 1 1 39 0 1 1 108
Credit VAR and risk-bucket capital rules: a reconciliation 0 0 0 0 0 0 1 75
Estimation of a Markov Model of Loan Seasoning with Aggregated Performance Data 0 0 0 187 0 0 0 592
Expectations of functions of stochastic time with application to credit risk modeling 0 0 0 32 0 0 1 74
Granularity adjustment for Basel II 1 6 14 1,454 15 24 50 3,951
Granularity adjustment for mark-to-market credit risk models 0 0 1 88 0 0 1 199
Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction 0 0 0 252 0 0 0 1,306
Multiple Bids in a Multiple-Unit Common Value Auction 0 0 1 200 0 0 9 571
Nested simulation in portfolio risk measurement 0 0 0 110 0 0 1 326
On the distribution of a discrete sample path of a square-root diffusion 0 0 0 7 0 1 2 55
Spectral Backtests of Forecast Distributions with Application to Risk Management 0 0 0 15 1 1 4 47
Spectral backtests of forecast distributions with application to risk management 0 0 1 52 1 1 3 52
Spectral backtests unbounded and folded 0 0 12 12 0 0 13 13
Switching costs and adverse selection in the market for credit cards: new evidence 0 0 0 401 0 1 3 1,506
The Bank as Grim Reaper: Debt Composition and Bankruptcy Thresholds 0 0 1 19 0 0 3 97
The bank as grim reaper: debt composition and recoveries on defaulted debt 0 0 0 0 0 0 1 62
Total Working Papers 2 9 36 7,747 20 36 116 22,018

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 0 9 1,034 1 4 27 2,116
A risk-factor model foundation for ratings-based bank capital rules 2 8 30 932 7 22 85 1,998
Computationally Convenient Distributional Assumptions for Common-Value Auctions 0 0 0 42 0 0 0 182
Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models 0 0 0 2 0 1 1 85
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market 0 0 3 3 2 5 10 12
EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING 0 0 0 5 0 0 0 34
Granularity Adjustment for Regulatory Capital Assessment 1 3 11 157 2 9 37 609
Granularity adjustment for mark-to-market credit risk models 0 0 1 56 1 5 9 283
Hedging Winner'S Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction 0 0 0 87 0 0 1 333
Nested Simulation in Portfolio Risk Measurement 0 0 1 9 0 1 2 73
Procyclicality in Basel II: Can we treat the disease without killing the patient? 0 0 1 704 1 3 13 1,780
Saddlepoint approximation of CreditRisk+ 0 1 5 727 0 1 9 1,212
Special Issue: Monitoring Systemic Risk: Data, Models and Metrics 0 0 0 4 0 0 2 21
Spectral backtests of forecast distributions with application to risk management 0 0 0 13 0 0 2 56
Switching costs and adverse selection in the market for credit cards: New evidence 0 0 2 82 0 1 6 348
The bank as Grim Reaper: Debt composition and bankruptcy thresholds 0 0 0 8 0 1 1 32
Total Journal Articles 3 12 63 3,865 14 53 205 9,174

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 1 1 6 27 1 1 11 44
Total Chapters 1 1 6 27 1 1 11 44

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 1 2 15 10,524 1 5 35 26,846
MATLAB/C code for GIG and BNLG common value auction specifications 0 2 3 1,673 1 3 11 5,711
Total Software Items 1 4 18 12,197 2 8 46 32,557

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Statistics updated 2025-07-04