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 0 3 3,540
A generalization of generalized beta distributions 1 1 2 804 3 4 10 4,252
A risk-factor model foundation for ratings-based bank capital rules 0 2 3 2,129 2 8 15 4,154
Bayesian Estimation of Time-Changed Default Intensity Models 0 0 0 28 1 5 7 63
Computationally Convenient Distributional Assumptions for Common Value Auctions 0 0 0 2 2 3 4 17
Computationally convenient distributional assumptions for common value auctions 0 0 1 232 2 8 9 802
Constant proportion debt obligations: a post-mortem analysis of rating models 0 0 0 48 0 1 2 190
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market 0 0 1 39 1 4 6 113
Credit VAR and risk-bucket capital rules: a reconciliation 0 0 0 0 0 1 1 76
Estimation of a Markov Model of Loan Seasoning with Aggregated Performance Data 0 0 0 187 1 3 3 595
Expectations of functions of stochastic time with application to credit risk modeling 0 0 0 32 1 1 2 75
Granularity adjustment for Basel II 2 7 18 1,463 17 33 70 3,989
Granularity adjustment for mark-to-market credit risk models 0 0 1 88 3 3 4 202
Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction 0 0 0 252 2 3 3 1,309
Multiple Bids in a Multiple-Unit Common Value Auction 0 0 1 200 0 1 5 572
Nested simulation in portfolio risk measurement 0 0 0 110 2 4 4 330
On the distribution of a discrete sample path of a square-root diffusion 0 0 0 7 1 1 3 56
Spectral Backtests of Forecast Distributions with Application to Risk Management 0 0 0 15 0 0 4 48
Spectral backtests of forecast distributions with application to risk management 0 0 0 52 3 5 6 57
Spectral backtests unbounded and folded 0 0 2 12 3 3 8 16
Switching costs and adverse selection in the market for credit cards: new evidence 0 0 1 402 3 4 8 1,511
The Bank as Grim Reaper: Debt Composition and Bankruptcy Thresholds 0 0 0 19 3 5 9 106
The bank as grim reaper: debt composition and recoveries on defaulted debt 0 0 0 0 1 1 5 67
Total Working Papers 3 10 30 7,761 51 101 191 22,140

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 1 1 4 1,035 3 5 20 2,122
A risk-factor model foundation for ratings-based bank capital rules 0 2 28 943 7 24 90 2,043
Computationally Convenient Distributional Assumptions for Common-Value Auctions 0 0 0 42 1 1 1 183
Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models 0 0 0 2 0 0 1 85
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market 0 0 3 3 1 2 12 16
EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING 0 0 0 5 1 1 1 35
Granularity Adjustment for Regulatory Capital Assessment 0 2 15 164 2 19 56 644
Granularity adjustment for mark-to-market credit risk models 1 2 4 60 1 5 14 291
Hedging Winner'S Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction 0 1 1 88 2 4 6 338
Nested Simulation in Portfolio Risk Measurement 0 1 1 10 0 2 3 75
Procyclicality in Basel II: Can we treat the disease without killing the patient? 1 1 1 705 2 4 18 1,788
Saddlepoint approximation of CreditRisk+ 0 1 3 729 1 4 6 1,217
Special Issue: Monitoring Systemic Risk: Data, Models and Metrics 0 0 0 4 1 2 4 24
Spectral backtests of forecast distributions with application to risk management 0 0 0 13 0 5 9 64
Switching costs and adverse selection in the market for credit cards: New evidence 0 0 1 82 2 5 9 353
The bank as Grim Reaper: Debt composition and bankruptcy thresholds 0 0 0 8 1 4 5 36
Total Journal Articles 3 11 61 3,893 25 87 255 9,314

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 3 28 1 4 9 49
Total Chapters 0 0 3 28 1 4 9 49

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 9 10,525 3 6 24 26,856
MATLAB/C code for GIG and BNLG common value auction specifications 0 0 2 1,673 1 6 12 5,720
Total Software Items 0 0 11 12,198 4 12 36 32,576

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Statistics updated 2026-01-09