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 3 1,640 0 0 11 3,534
A generalization of generalized beta distributions 0 0 2 802 0 0 10 4,242
A risk-factor model foundation for ratings-based bank capital rules 0 1 5 2,125 1 2 11 4,138
Bayesian Estimation of Time-Changed Default Intensity Models 0 0 0 28 0 0 2 56
Computationally Convenient Distributional Assumptions for Common Value Auctions 0 0 0 2 0 0 0 13
Computationally convenient distributional assumptions for common value auctions 0 0 1 230 0 0 3 792
Constant proportion debt obligations: a post-mortem analysis of rating models 0 0 0 48 0 0 3 188
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market 0 0 2 38 0 0 4 107
Credit VAR and risk-bucket capital rules: a reconciliation 0 0 0 0 0 0 2 74
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 0 73
Granularity adjustment for Basel II 2 2 21 1,442 3 6 55 3,907
Granularity adjustment for mark-to-market credit risk models 0 0 0 87 0 0 0 198
Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction 0 0 0 252 0 0 2 1,306
Multiple Bids in a Multiple-Unit Common Value Auction 0 0 4 199 0 0 5 562
Nested simulation in portfolio risk measurement 0 0 1 110 1 1 5 326
On the distribution of a discrete sample path of a square-root diffusion 0 0 0 7 0 0 1 53
Spectral Backtests of Forecast Distributions with Application to Risk Management 0 0 0 15 0 1 3 44
Spectral backtests of forecast distributions with application to risk management 0 0 0 51 0 0 1 49
Spectral backtests unbounded and folded 1 2 2 2 4 7 7 7
Switching costs and adverse selection in the market for credit cards: new evidence 0 0 0 401 0 0 1 1,503
The Bank as Grim Reaper: Debt Composition and Bankruptcy Thresholds 0 0 0 18 0 1 2 95
The bank as grim reaper: debt composition and recoveries on defaulted debt 0 0 0 0 0 0 4 61
Total Working Papers 3 5 41 7,716 9 18 132 21,920


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 5 15 1,030 2 8 38 2,097
A risk-factor model foundation for ratings-based bank capital rules 4 9 28 911 8 23 90 1,936
Computationally Convenient Distributional Assumptions for Common-Value Auctions 0 0 0 42 0 0 3 182
Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models 0 0 0 2 0 0 4 84
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 0 1 8 147 4 6 27 578
Granularity adjustment for mark-to-market credit risk models 0 0 4 55 0 0 9 274
Hedging Winner'S Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction 0 0 0 87 0 0 4 332
Nested Simulation in Portfolio Risk Measurement 1 1 1 9 1 1 2 72
Procyclicality in Basel II: Can we treat the disease without killing the patient? 0 1 2 704 0 1 5 1,768
Saddlepoint approximation of CreditRisk+ 0 3 9 725 2 5 17 1,208
Special Issue: Monitoring Systemic Risk: Data, Models and Metrics 0 0 0 4 0 0 0 19
Spectral backtests of forecast distributions with application to risk management 0 0 2 13 0 0 3 54
Switching costs and adverse selection in the market for credit cards: New evidence 1 1 3 81 1 2 8 344
The bank as Grim Reaper: Debt composition and bankruptcy thresholds 0 0 1 8 0 0 11 31
Total Journal Articles 8 21 73 3,823 18 46 221 9,013


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 3 8 24 1 4 10 37
Total Chapters 1 3 8 24 1 4 10 37


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 1 11 10,510 4 10 40 26,821
MATLAB/C code for GIG and BNLG common value auction specifications 0 0 2 1,670 1 5 14 5,705
Total Software Items 0 1 13 12,180 5 15 54 32,526


Statistics updated 2024-10-07