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 3 8 3,538
A generalization of generalized beta distributions 0 0 0 802 1 4 7 4,246
A risk-factor model foundation for ratings-based bank capital rules 0 0 4 2,126 1 1 7 4,140
Bayesian Estimation of Time-Changed Default Intensity Models 0 0 0 28 1 1 2 57
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 1 231 0 0 2 793
Constant proportion debt obligations: a post-mortem analysis of rating models 0 0 0 48 0 1 3 189
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market 0 0 0 38 0 0 1 107
Credit VAR and risk-bucket capital rules: a reconciliation 0 0 0 0 0 1 2 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 1 1 74
Granularity adjustment for Basel II 1 4 16 1,447 4 12 44 3,925
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 1 1,306
Multiple Bids in a Multiple-Unit Common Value Auction 0 1 5 200 0 5 13 571
Nested simulation in portfolio risk measurement 0 0 1 110 0 0 5 326
On the distribution of a discrete sample path of a square-root diffusion 0 0 0 7 0 0 0 53
Spectral Backtests of Forecast Distributions with Application to Risk Management 0 0 0 15 1 1 3 45
Spectral backtests of forecast distributions with application to risk management 0 0 1 52 0 0 2 51
Spectral backtests unbounded and folded 1 1 11 11 3 3 11 11
Switching costs and adverse selection in the market for credit cards: new evidence 0 0 0 401 1 1 1 1,504
The Bank as Grim Reaper: Debt Composition and Bankruptcy Thresholds 0 0 1 19 0 0 4 97
The bank as grim reaper: debt composition and recoveries on defaulted debt 0 0 0 0 0 0 2 62
Total Working Papers 2 6 40 7,735 13 34 119 21,973

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 3 13 1,034 5 11 31 2,111
A risk-factor model foundation for ratings-based bank capital rules 5 11 27 924 11 24 77 1,971
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 0 3 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 1 4 9 153 3 11 31 596
Granularity adjustment for mark-to-market credit risk models 0 0 2 56 1 1 6 278
Hedging Winner'S Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction 0 0 0 87 1 1 2 333
Nested Simulation in Portfolio Risk Measurement 0 0 1 9 0 0 2 72
Procyclicality in Basel II: Can we treat the disease without killing the patient? 0 0 2 704 2 6 10 1,776
Saddlepoint approximation of CreditRisk+ 0 0 7 726 0 1 15 1,211
Special Issue: Monitoring Systemic Risk: Data, Models and Metrics 0 0 0 4 1 2 2 21
Spectral backtests of forecast distributions with application to risk management 0 0 1 13 1 2 3 56
Switching costs and adverse selection in the market for credit cards: New evidence 1 1 2 82 1 2 5 346
The bank as Grim Reaper: Debt composition and bankruptcy thresholds 0 0 0 8 0 0 6 31
Total Journal Articles 8 19 64 3,849 26 61 193 9,102

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 1 8 26 1 3 12 42
Total Chapters 0 1 8 26 1 3 12 42

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 4 7 18 10,521 5 10 44 26,839
MATLAB/C code for GIG and BNLG common value auction specifications 0 1 2 1,671 0 2 13 5,708
Total Software Items 4 8 20 12,192 5 12 57 32,547

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Statistics updated 2025-03-03