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 5 3,540
A generalization of generalized beta distributions 0 0 1 803 0 1 7 4,249
A risk-factor model foundation for ratings-based bank capital rules 1 2 3 2,129 3 7 13 4,152
Bayesian Estimation of Time-Changed Default Intensity Models 0 0 0 28 3 4 6 62
Computationally Convenient Distributional Assumptions for Common Value Auctions 0 0 0 2 0 1 2 15
Computationally convenient distributional assumptions for common value auctions 0 0 1 232 1 6 7 800
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 2 3 5 112
Credit VAR and risk-bucket capital rules: a reconciliation 0 0 0 0 1 1 2 76
Estimation of a Markov Model of Loan Seasoning with Aggregated Performance Data 0 0 0 187 2 2 2 594
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 2 6 18 1,461 7 17 59 3,972
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 1 1 1 1,307
Multiple Bids in a Multiple-Unit Common Value Auction 0 0 1 200 0 1 6 572
Nested simulation in portfolio risk measurement 0 0 0 110 0 2 2 328
On the distribution of a discrete sample path of a square-root diffusion 0 0 0 7 0 0 2 55
Spectral Backtests of Forecast Distributions with Application to Risk Management 0 0 0 15 0 1 4 48
Spectral backtests of forecast distributions with application to risk management 0 0 0 52 0 2 3 54
Spectral backtests unbounded and folded 0 0 2 12 0 0 5 13
Switching costs and adverse selection in the market for credit cards: new evidence 0 0 1 402 0 1 5 1,508
The Bank as Grim Reaper: Debt Composition and Bankruptcy Thresholds 0 0 0 19 2 5 6 103
The bank as grim reaper: debt composition and recoveries on defaulted debt 0 0 0 0 0 1 4 66
Total Working Papers 3 8 29 7,758 22 57 150 22,089

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 3 1,034 1 3 19 2,119
A risk-factor model foundation for ratings-based bank capital rules 0 5 30 943 8 23 89 2,036
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 1 85
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market 0 0 3 3 0 1 11 15
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 2 2 15 164 8 18 57 642
Granularity adjustment for mark-to-market credit risk models 1 1 3 59 3 4 13 290
Hedging Winner'S Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction 0 1 1 88 0 2 4 336
Nested Simulation in Portfolio Risk Measurement 0 1 1 10 1 2 3 75
Procyclicality in Basel II: Can we treat the disease without killing the patient? 0 0 0 704 2 3 16 1,786
Saddlepoint approximation of CreditRisk+ 0 1 3 729 0 3 6 1,216
Special Issue: Monitoring Systemic Risk: Data, Models and Metrics 0 0 0 4 1 2 4 23
Spectral backtests of forecast distributions with application to risk management 0 0 0 13 1 6 10 64
Switching costs and adverse selection in the market for credit cards: New evidence 0 0 1 82 1 3 7 351
The bank as Grim Reaper: Debt composition and bankruptcy thresholds 0 0 0 8 0 3 4 35
Total Journal Articles 3 11 60 3,890 26 73 244 9,289

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 0 3 9 48
Total Chapters 0 0 3 28 0 3 9 48

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 11 10,525 2 5 24 26,853
MATLAB/C code for GIG and BNLG common value auction specifications 0 0 3 1,673 2 5 13 5,719
Total Software Items 0 0 14 12,198 4 10 37 32,572

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Statistics updated 2025-12-06