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 9 3,549
A generalization of generalized beta distributions 0 0 1 804 0 1 8 4,256
A risk-factor model foundation for ratings-based bank capital rules 0 0 4 2,131 0 0 21 4,166
Bayesian Estimation of Time-Changed Default Intensity Models 0 0 0 28 0 0 8 66
Computationally Convenient Distributional Assumptions for Common Value Auctions 0 0 0 2 0 0 11 25
Computationally convenient distributional assumptions for common value auctions 0 0 1 233 2 2 22 816
Constant proportion debt obligations: a post-mortem analysis of rating models 0 0 0 48 0 0 9 198
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market 0 0 0 39 1 1 11 120
Credit VAR and risk-bucket capital rules: a reconciliation 0 0 0 0 0 0 6 81
Estimation of a Markov Model of Loan Seasoning with Aggregated Performance Data 0 0 0 187 0 0 8 600
Expectations of functions of stochastic time with application to credit risk modeling 0 0 0 32 0 1 7 81
Granularity adjustment for Basel II 2 4 18 1,473 9 16 80 4,035
Granularity adjustment for mark-to-market credit risk models 0 0 0 88 0 0 10 209
Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction 0 0 0 252 1 2 10 1,316
Multiple Bids in a Multiple-Unit Common Value Auction 0 0 0 200 0 1 9 580
Nested simulation in portfolio risk measurement 0 0 0 110 2 2 12 338
On the distribution of a discrete sample path of a square-root diffusion 0 0 0 7 0 2 14 69
Spectral Backtests of Forecast Distributions with Application to Risk Management 0 0 0 15 0 1 9 56
Spectral backtests of forecast distributions with application to risk management 0 1 1 53 1 2 12 64
Spectral backtests unbounded and folded 0 0 0 12 0 2 10 23
Switching costs and adverse selection in the market for credit cards: new evidence 0 0 0 402 0 0 13 1,520
The Bank as Grim Reaper: Debt Composition and Bankruptcy Thresholds 0 0 0 19 1 1 18 116
The bank as grim reaper: debt composition and recoveries on defaulted debt 0 0 0 0 0 0 6 71
Total Working Papers 2 5 25 7,775 17 34 323 22,355

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 3 1,037 1 2 19 2,135
A risk-factor model foundation for ratings-based bank capital rules 2 4 19 957 5 17 94 2,107
Computationally Convenient Distributional Assumptions for Common-Value Auctions 0 0 0 42 0 1 7 189
Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models 0 0 0 2 0 1 9 94
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market 0 0 1 4 0 4 15 29
EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING 0 0 0 5 0 1 6 40
Granularity Adjustment for Regulatory Capital Assessment 1 3 13 175 1 7 50 674
Granularity adjustment for mark-to-market credit risk models 1 2 4 62 2 5 21 307
Hedging Winner'S Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction 0 0 1 88 0 0 11 345
Nested Simulation in Portfolio Risk Measurement 0 0 1 10 2 4 20 93
Procyclicality in Basel II: Can we treat the disease without killing the patient? 0 0 1 705 1 6 20 1,803
Saddlepoint approximation of CreditRisk+ 0 0 1 729 0 1 8 1,221
Special Issue: Monitoring Systemic Risk: Data, Models and Metrics 0 0 0 4 0 0 7 28
Spectral backtests of forecast distributions with application to risk management 0 0 1 14 0 0 10 68
Switching costs and adverse selection in the market for credit cards: New evidence 0 0 0 82 0 1 21 369
The bank as Grim Reaper: Debt composition and bankruptcy thresholds 0 0 0 8 0 0 10 42
Total Journal Articles 5 10 45 3,924 12 50 328 9,544

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 3 3 31 0 4 10 55
Total Chapters 0 3 3 31 0 4 10 55

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 0 10,525 0 1 21 26,869
MATLAB/C code for GIG and BNLG common value auction specifications 0 0 0 1,673 0 2 15 5,729
Total Software Items 0 0 0 12,198 0 3 36 32,598

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Statistics updated 2026-09-10