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 4 8 11 3,549
A generalization of generalized beta distributions 0 0 2 804 0 1 8 4,255
A risk-factor model foundation for ratings-based bank capital rules 0 2 5 2,131 3 9 24 4,166
Bayesian Estimation of Time-Changed Default Intensity Models 0 0 0 28 3 3 9 66
Computationally Convenient Distributional Assumptions for Common Value Auctions 0 0 0 2 0 2 11 25
Computationally convenient distributional assumptions for common value auctions 0 1 2 233 2 6 21 814
Constant proportion debt obligations: a post-mortem analysis of rating models 0 0 0 48 2 5 8 197
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market 0 0 0 39 3 5 11 119
Credit VAR and risk-bucket capital rules: a reconciliation 0 0 0 0 1 2 5 80
Estimation of a Markov Model of Loan Seasoning with Aggregated Performance Data 0 0 0 187 1 3 8 600
Expectations of functions of stochastic time with application to credit risk modeling 0 0 0 32 2 3 6 80
Granularity adjustment for Basel II 0 1 16 1,465 6 19 84 4,013
Granularity adjustment for mark-to-market credit risk models 0 0 0 88 1 3 10 209
Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction 0 0 0 252 1 3 8 1,314
Multiple Bids in a Multiple-Unit Common Value Auction 0 0 0 200 1 4 8 579
Nested simulation in portfolio risk measurement 0 0 0 110 3 4 10 336
On the distribution of a discrete sample path of a square-root diffusion 0 0 0 7 2 7 12 66
Spectral Backtests of Forecast Distributions with Application to Risk Management 0 0 0 15 2 3 9 55
Spectral backtests of forecast distributions with application to risk management 0 0 0 52 1 2 9 60
Spectral backtests unbounded and folded 0 0 0 12 0 4 7 20
Switching costs and adverse selection in the market for credit cards: new evidence 0 0 1 402 0 2 14 1,520
The Bank as Grim Reaper: Debt Composition and Bankruptcy Thresholds 0 0 0 19 1 4 18 115
The bank as grim reaper: debt composition and recoveries on defaulted debt 0 0 0 0 0 1 8 70
Total Working Papers 0 4 26 7,766 39 103 319 22,308

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 2 1,036 6 9 21 2,133
A risk-factor model foundation for ratings-based bank capital rules 2 5 24 950 9 28 100 2,084
Computationally Convenient Distributional Assumptions for Common-Value Auctions 0 0 0 42 1 2 6 188
Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models 0 0 0 2 2 5 8 92
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market 0 1 1 4 1 5 14 23
EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING 0 0 0 5 1 2 5 39
Granularity Adjustment for Regulatory Capital Assessment 3 5 14 170 5 14 60 664
Granularity adjustment for mark-to-market credit risk models 0 0 4 60 0 2 21 300
Hedging Winner'S Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction 0 0 1 88 3 4 11 344
Nested Simulation in Portfolio Risk Measurement 0 0 1 10 2 7 13 86
Procyclicality in Basel II: Can we treat the disease without killing the patient? 0 0 1 705 1 4 16 1,795
Saddlepoint approximation of CreditRisk+ 0 0 2 729 1 3 8 1,220
Special Issue: Monitoring Systemic Risk: Data, Models and Metrics 0 0 0 4 0 1 7 28
Spectral backtests of forecast distributions with application to risk management 0 1 1 14 1 2 11 67
Switching costs and adverse selection in the market for credit cards: New evidence 0 0 0 82 7 9 21 368
The bank as Grim Reaper: Debt composition and bankruptcy thresholds 0 0 0 8 2 6 11 42
Total Journal Articles 6 13 51 3,909 42 103 333 9,473

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 2 28 0 1 8 51
Total Chapters 0 0 2 28 0 1 8 51

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 3 10,525 3 7 27 26,868
MATLAB/C code for GIG and BNLG common value auction specifications 0 0 1 1,673 2 4 18 5,727
Total Software Items 0 0 4 12,198 5 11 45 32,595

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Statistics updated 2026-05-06