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 |
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