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 1 7 19 1,598 5 18 48 3,397
A generalization of generalized beta distributions 0 0 1 790 0 0 5 4,177
A risk-factor model foundation for ratings-based bank capital rules 5 9 74 2,051 7 18 147 3,911
Bayesian Estimation of Time-Changed Default Intensity Models 0 1 4 24 0 1 7 40
Computationally Convenient Distributional Assumptions for Common Value Auctions 0 0 0 0 0 0 1 1
Computationally convenient distributional assumptions for common value auctions 0 0 2 222 1 2 10 743
Constant proportion debt obligations: a post-mortem analysis of rating models 0 1 1 43 0 1 2 126
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market 0 0 5 21 1 3 12 24
Credit VAR and risk-bucket capital rules: a reconciliation 0 0 0 0 1 3 14 40
Estimation of a Markov Model of Loan Seasoning with Aggregated Performance Data 0 0 0 186 0 0 1 587
Expectations of functions of stochastic time with application to credit risk modeling 1 1 5 31 1 1 8 54
Granularity adjustment for Basel II 3 12 43 954 7 30 144 2,688
Granularity adjustment for mark-to-market credit risk models 0 1 7 81 1 2 14 164
Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction 0 0 0 247 0 0 1 1,276
Multiple Bids in a Multiple-Unit Common Value Auction 0 0 1 193 0 1 7 534
Nested simulation in portfolio risk measurement 0 1 8 102 0 3 14 258
On the distribution of a discrete sample path of a square-root diffusion 0 0 1 4 0 0 2 40
Switching costs and adverse selection in the market for credit cards: new evidence 0 0 4 396 1 2 43 1,442
The Bank as Grim Reaper: Debt Composition and Bankruptcy Thresholds 0 1 2 9 0 1 9 16
The bank as grim reaper: debt composition and recoveries on defaulted debt 0 0 0 0 0 2 4 32
Total Working Papers 10 34 177 6,952 25 88 493 19,550


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 7 16 60 838 12 34 145 1,652
A risk-factor model foundation for ratings-based bank capital rules 2 8 93 633 7 20 210 1,230
Computationally Convenient Distributional Assumptions for Common-Value Auctions 0 0 0 41 1 1 4 169
Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models 0 0 0 2 0 2 3 39
EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING 1 2 2 4 4 7 13 20
Granularity Adjustment for Regulatory Capital Assessment 3 7 19 71 3 12 49 316
Granularity adjustment for mark-to-market credit risk models 0 2 3 43 0 2 16 221
Hedging Winner'S Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction 0 1 2 83 0 1 4 303
Nested Simulation in Portfolio Risk Measurement 0 0 1 5 0 3 8 43
Procyclicality in Basel II: Can we treat the disease without killing the patient? 0 2 22 632 2 11 58 1,555
Saddlepoint approximation of CreditRisk+ 0 0 2 690 0 2 11 1,145
Switching costs and adverse selection in the market for credit cards: New evidence 0 0 1 66 1 1 25 286
Total Journal Articles 13 38 205 3,108 30 96 546 6,979


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 10 29 134 10,317 31 93 424 25,471
MATLAB/C code for GIG and BNLG common value auction specifications 1 3 23 1,616 5 17 67 5,436
Total Software Items 11 32 157 11,933 36 110 491 30,907


Statistics updated 2018-01-04