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 1 2 6 3,540
A generalization of generalized beta distributions 1 1 1 803 1 1 6 4,248
A risk-factor model foundation for ratings-based bank capital rules 0 0 2 2,127 0 2 8 4,145
Bayesian Estimation of Time-Changed Default Intensity Models 0 0 0 28 1 1 2 58
Computationally Convenient Distributional Assumptions for Common Value Auctions 0 0 0 2 0 0 1 14
Computationally convenient distributional assumptions for common value auctions 0 1 2 232 0 1 2 794
Constant proportion debt obligations: a post-mortem analysis of rating models 0 0 0 48 0 0 1 189
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market 0 0 1 39 0 1 2 109
Credit VAR and risk-bucket capital rules: a reconciliation 0 0 0 0 0 0 1 75
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 1 74
Granularity adjustment for Basel II 0 2 15 1,455 0 19 51 3,955
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 0 0 0 1,306
Multiple Bids in a Multiple-Unit Common Value Auction 0 0 1 200 0 0 9 571
Nested simulation in portfolio risk measurement 0 0 0 110 0 0 1 326
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 3 47
Spectral backtests of forecast distributions with application to risk management 0 0 1 52 0 1 3 52
Spectral backtests unbounded and folded 0 0 11 12 0 0 10 13
Switching costs and adverse selection in the market for credit cards: new evidence 0 1 1 402 0 1 4 1,507
The Bank as Grim Reaper: Debt Composition and Bankruptcy Thresholds 0 0 1 19 1 1 3 98
The bank as grim reaper: debt composition and recoveries on defaulted debt 0 0 0 0 3 3 4 65
Total Working Papers 1 5 37 7,750 7 34 121 22,032

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 6 1,034 0 1 21 2,116
A risk-factor model foundation for ratings-based bank capital rules 3 8 31 938 8 22 85 2,013
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 4 11 14
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 6 15 162 6 17 50 624
Granularity adjustment for mark-to-market credit risk models 2 2 3 58 2 4 12 286
Hedging Winner'S Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction 0 0 0 87 0 1 2 334
Nested Simulation in Portfolio Risk Measurement 0 0 1 9 0 0 2 73
Procyclicality in Basel II: Can we treat the disease without killing the patient? 0 0 0 704 2 4 15 1,783
Saddlepoint approximation of CreditRisk+ 1 1 3 728 1 1 7 1,213
Special Issue: Monitoring Systemic Risk: Data, Models and Metrics 0 0 0 4 0 0 2 21
Spectral backtests of forecast distributions with application to risk management 0 0 0 13 1 2 4 58
Switching costs and adverse selection in the market for credit cards: New evidence 0 0 2 82 0 0 5 348
The bank as Grim Reaper: Debt composition and bankruptcy thresholds 0 0 0 8 0 0 1 32
Total Journal Articles 8 17 64 3,879 20 56 218 9,216

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 2 5 28 0 2 9 45
Total Chapters 0 2 5 28 0 2 9 45

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 1 2 15 10,525 2 3 31 26,848
MATLAB/C code for GIG and BNLG common value auction specifications 0 0 3 1,673 2 4 10 5,714
Total Software Items 1 2 18 12,198 4 7 41 32,562

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Statistics updated 2025-09-05