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 1 5 1,640 1 3 15 3,531
A generalization of generalized beta distributions 0 1 2 802 2 5 10 4,241
A risk-factor model foundation for ratings-based bank capital rules 0 1 4 2,122 1 4 11 4,134
Bayesian Estimation of Time-Changed Default Intensity Models 0 0 0 28 1 2 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 1 3 791
Constant proportion debt obligations: a post-mortem analysis of rating models 0 0 0 48 0 1 1 186
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market 0 2 3 38 0 3 6 106
Credit VAR and risk-bucket capital rules: a reconciliation 0 0 0 0 0 0 1 73
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 1 3 32 1,432 5 16 81 3,886
Granularity adjustment for mark-to-market credit risk models 0 0 1 87 0 0 3 198
Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction 0 0 1 252 0 0 2 1,305
Multiple Bids in a Multiple-Unit Common Value Auction 3 3 3 198 3 3 4 561
Nested simulation in portfolio risk measurement 0 0 0 109 3 3 6 324
On the distribution of a discrete sample path of a square-root diffusion 0 0 1 7 0 0 3 53
Spectral Backtests of Forecast Distributions with Application to Risk Management 0 0 0 15 0 1 1 42
Spectral backtests of forecast distributions with application to risk management 0 0 0 51 0 0 1 49
Switching costs and adverse selection in the market for credit cards: new evidence 0 0 0 401 0 0 2 1,503
The Bank as Grim Reaper: Debt Composition and Bankruptcy Thresholds 0 0 0 18 0 0 1 93
The bank as grim reaper: debt composition and recoveries on defaulted debt 0 0 0 0 0 3 3 60
Total Working Papers 4 11 53 7,699 16 45 156 21,870


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 2 25 1,021 1 7 64 2,081
A risk-factor model foundation for ratings-based bank capital rules 1 5 32 898 5 18 103 1,899
Computationally Convenient Distributional Assumptions for Common-Value Auctions 0 0 0 42 0 1 3 182
Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models 0 0 0 2 0 1 3 81
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 1 4 12 145 1 8 33 566
Granularity adjustment for mark-to-market credit risk models 0 0 5 54 0 1 12 272
Hedging Winner'S Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction 0 0 0 87 0 2 3 331
Nested Simulation in Portfolio Risk Measurement 0 0 0 8 0 0 0 70
Procyclicality in Basel II: Can we treat the disease without killing the patient? 0 0 3 702 0 1 8 1,766
Saddlepoint approximation of CreditRisk+ 1 1 5 720 3 4 9 1,199
Special Issue: Monitoring Systemic Risk: Data, Models and Metrics 0 0 0 4 0 0 0 19
Spectral backtests of forecast distributions with application to risk management 0 0 1 12 0 1 2 53
Switching costs and adverse selection in the market for credit cards: New evidence 0 0 2 80 0 2 5 341
The bank as Grim Reaper: Debt composition and bankruptcy thresholds 0 0 1 8 2 3 9 27
Total Journal Articles 3 12 86 3,788 12 49 254 8,921


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 1 11 18 0 1 18 30
Total Chapters 0 1 11 18 0 1 18 30


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 10,504 3 6 49 26,798
MATLAB/C code for GIG and BNLG common value auction specifications 0 0 3 1,669 2 3 16 5,697
Total Software Items 1 2 18 12,173 5 9 65 32,495


Statistics updated 2024-04-03