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 0 1 5 3,540
A generalization of generalized beta distributions 0 1 1 803 1 2 7 4,249
A risk-factor model foundation for ratings-based bank capital rules 1 1 3 2,128 3 4 11 4,149
Bayesian Estimation of Time-Changed Default Intensity Models 0 0 0 28 1 2 3 59
Computationally Convenient Distributional Assumptions for Common Value Auctions 0 0 0 2 1 1 2 15
Computationally convenient distributional assumptions for common value auctions 0 0 2 232 5 5 7 799
Constant proportion debt obligations: a post-mortem analysis of rating models 0 0 0 48 1 1 2 190
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market 0 0 1 39 1 1 3 110
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 3 4 17 1,459 9 10 56 3,965
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 1 1 8 572
Nested simulation in portfolio risk measurement 0 0 0 110 2 2 2 328
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 4 48
Spectral backtests of forecast distributions with application to risk management 0 0 0 52 2 2 3 54
Spectral backtests unbounded and folded 0 0 2 12 0 0 5 13
Switching costs and adverse selection in the market for credit cards: new evidence 0 0 1 402 1 1 5 1,508
The Bank as Grim Reaper: Debt Composition and Bankruptcy Thresholds 0 0 1 19 0 4 6 101
The bank as grim reaper: debt composition and recoveries on defaulted debt 0 0 0 0 0 4 4 66
Total Working Papers 4 6 30 7,755 28 42 138 22,067

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 4 1,034 1 2 21 2,118
A risk-factor model foundation for ratings-based bank capital rules 2 8 32 943 9 23 87 2,028
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 1 1 11 15
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 0 2 13 162 9 16 51 634
Granularity adjustment for mark-to-market credit risk models 0 2 2 58 1 3 11 287
Hedging Winner'S Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction 1 1 1 88 2 2 4 336
Nested Simulation in Portfolio Risk Measurement 1 1 1 10 1 1 2 74
Procyclicality in Basel II: Can we treat the disease without killing the patient? 0 0 0 704 0 3 14 1,784
Saddlepoint approximation of CreditRisk+ 1 2 3 729 3 4 6 1,216
Special Issue: Monitoring Systemic Risk: Data, Models and Metrics 0 0 0 4 0 1 3 22
Spectral backtests of forecast distributions with application to risk management 0 0 0 13 4 6 9 63
Switching costs and adverse selection in the market for credit cards: New evidence 0 0 1 82 2 2 6 350
The bank as Grim Reaper: Debt composition and bankruptcy thresholds 0 0 0 8 3 3 4 35
Total Journal Articles 5 16 60 3,887 36 67 230 9,263

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 4 28 3 3 10 48
Total Chapters 0 0 4 28 3 3 10 48

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 1 13 10,525 1 5 26 26,851
MATLAB/C code for GIG and BNLG common value auction specifications 0 0 3 1,673 3 5 12 5,717
Total Software Items 0 1 16 12,198 4 10 38 32,568

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Statistics updated 2025-11-08