|
Michael B. Gordy
PhD, Economics,
MIT, 1994
CV in PDF format |
I am an economist at the
Federal Reserve Board.
My research interests include credit risk pricing; forecasting default and recovery;
portfolio modeling; CDS market microstructure; trading book model
backtesting; securitization; and simulation methods.
On this website, you can find information on my
publications,
working papers and
teaching experience.
Affiliations and Awards
- Visiting Faculty, Bendheim
Center for Finance, Princeton University, Spring 2014.
- Visiting Scholar, Indian School of
Business, Hyderabad, 2006.
- Awarded
Best Paper of Volume XII, Journal of Financial Intermediation.
- Quant of the Year, Risk Magazine, 2004.
- Financial Risk Manager of the Year,
Global Association of Risk
Professionals (GARP), 2003.
- International Advisory Board,
Institute
of Global Finance, Australian School of Business, 2011-present.
Editorial Positions
- Guest Editor, special issue on
The Impact of Global Pandemic on Financial Markets and Institutions,
Journal of Banking and Finance, 147, February 2023.
- Associate Editor,
Journal of Banking and Finance, 2002-2021.
- Co-Editor-in-Chief,
Journal of Credit Risk, 2016-2020.
- Associate Editor,
Journal of Credit Risk, 2004-2015.
- Associate Editor, International
Journal of Central Banking, 2004-2023.
- Guest Editor, special issues on
"Systemic Risk: Data, Models and Metrics,"
Statistics and Risk Modeling, December 2016 and September 2017.
- Associate Editor,
Global Credit Review, 2012-2016.
- GARP Risk Convention, New York, March 2020.
-
Conference on the Interconnectedness of Financial Systems, Federal Reserve Board,
Washington DC, March 2019.
- Workshop on Monitoring
Systemic Risk: Data, Models and Metrics,
Isaac Newton Insitute for Mathematical Sciences, Cambridge
University, September 2014.
-
Conference on Regulation of Systemic Risk, Federal Reserve Board,
Washington DC, September 2011.
- Session on Systemic Risk at
Third SIAM Conference on Financial Mathematics and Engineering,
San Francisco, November 2010.
-
Forum on Systemic Risk and Liquidity,
Fields Institute, Toronto, May 2010.
- CAF Summer
Research Conference, Hyderabad, August 2006.
- Risk Magazine Quant Congress, 2006.
- Second International
Conference on Credit Risk, HEC Montréal, April 2004.
-
CREDIT Conference on Validation of Credit Risk Models, Venice,
September, 2004.
Where else to find me?
Disclaimer:
The information and links on this page in no way express
the opinions of the Board of Governors of the Federal
Reserve System.
Michael Gordy
Division of Research and Statistics
Federal Reserve Board
Washington, DC 20551
Telephone: +1-202-452-3705
Email:
michael.gordy@frb.gov
Last update: 13-Jul-2023