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[Working Papers]
[Software]
- Counterparty Risk and Counterparty Choice in the Credit Default Swap Market
(with Wenxin Du, Salil Gadgil and Clara Vega), Management Science, forthcoming.
[Abstract]
- "The Bank as Grim Reaper: Debt Composition and Bankruptcy
Thresholds" (with Mark Carey), Journal of Financial Economics 142(3), December 2021.
[Abstract]
[Online Appendix]
- "Spectral backtests of forecast distributions with application to risk
management" (with Alexander J. McNeil),
Journal of Banking and Finance 116, July
2020.
[Abstract]
[R package]
- "Expectations of functions of stochastic time with
application to credit risk modeling" (with Ovidiu Costin,
Min Huang and Pawel Szerszen), Mathematical Finance 26(4), October 2016.
[Abstract]
- "Finite-dimensional distributions
of a square-root diffusion," Journal of Applied Probability
51(4), December 2014.
[Abstract]
- "Granularity Adjustment for Regulatory Capital Assessment" (with Eva
Lütkebohmert),
International Journal of Central Banking 9(3),
September 2013.
[Abstract]
- "Granularity Adjustment for Mark-to-Market Credit Risk
Models" (with James Marrone),
Journal of Banking and Finance 36(7), July 2012.
[Abstract]
- "Constant Proportion Debt Obligations: A Post-Mortem Analysis
of Rating Models" (with Søren
Willemann), Management Science 58(3), March 2012.
[Abstract]
[Technical Annex]
- "Nested Simulation in Portfolio Risk Measurement" (with
Sandeep Juneja), Management Science 56(10),
October 2010.
[Abstract]
- "A Note on Turán Type and Mean Inequalities for the Kummer
Function" (with Roger W. Barnard and Kendall C. Richards),
Journal of Mathematical Analysis and Applications
349(1), January 2009.
[Abstract]
- "Procyclicality in Basel II: Can we Treat the Disease
Without Killing the Patient?" (with Bradley Howells),
Journal of Financial Intermediation 15(3), July
2006.
[Abstract]
- "Switching Costs and Adverse Selection in the Market for Credit Cards:
New Evidence" (with Paul Calem and Loretta Mester),
Journal of Banking and Finance 30(6), June 2006.
[
Abstract]
- "A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules,"
Journal of Financial Intermediation 12(3), July 2003,
pp. 199-232.
[Abstract]
- Awarded Best Paper of Volume XII, Journal of Financial Intermediation.
- Reprinted in
Economic Capital (Ashish Dev, Ed.), London: Risk Books, 2004.
- "Random Tranches" (with David Jones), Risk, March 2003.
- "Saddlepoint Approximation of CreditRisk+,"
Journal of Banking and Finance 26(7), July 2002,
pp. 1337-1355.
[Abstract]
- Methodology is
extended and refined in book chapter "Saddlepoint
Approximation" listed in Other Publications.
- "A Comparative
Anatomy of Credit Risk Models,"
Journal of Banking and Finance 24(1/2), January 2000,
pp. 119-149.
[Abstract]
- 11th place on
Risk Magazine's list of most-cited
papers, 1998-2003 (December 2003).
- Reprinted in Model Risk: Concepts, Calibration and
Pricing (Rajna Gibson, Ed.),
London: Risk Books, 2003.
- "Hedging Winner's
Curse with Multiple Bids: Evidence from the
Portuguese Treasury Bill Auction,"
Review of Economics and Statistics 81(3), August 1999,
pp. 448-465.
[Abstract]
- "Computationally Convenient Distributional Assumptions for
Common-Value Auctions," Computational Economics 12(1),
August 1998, pp. 61-78.
[Abstract]
[Software]
Other Publications
- "Risk-Based Regulatory Capital and the Basel Accords" (with Erik
Heitfield and Jason Wu) in Oxford Handbook of Banking,
Second Edition
(Allen Berger, Phil Molyneux and John O.S. Wilson, Eds.), Oxford
University Press, 2015.
[Abstract]
- "Small-sample estimation of models of portfolio credit risk"
(with Erik Heitfield) in
Recent Advance in Financial Engineering: The Proceedings of the KIER-TMU
International Workshop on Financial Engineering 2009,
(M. Kijima, C. Hara, K. Tanaka and Y.
Muromachi, Eds.), World Scientific Publishing, 2010.
Updates old working paper
"Estimating Default Correlations from Short Panels
of Credit Rating Performance Data."
[Abstract]
- "Risk-Based Regulatory Capital and Basel II" (with Erik
Heitfield) in Oxford Handbook of Banking
(Allen Berger, Phil Molyneux and John O.S. Wilson, Eds.), Oxford
University Press, 2010.
[Abstract]
- "Nested simulation" (with Sandeep Juneja) in
Encyclopedia of Quantitative Finance, Wiley, 2010.
- Preface,
Pillar II in the New Basel Accord: The Challenge of
Economic Capital (Andrea Resti, Ed.),
London: Risk Books, 2008.
- "Model Foundations for the Supervisory Formula Approach" in
Structured Structured Credit Products: Pricing, Rating, Risk
Management and Basel II
(William Perraudin, Ed.), London: Risk Books,
2004.
- "Saddlepoint Approximation" in
CreditRisk+ in the Banking Industry (V.M. Gundlach and F.B. Lehrbass, Eds.), Springer, 2004.
- "Granularity Adjustment in Portfolio Credit Risk Measurement"
in Risk Measures for the 21st Century (Giorgio P. Szegö, Ed.), Wiley, 2004.
- Credit Risk Modelling: The Cutting-edge Collection
(Michael B. Gordy, Ed.), London: Risk Books, 2003.
- "What Wags the Tail? Identifying
the Key Assumptions in Models of Portfolio Credit Risk," in
Mastering Risk: Volume 2 Applications' (Carol Alexander, Ed.),
London: FT-Prentice Hall, 2001.
- "Credit VaR Models and Risk-Bucket Capital Rules:
A Reconciliation," Proceedings of the 36th Annual Conference
on Bank Structure and Competition, Federal Reserve Bank of Chicago, 2000.
[Download (pdf)]
- Bayesian Estimation of Time-Changed Default Intensity
Models (with Pawel Szerszen),
Federal Reserve Board FEDS 2015-002, January 2015.
[Download (pdf)]
- A Generalization of Generalized Beta Distributions,
Federal Reserve Board FEDS 1998-18, April 1998.
[Download
(pdf)]
- Bivariate Normal
CDF add-in for Microsoft Excel (9KB zipped).
- Matlab implementation of
GIG and BNLG
specifications in Computationally Convenient
Distributional Assumptions for Common Value Auctions.
Michael Gordy
<michael.gordy@frb.gov>
Last update: 30-Nov-2020