[Home]
[Publications and Working Papers]
- Credit Risk Modeling, CEMFI Summer School, Madrid,
August 2017 and September 2014.
- Financial Crises, Princeton University, Spring 2014.
- Options, Futures and Financial Derivatives,
Princeton University, Spring 2014.
- Mathematics for Economists, MIT, Fall 1993.
- Modeling and Management of Corporate Credit Risk,
Scottish Financial Risk Academy, Edinburgh, April 2015.
- Imperfect Diversification: Granularity Adjustment in
Risk Management, Financial Econometrics and Simulation
Methods,
KIER-TMU Lectures on Financial Engineering, Tokyo, July 2009.
- Basel II and Credit Risk Management,
Reserve Bank of India,
Goa, September 2007.
- Foundations of Basel II,
Reserve Bank of India,
Mumbai, December 2006.
- Portfolio Credit Risk and Basel II,
Institute for Financial Management and Research, Chennai, August 2006.
- Credit Risk Management: Techniques and Applications,
World Bank, Washington DC, October 2005.
- The Design and Calibration of the New Basel Capital Accord,
Policies for Monetary and Financial Stability,
International Monetary Fund, Washington
DC, July 2003.
- What Wags the Tail? Common Structure &
Key Assumptions in Today's Portfolio Credit Risk Models,
Economic Capital: A Cross-Institutional Perspective,
Federal Reserve Bank of New York,
New York, January 2002.
- Capital Allocation by Risk-Bucketing: Implications & Pitfalls,
Assessments of Economic Capital,
Federal Reserve Bank of New York, New York, April 2001.
- Models for Portfolio Credit Risk Management:
Understanding the Analytics, Calibration and Performance of the
Leading Alternative Approaches,
Advanced Techniques for Modelling Credit Risk, Risk Training,
New York, February 2000.
Michael Gordy
<michael.gordy@frb.gov>
Last update: 30-Nov-2020