Michael Gordy : Citation Profile

Are you Michael Gordy?

Federal Reserve Board (Board of Governors of the Federal Reserve System)

9

H index

9

i10 index

869

Citations

RESEARCH PRODUCTION:

13

Articles

22

Papers

RESEARCH ACTIVITY:

   22 years (1997 - 2019). See details.
   Cites by year: 39
   Journals where Michael Gordy has often published
   Relations with other researchers
   Recent citing documents: 108.    Total self citations: 7 (0.8 %)

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   Permalink: http://citec.repec.org/pgo10
   Updated: 2020-08-09    RAS profile: 2018-09-12    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Michael Gordy.

Is cited by:

Scheule, Harald (24)

Schuermann, Til (19)

Lucas, Andre (17)

Jokivuolle, Esa (15)

Repullo, Rafael (14)

gourieroux, christian (13)

Roszbach, Kasper (12)

DIETSCH, Michel (11)

Pesaran, M (11)

Dietsch, Michel (11)

Jacobson, Tor (10)

Cites to:

gourieroux, christian (23)

Scaillet, Olivier (20)

Tasche, Dirk (7)

Duffie, Darrell (6)

Jarrow, Robert (5)

Hurlin, Christophe (4)

Leland, Hayne (4)

Lando, David (4)

Acerbi, Carlo (4)

Mester, Loretta (4)

Christoffersen, Peter (3)

Main data

Where Michael Gordy has published?

Journals with more than one article published# docs
Journal of Banking & Finance4
Management Science2
Journal of Financial Intermediation2

Working Papers Series with more than one paper published# docs
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)14
Proceedings / Federal Reserve Bank of Chicago2

Recent works citing Michael Gordy (2019 and 2018)

YearTitle of citing document
2018Efficient exposure computation by risk factor decomposition. (2018). , Cornelis ; Reisinger, Christoph ; Kandhai, Drona. In: Papers. RePEc:arx:papers:1608.01197.

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2020A Dual Method For Backward Stochastic Differential Equations with Application to Risk Valuation. (2019). Yao, Jianing ; Ruszczynski, Andrzej . In: Papers. RePEc:arx:papers:1701.06234.

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2018Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement. (2018). Risk, James ; Ludkovski, Michael. In: Papers. RePEc:arx:papers:1710.05204.

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2019An Aspect of Optimal Regression Design for LSMC. (2019). Nikoli, Zoran ; Weiss, Christian. In: Papers. RePEc:arx:papers:1811.08509.

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2018A sparse grid approach to balance sheet risk measurement. (2018). Lenotre, Lionel ; Trillos, Camilo Garcia ; Deng, Shuoqing ; Chassagneux, Jean-Franccois ; J'er'emie Bonnefoy, . In: Papers. RePEc:arx:papers:1811.08706.

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2019Pro-Cyclicality of Traditional Risk Measurements: Quantifying and Highlighting Factors at its Source. (2019). Dacorogna, Michel ; Kratz, Marie ; Brautigam, Marcel. In: Papers. RePEc:arx:papers:1903.03969.

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2019Common Decomposition of Correlated Brownian Motions and its Financial Applications. (2019). Yang, Jingping ; Cheng, Xue. In: Papers. RePEc:arx:papers:1907.03295.

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2019Machine Learning in Least-Squares Monte Carlo Proxy Modeling of Life Insurance Companies. (2019). Korn, Ralf ; Nikoli, Zoran ; Krah, Anne-Sophie. In: Papers. RePEc:arx:papers:1909.02182.

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2019Sub-sampling and other considerations for efficient risk estimation in large portfolios. (2019). Haji-Ali, Abdul-Lateef ; Giles, Michael B. In: Papers. RePEc:arx:papers:1912.05484.

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2020Structured climate financing: valuation of CDOs on inhomogeneous asset pools. (2020). Packham, N. In: Papers. RePEc:arx:papers:2001.11891.

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2020The Fair Basis: Funding and capital in the reduced form framework. (2020). Lou, Wujiang . In: Papers. RePEc:arx:papers:2002.08531.

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2020Modelling volatility with v-transforms. (2020). McNeil, Alexander J. In: Papers. RePEc:arx:papers:2002.10135.

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2020Deep xVA solver -- A neural network based counterparty credit risk management framework. (2020). Gnoatto, Alessandro ; Reisinger, Christoph ; Picarelli, Athena. In: Papers. RePEc:arx:papers:2005.02633.

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2020Computation of Expected Shortfall by fast detection of worst scenarios. (2020). Virrion, Benjamin ; Reghai, Adil ; Bouchard, Bruno. In: Papers. RePEc:arx:papers:2005.12593.

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2020Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling. (2020). Kandhai, Drona ; Garlaschelli, Diego ; Squartini, Tiziano ; Anagnostou, Ioannis. In: Papers. RePEc:arx:papers:2006.03014.

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2019Optimal Pricing of Deposit Insurance: Aiming at Fairness and Stability. (2019). Roy, Jean . In: Athens Journal of Business & Economics. RePEc:ate:journl:ajbev5i1-2.

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2019Should the CCYB be enhanced with a sectoral dimension? The case of Italy. (2019). Pacella, Claudia ; Fiori, Roberta . In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_499_19.

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2019Risk endogeneity at the lender/investor-of-last-resort. (2019). Lucas, Andre ; Zhang, Xin ; Schwaab, Bernd ; Caballero, Diego. In: BIS Working Papers. RePEc:bis:biswps:766.

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2018Credit risk in banks’ exposures to non‐financial firms. (2018). Cascarino, Giuseppe ; Sorrentino, Alberto Maria ; Parlapiano, Fabio ; Felici, Roberto ; Accornero, Matteo. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:5:p:775-791.

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2020Estimating the probability of default for no‐default and low‐default portfolios. (2020). Blumke, Oliver. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:69:y:2020:i:1:p:89-107.

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2018Mortgages: estimating default correlation and forecasting default risk. (2018). Neumann, Tobias. In: Bank of England working papers. RePEc:boe:boeewp:0708.

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2018Rethinking financial stability. (2018). Kapadia, Sujit ; Hinterschweiger, Marc ; HALDANE, ANDREW ; Aikman, David. In: Bank of England working papers. RePEc:boe:boeewp:0712.

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2019Regulatory effects on short-term interest rates. (2019). Ranaldo, Angelo ; Vasios, Michalis ; Schaffner, Patrick. In: Bank of England working papers. RePEc:boe:boeewp:0801.

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2019Model-based regulation and firms access to finance. (2019). Tuuli, Saara. In: Research Discussion Papers. RePEc:bof:bofrdp:2019_004.

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2018The Pro-Cyclicality of Risk Weights for Credit Exposures in the Czech Republic. (2018). Malovana, Simona. In: Working Papers. RePEc:cnb:wpaper:2018/12.

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2018Reputations and credit ratings: evidence from commercial mortgage-backed securities. (2018). Becker, Bo ; Baghai, Ramin P. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12648.

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2020Twin Default Crises. (2020). Mendicino, Caterina ; Nikolov, Kalin ; Rubio-Ramirez, Juan Francisco ; Suarez, Javier ; Supera, Dominik. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14427.

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2019Overpricing in Spanish Treasury Auctions. (2019). Mazon, Cristina ; Alvarez, Francisco. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2019:v:20:i:1:alvarezmazon.

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2019Lower bank capital requirements as a policy tool to support credit to SMEs: evidence from a policy experiment. (2019). Lé, Mathias ; fraisse, henri ; Dietsch, Michel ; Le, Mathias ; Lecarpentier, Sandrine. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-12.

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2018Application of Granularity Adjustment Approximation Method to Incremental Value-at-Risk in Concentrated Portfolios. (2018). Takata, YU. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00874.

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2019Risk endogeneity at the lender/investor-of-last-resort. (2019). Lucas, Andre ; Zhang, Xin ; Schwaab, Bernd ; Caballero, Diego. In: Working Paper Series. RePEc:ecb:ecbwps:20192225.

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2019Monetary policy, macroprudential policy, and financial stability. (2019). Repullo, Rafael ; Martinez-Miera, David. In: Working Paper Series. RePEc:ecb:ecbwps:20192297.

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2020Twin default crises. (2020). Nikolov, Kalin ; Ramirez, Juan-Rubio ; Supera, Dominik ; Suarez, Javier ; Mendicino, Caterina. In: Working Paper Series. RePEc:ecb:ecbwps:20202414.

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2018Decomposing Japanese municipal bond spreads: Default and liquidity premiums in times of crisis. (2018). Hattori, Takahiro. In: Journal of Asian Economics. RePEc:eee:asieco:v:59:y:2018:i:c:p:16-28.

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2018Trade credit contracting under asymmetric credit default risk: Screening, checking or insurance. (2018). Wang, Kai ; Peng, Jin ; Zhao, Ruiqing. In: European Journal of Operational Research. RePEc:eee:ejores:v:266:y:2018:i:2:p:554-568.

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2019Sharp asymptotics for large portfolio losses under extreme risks. (2019). Yang, Yang ; Tang, Zhaofeng. In: European Journal of Operational Research. RePEc:eee:ejores:v:276:y:2019:i:2:p:710-722.

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2018Modeling recovery rates of corporate defaulted bonds in developed and developing countries. (2018). Teulon, Frédéric ; Sahut, Jean-Michel ; Mili, Medhi . In: Emerging Markets Review. RePEc:eee:ememar:v:36:y:2018:i:c:p:28-44.

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2018Industry specific defaults. (2018). Kwon, Tae Yeon ; Lee, Yoonjung. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:45-58.

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2018On the cyclicality of default rates of banks: A comparative study of the asset correlation and diversification effects. (2018). Blumke, Oliver. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:65-77.

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2018Readability of the credit card agreements and financial charges. (2018). Cash, Alyxandra ; Tsai, Hui-Ju . In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:145-150.

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2018The impact of loan loss provisioning on bank capital requirements. (2018). Scheule, Harald ; Rosch, Daniel ; Kruger, Steffen . In: Journal of Financial Stability. RePEc:eee:finsta:v:36:y:2018:i:c:p:114-129.

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2018The impact of the IRB approach on the risk weights of European banks. (2018). Montes, Carlos Perez ; san Segundo, Nadia Lavin ; Cristofoli, Maria Elizabeth ; Artigas, Carlos Trucharte. In: Journal of Financial Stability. RePEc:eee:finsta:v:39:y:2018:i:c:p:147-166.

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2018Stochastic distortion and its transformed copula. (2018). Lin, Feng ; Yang, Jingping ; Xie, Jiehua ; Peng, Liang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:148-166.

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2019Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns. (2019). Li, Xiaohu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:84-91.

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2018Using expected shortfall for credit risk regulation. (2018). Osmundsen, Kjartan Kloster . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:57:y:2018:i:c:p:80-93.

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2019Forward-looking asset correlations in the estimation of economic capital. (2019). Novales, Alfonso ; Fonollosa, Alexandre ; Chamizo, Alvaro. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:264-288.

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2020Sectoral risk-weights and macroprudential policy. (2020). Huber, Stefanie ; Vasilev, Konstantin ; Hodbod, Alexander. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426618300888.

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2018International policy coordination for financial regime stability under cross-border externalities. (2018). Kim, Young-Han ; Park, Sung Min. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:97:y:2018:i:c:p:177-188.

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2019The asymmetric effect of equity volatility on credit default swap spreads. (2019). Lee, Hwang Hee ; Hyun, Jung-Soon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:98:y:2019:i:c:p:125-136.

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2018Quantitative easing auctions of Treasury bonds. (2018). Song, Zhaogang ; Zhu, Haoxiang. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:1:p:103-124.

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2019The use of credit default swaps by bond mutual funds: Liquidity provision and counterparty risk. (2019). Aragon, George O ; Qj, Jun ; Li, Lei. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:1:p:168-185.

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2020Reputations and credit ratings: Evidence from commercial mortgage-backed securities. (2020). Baghai, Ramin P ; Becker, BO. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:2:p:425-444.

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2020OTC premia. (2020). Ranaldo, Angelo ; Vasios, Michalis ; Cenedese, Gino. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:1:p:86-105.

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2020Concentration of control rights in leveraged loan syndicates. (2020). Nini, Greg ; Berlin, Mitchell ; Yu, Edison G. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:1:p:249-271.

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2019Bivariate integer-autoregressive process with an application to mutual fund flows. (2019). darolles, serge ; le Fol, Gaelle ; Sun, Ran ; Lu, Yang. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:173:y:2019:i:c:p:181-203.

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2019Estimation of capital requirements in downturn conditions via the CBV model: Evidence from the Greek banking sector. (2019). Papalamprou, Konstantinos ; Antoniou, Paschalis. In: Operations Research Perspectives. RePEc:eee:oprepe:v:6:y:2019:i:c:s2214716017301847.

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2018Estimating order statistics of network degrees. (2018). Nadarajah, S ; Chu, J. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:869-885.

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2019Oil prices and corporate high-yield spreads: Evidence from panels of nonenergy and energy European firms. (2019). Apergis, Nicholas. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:72:y:2019:i:c:p:34-40.

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2019Choosing expected shortfall over VaR in Basel III using stochastic dominance. (2019). McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Perez-Amaral, Teodosio ; Maasoumi, Esfandiar . In: International Review of Economics & Finance. RePEc:eee:reveco:v:60:y:2019:i:c:p:95-113.

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2019Credit risk migration rates modelling as open systems II: A simulation model and IFRS9-baseline principles. (2019). Casellina, S ; Uberti, M ; Landini, S. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:50:y:2019:i:c:p:175-189.

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2018Macroeconomic Consequences of Bank’s Assets Reallocation After Mortgage Defaults. (2018). Ghiaie, Hamed. In: THEMA Working Papers. RePEc:ema:worpap:2018-12.

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2018Consumer Preferences and Market Structure in Credit Card Markets: Evidence from Turkey. (2018). Aysan, Ahmet ; Akin, Guzin ; YILDIRAN, Levent ; Ozer, Ezgi. In: Working Papers. RePEc:erg:wpaper:1258.

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2018Financial frictions and monetary policy conduct. (2018). Paries, Matthieu Darracq. In: Erudite Ph.D Dissertations. RePEc:eru:erudph:ph18-01.

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2020Twin Default Crises. (2020). Suarez, Javier ; Nikolov, Kalin ; Rubio-Ramirez, Juan ; Mendicino, Caterina. In: Working Papers. RePEc:fda:fdaddt:2020-01.

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2018How Cyclical Is Bank Capital?. (2018). Haubrich, Joseph. In: Working Papers (Old Series). RePEc:fip:fedcwp:1504.

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2019Does Price Regulation Affect Competition? Evidence from Credit Card Solicitations. (2019). Li, Geng ; Ronen, Joshua ; Dou, Yiwei. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2019-18.

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2020Modeling Portfolio Credit Risk Taking into Account the Default Correlations Using a Copula Approach: Implementation to an Italian Loan Portfolio. (2020). Di Clemente, Annalisa. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:6:p:129-:d:372631.

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2018A Simple Traffic Light Approach to Backtesting Expected Shortfall. (2018). Costanzino, Nick ; Curran, Michael. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:2-:d:126009.

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2018Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint. (2018). Vrins, Frederic. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:64-:d:154355.

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2019Recent Regulation in Credit Risk Management: A Statistical Framework. (2019). Ewanchuk, Logan ; Frei, Christoph. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:2:p:40-:d:222690.

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2019Ruin Probability Functions and Severity of Ruin as a Statistical Decision Problem. (2019). Calderin-Ojeda, Enrique ; Sarabia, Jose Maria ; Gomez-Deniz, Emilio. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:2:p:68-:d:240529.

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2020Assessing Asset-Liability Risk with Neural Networks. (2020). Wuthrich, Mario V ; Ery, John ; Cheridito, Patrick. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:16-:d:318508.

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2020Machine Learning in Least-Squares Monte Carlo Proxy Modeling of Life Insurance Companies. (2020). Nikoli, Zoran ; Korn, Ralf ; Krah, Anne-Sophie. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:21-:d:323720.

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2018Dependence of default probability and recovery rate in structural credit risk models: Case of Greek banks. (2018). Jamel, Lamia ; Derbali, Abdelkader. In: Post-Print. RePEc:hal:journl:hal-01695998.

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2019Stochastic Approximation Schemes for Economic Capital and Risk Margin Computations. (2019). Stazhynski, Uladzislau ; Gobet, Emmanuel ; Fort, Gersende ; Diallo, Babacar ; Crepey, Stephane ; Barrera, David. In: Post-Print. RePEc:hal:journl:hal-01710394.

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2019Bivariate integer-autoregressive process with an application to mutual fund flows. (2019). Sun, Ran ; Lu, Yang ; le Fol, Gaelle ; Darolles, Serge. In: Post-Print. RePEc:hal:journl:halshs-02418967.

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2018Stochastic Approximation Schemes for Economic Capital and Risk Margin Computations. (2018). Stazhynski, Uladzislau ; Gobet, Emmanuel ; Fort, Gersende ; Diallo, Babacar ; Crepey, Stephane ; Barrera, David. In: Working Papers. RePEc:hal:wpaper:hal-01710394.

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2018Predicting risk with risk measures : an empirical study. (2018). Dacorogna, Michel ; Kratz, Marie ; Brautigam, Marcel. In: Working Papers. RePEc:hal:wpaper:hal-01791026.

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2020Multilevel Monte-Carlo methods and lower-upper bounds in Initial Margin computations. (2020). Zhou, A ; Gobet, Emmanuel ; de Marco, S ; Bourgey, F. In: Working Papers. RePEc:hal:wpaper:hal-02430430.

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2020Computation of Expected Shortfall by fast detection of worst scenarios. (2020). Virrion, Benjamin ; Reghai, Adil ; Bouchard, Bruno. In: Working Papers. RePEc:hal:wpaper:hal-02619589.

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2018Incorporating Contagion in Portfolio Credit Risk Models Using Network Theory. (2018). Kandhai, Drona ; Sourabh, Sumit ; Anagnostou, Ioannis. In: Complexity. RePEc:hin:complx:6076173.

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2020The Cyclical Patterns of Capital Buffers: Evidence from Japanese Banks. (2020). Kai, Karen Lai . In: Hitotsubashi Journal of commerce and management. RePEc:hit:hitjcm:v:53:y:2020:i:1:p:49-68.

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2018Does Financial Tranquility Call for Stringent Regulation?. (2018). Zhao, Yunhui ; Basak, Deepal. In: IMF Working Papers. RePEc:imf:imfwpa:18/123.

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2020Online Risk Monitoring Using Offline Simulation. (2020). Nelson, Barry L ; Hong, Jeff L ; Jiang, Guangxin. In: INFORMS Journal on Computing. RePEc:inm:orijoc:v:32:y:2020:i:2:p:356-375.

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2019Implications of Model Uncertainty for Bank Stress Testing. (2019). Poblacion, Javier ; Gross, Marco. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:55:y:2019:i:1:d:10.1007_s10693-017-0275-4.

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2018A kockázatalapú bankszabályozás előretörése és visszaszorulása - az ösztönzési struktúrák szerepe. (2018). Mer, Katalin. In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences). RePEc:ksa:szemle:1797.

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2019Auction Mechanisms and Treasury Revenue. (2019). Yoshimoto, Hisayuki ; De Silva, Dakshina ; Barbosa, Klenio ; Yang, Liyu. In: Working Papers. RePEc:lan:wpaper:267027285.

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2018Credit Risk Research: Review and Agenda. (2018). Zamore, Stephen ; Hobdari, Bersant ; Alon, Ilan ; Djan, Kwame Ohene. In: Emerging Markets Finance and Trade. RePEc:mes:emfitr:v:54:y:2018:i:4:p:811-835.

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2019The Economic Consequences of Bankruptcy Reform. (2019). Notowidigdo, Matthew ; Wang, Jialan ; Liu, Feng ; Kluender, Raymond ; Gross, Tal. In: NBER Working Papers. RePEc:nbr:nberwo:26254.

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2019Benchmark Interest Rates When the Government is Risky. (2019). Song, Dongho ; Chernov, Mikhail ; Augustin, Patrick ; Schmid, Lukas. In: NBER Working Papers. RePEc:nbr:nberwo:26429.

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2019IFRS9 Expected Credit Loss Estimation: Advanced Models for Estimating Portfolio Loss and Weighting Scenario Losses. (2019). Yang, Bill Huajian ; Fei, Glenn ; Du, Zunwei ; Cui, Kaijie ; Wu, Biao. In: MPRA Paper. RePEc:pra:mprapa:93634.

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2018Assessing the Cyclical Behaviour of Bank Capital Buyers in a Finance-Augmented Macro-Economy. (2018). Montagnoli, Alberto ; Whyte, Kemar ; Mouratidis, Konstantinos. In: Working Papers. RePEc:shf:wpaper:2018003.

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2018A Family of Generalised Beta Distributions: Properties and Applications. (2018). Sarabia, Jose Maria ; Gomez-Deniz, Emilio. In: Annals of Data Science. RePEc:spr:aodasc:v:5:y:2018:i:3:d:10.1007_s40745-018-0143-6.

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2018Replicating portfolio approach to capital calculation. (2018). Cambou, Mathieu ; Filipovi, Damir. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0347-1.

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2020Combining monetary policy and prudential regulation: an agent-based modeling approach. (2020). Lima, Gilberto ; Alexandre, Michel. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:2:d:10.1007_s11403-017-0209-0.

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2020Interbank rules during economic declines: Can banks safeguard capital base?. (2020). Steinbacher, Mitja ; Jagri, Timotej. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:2:d:10.1007_s11403-018-0228-5.

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2018Simulation optimization of risk measures with adaptive risk levels. (2018). Zhu, Helin ; Zhou, Enlu ; Hale, Joshua. In: Journal of Global Optimization. RePEc:spr:jglopt:v:70:y:2018:i:4:d:10.1007_s10898-017-0588-8.

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2018Credit Risk Capital Estimation Under IRB Approach for Banks in India. (2018). Bajaj, Richa Verma . In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:16:y:2018:i:2:d:10.1007_s40953-017-0082-7.

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2018Did Basel regulations cause a significant procyclicality?. (2018). Ly, Kim Cuong ; Shimizu, Katsutoshi. In: Working Papers. RePEc:swn:wpaper:2018-06.

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2018Is Basel III counter-cyclical: The case of South Africa?. (2018). Molise, Thabang ; Liu, Guangling. In: Working Papers. RePEc:sza:wpaper:wpapers303.

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More than 100 citations found, this list is not complete...

Works by Michael Gordy:

YearTitleTypeCited
2019Spectral backtests of forecast distributions with application to risk management In: Papers.
[Full Text][Citation analysis]		paper2
2018Spectral Backtests of Forecast Distributions with Application to Risk Management.(2018) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 2		paper
2016EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING In: Mathematical Finance.
[Full Text][Citation analysis]		article1
2013Expectations of functions of stochastic time with application to credit risk modeling.(2013) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 1		paper
2017Special Issue: Monitoring Systemic Risk: Data, Models and Metrics In: Statistics & Risk Modeling.
[Full Text][Citation analysis]		article0
2000A comparative anatomy of credit risk models In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article259
1998A comparative anatomy of credit risk models.(1998) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 259		paper
2002Saddlepoint approximation of CreditRisk+ In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article17
2006Switching costs and adverse selection in the market for credit cards: New evidence In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article48
2005Switching costs and adverse selection in the market for credit cards: new evidence.(2005) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48		paper
2012Granularity adjustment for mark-to-market credit risk models In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article7
2010Granularity adjustment for mark-to-market credit risk models.(2010) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
2003A risk-factor model foundation for ratings-based bank capital rules In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article274
2002A risk-factor model foundation for ratings-based bank capital rules.(2002) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 274		paper
2006Procyclicality in Basel II: Can we treat the disease without killing the patient? In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article147
2019Computationally Convenient Distributional Assumptions for Common Value Auctions In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper5
1997Computationally convenient distributional assumptions for common value auctions.(1997) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
1998Computationally Convenient Distributional Assumptions for Common-Value Auctions..(1998) In: Computational Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		article
1998A generalization of generalized beta distributions In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper4
2008Nested simulation in portfolio risk measurement In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper32
2010Nested Simulation in Portfolio Risk Measurement.(2010) In: Management Science.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32		article
2010Constant proportion debt obligations: a post-mortem analysis of rating models In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper6
2012Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models.(2012) In: Management Science.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		article
2012On the distribution of a discrete sample path of a square-root diffusion In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper0
2015Bayesian Estimation of Time-Changed Default Intensity Models In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper1
2016The Bank as Grim Reaper : Debt Composition and Bankruptcy Thresholds In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper1
2016Counterparty Risk and Counterparty Choice in the Credit Default Swap Market In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper7
2007The bank as grim reaper: debt composition and recoveries on defaulted debt In: Proceedings.
[Citation analysis]		paper2
2000Credit VAR and risk-bucket capital rules: a reconciliation In: Proceedings.
[Citation analysis]		paper11
2013Granularity Adjustment for Regulatory Capital Assessment In: International Journal of Central Banking.
[Full Text][Citation analysis]		article7
Multiple Bids in a Multiple-Unit Common Value Auction In: Computing in Economics and Finance 1996.
[Full Text][Citation analysis]		paper2
Estimation of a Markov Model of Loan Seasoning with Aggregated Performance Data In: Computing in Economics and Finance 1997.
[Full Text][Citation analysis]		paper1
1999Hedging WinnerS Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article23
1997Hedging Winners Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction.(1997) In: Microeconomics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23		paper
2007Granularity adjustment for Basel II In: Discussion Paper Series 2: Banking and Financial Studies.
[Full Text][Citation analysis]		paper12

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