Citation profile for Michael Gordy

Michael Gordy : Citation Profile

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

H index

i10 index

1138

Citations

RESEARCH PRODUCTION:

Articles

Papers

Chapters

RESEARCH ACTIVITY:

   24 years (1997 - 2021). See details.
   Cites by year: 47
   Journals where Michael Gordy has often published
   Relations with other researchers
   Recent citing documents: 33.    Total self citations: 7 (0.61 %)

MORE DETAILS IN:

EconPapers Author's homepage

ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgo10
   Updated: 2024-01-16    RAS profile: 2022-10-20
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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 (27)

Repullo, Rafael (23)

Schuermann, Til (19)

Jokivuolle, Esa (19)

Suarez, Javier (19)

Lucas, Andre (17)

gourieroux, christian (14)

Dietsch, Michel (13)

DIETSCH, Michel (13)

Roszbach, Kasper (12)

Tarashev, Nikola (12)

Cites to:

gourieroux, christian (28)

Scaillet, Olivier (25)

Tasche, Dirk (8)

Acerbi, Carlo (6)

Duffie, Darrell (6)

Hurlin, Christophe (5)

Jarrow, Robert (5)

Lando, David (4)

Mester, Loretta (4)

Leland, Hayne (4)

Altman, Edward (4)

Main data

Where Michael Gordy has published?

Journals with more than one article published	# docs
Journal of Banking & Finance	5
Journal of Financial Intermediation	2

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 Chicago	2

Recent works citing Michael Gordy (2024 and 2023)

Year	Title of citing document
2023	Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan. In: Papers. RePEc:arx:papers:2201.06319. Full description at Econpapers \|\| Download paper
2023	Universal approximation of credit portfolio losses using Restricted Boltzmann Machines. (2022). Genovese, Giuseppe ; Visentin, Gabriele ; Serra, Nicola ; Nikeghbali, Ashkan. In: Papers. RePEc:arx:papers:2202.11060. Full description at Econpapers \|\| Download paper
2023	How many inner simulations to compute conditional expectations with least-square Monte Carlo?. (2022). Lelong, J'Erome ; Lapeyre, Bernard ; Alfonsi, Aur'Elien. In: Papers. RePEc:arx:papers:2209.04153. Full description at Econpapers \|\| Download paper
2023	Efficient Risk Estimation for the Credit Valuation Adjustment. (2023). Spence, Jonathan ; Haji-Ali, Abdul-Lateef ; Giles, Michael B. In: Papers. RePEc:arx:papers:2301.05886. Full description at Econpapers \|\| Download paper
2023	A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation. (2023). Louzi, Azar ; Frikha, Noufel ; Cr, St'Ephane. In: Papers. RePEc:arx:papers:2304.01207. Full description at Econpapers \|\| Download paper
2023	Propagation of carbon tax in credit portfolio through macroeconomic factors. (2023). Sopgoui, Lionel ; Jacquier, Antoine ; Ibbou, Smail ; Chassagneux, Jean-Franccois ; Bouveret, G'Eraldine. In: Papers. RePEc:arx:papers:2307.12695. Full description at Econpapers \|\| Download paper
2023	Nested Multilevel Monte Carlo with Biased and Antithetic Sampling. (2023). Spence, Jonathan ; Haji-Ali, Abdul-Lateef. In: Papers. RePEc:arx:papers:2308.07835. Full description at Econpapers \|\| Download paper
2023	On the Relevance and Appropriateness of Name Concentration Risk Adjustments for Portfolios of Multilateral Development Banks. (2023). Shen, Hongyi ; Sester, Julian ; Lutkebohmert, Eva. In: Papers. RePEc:arx:papers:2311.13802. Full description at Econpapers \|\| Download paper
2023	Pathwise CVA regressions with oversimulated defaults. (2023). Saadeddine, Bouazza ; Crepey, Stephane ; Abbasturki, Lokman A. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:2:p:274-307. Full description at Econpapers \|\| Download paper
2023	Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework. (2023). Vrins, Frederic ; Barbagli, Matteo. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001335. Full description at Econpapers \|\| Download paper
2023	Efficient estimation of a risk measure requiring two-stage simulation optimization. (2023). Chen, Chun-Hung ; Hu, Jian-Qiang ; Xu, Jie ; Wang, Tian Xiang. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:3:p:1355-1365. Full description at Econpapers \|\| Download paper
2023	Two-stage nested simulation of tail risk measurement: A likelihood ratio approach. (2023). Hardy, Mary R ; Feng, Mingbin ; Dang, OU. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:1-24. Full description at Econpapers \|\| Download paper
2023	The impact of a systemic tax on bank capital holdings, optimal capital requirements and social welfare. (2023). Zhang, Xuan ; Yu, Kaidong ; Archibald, Thomas ; Moreira, Fernando ; Huang, Chao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:124-142. Full description at Econpapers \|\| Download paper
2023	Private Equity and Debt Contract Enforcement: Evidence from Covenant Violations. (2023). Kleymenova, Anya V ; Haque, Sharjil M. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-18. Full description at Econpapers \|\| Download paper
2023	Investigation and Modelling of Economic Systematic Risk and Capital Requirement: A Monte Carlo Simulation. (2023). Gassouma, Mohamed Sadok ; Benhamed, Adel. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:4:p:241-:d:1123093. Full description at Econpapers \|\| Download paper
2023	. Full description at Econpapers \|\| Download paper
2023	. Full description at Econpapers \|\| Download paper
2023	A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation. (2023). Louzi, Azar ; Frikha, Noufel ; Crepey, Stephane. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-04037328. Full description at Econpapers \|\| Download paper
2023	How many inner simulations to compute conditional expectations with least-square Monte Carlo?. (2023). Lelong, Jerome ; Lapeyre, Bernard ; Alfonsi, Aurelien. In: Post-Print. RePEc:hal:journl:hal-03770051. Full description at Econpapers \|\| Download paper
2023	A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation. (2023). Louzi, Azar ; Frikha, Noufel ; Crepey, Stephane. In: Working Papers. RePEc:hal:wpaper:hal-04037328. Full description at Econpapers \|\| Download paper
2023	Diagnostic Tools for Evaluating and Comparing Simulation-Optimization Algorithms. (2023). Shashaani, Sara ; Henderson, Shane G ; Eckman, David J. In: INFORMS Journal on Computing. RePEc:inm:orijoc:v:35:y:2023:i:2:p:350-367. Full description at Econpapers \|\| Download paper
2023	Distribution of credit-risk concentration in particular sectors of the economy, and economic capital before and during the COVID-19 pandemic. (2023). Nehrebecka, Natalia. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:1:d:10.1007_s10644-022-09412-5. Full description at Econpapers \|\| Download paper
2023	Risk-shifting, concentration risk, and heterogeneous borrowers. (2023). Fittje, Jens. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:20:y:2023:i:4:d:10.1007_s10368-023-00570-z. Full description at Econpapers \|\| Download paper
2023	Dynamic Pricing of Credit Cards and the Effects of Regulation. (2023). Serfes, Konstantinos ; Hunt, Robert M ; Hong, Suting. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:64:y:2023:i:1:d:10.1007_s10693-022-00385-0. Full description at Econpapers \|\| Download paper
2023	IRB Asset and Default Correlation: Rationale for the Macroprudential Mark-Ups to the IRB Risk-Weights. (2023). Penikas, Henry. In: Risk Management. RePEc:pal:risman:v:25:y:2023:i:1:d:10.1057_s41283-022-00109-7. Full description at Econpapers \|\| Download paper
2023	How Many Inner Simulations to Compute Conditional Expectations with Least-square Monte Carlo?. (2023). Lelong, Jerome ; Lapeyre, Bernard ; Alfonsi, Aurelien. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:25:y:2023:i:3:d:10.1007_s11009-023-10038-x. Full description at Econpapers \|\| Download paper
2023	Review of Statistical Approaches for Modeling High-Frequency Trading Data. (2023). Ravishanker, Nalini ; Basu, Sumanta ; Karpman, Kara ; Dutta, Chiranjit. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00280-7. Full description at Econpapers \|\| Download paper
2023	Development of a Transition Matrix Model of Credit Rating of Companies based on Forecasted Macro Factors: the Case of Greece. (2023). Poulios, Costas ; Melas, Evangelos ; Donatou, Anna ; Lefkaditis, Konstantinos ; Leventides, John. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:13:y:2023:i:5:f:13_5_3. Full description at Econpapers \|\| Download paper
2023	Loan Recoveries and the Financing of Zombie Firms over the Business Cycle. (2023). Huizinga, Harry ; Horvath, Balint L ; Demirguc-Kunt, Asli. In: Discussion Paper. RePEc:tiu:tiucen:f86d5fb2-4829-426b-b026-b9fe12b9e932. Full description at Econpapers \|\| Download paper
2023	Loan Recoveries and the Financing of Zombie Firms over the Business Cycle. (2023). Huizinga, Harry ; Horvath, Balint L ; Demirguc-Kunt, Asli. In: Other publications TiSEM. RePEc:tiu:tiutis:f86d5fb2-4829-426b-b026-b9fe12b9e932. Full description at Econpapers \|\| Download paper
2023	Optimal Loan Portfolio under Regulatory and Internal Constraints. (2023). Takahashi, Akihiko ; Okawara, Makoto. In: CIRJE F-Series. RePEc:tky:fseres:2023cf1214. Full description at Econpapers \|\| Download paper
2023	Impact of capital account liberalization on stock market crashes. (2023). Shehzad, Choudhry Tanveer ; Khalid, Rizwan ; Naqvi, Bushra. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:4:p:3700-3726. Full description at Econpapers \|\| Download paper
2023	The Fundamental Review of the Trading Book: Implications for Portfolio and Risk Management in the Banking Sector. (2023). Cummins, Mark ; McCullagh, Orla ; Killian, Sheila. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:55:y:2023:i:7:p:1785-1816. Full description at Econpapers \|\| Download paper

Works by Michael Gordy:

Year	Title	Type	Cited
2019	Spectral backtests of forecast distributions with application to risk management In: Papers. [Full Text][Citation analysis]	paper	4
2020	Spectral backtests of forecast distributions with application to risk management.(2020) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4	article
2018	Spectral Backtests of Forecast Distributions with Application to Risk Management.(2018) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4	paper
2016	EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING In: Mathematical Finance. [Full Text][Citation analysis]	article	1
2013	Expectations of functions of stochastic time with application to credit risk modeling.(2013) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1	paper
2017	Special Issue: Monitoring Systemic Risk: Data, Models and Metrics In: Statistics & Risk Modeling. [Full Text][Citation analysis]	article	0
2000	A comparative anatomy of credit risk models In: Journal of Banking & Finance. [Full Text][Citation analysis]	article	293
1998	A comparative anatomy of credit risk models.(1998) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 293	paper
2002	Saddlepoint approximation of CreditRisk+ In: Journal of Banking & Finance. [Full Text][Citation analysis]	article	21
2006	Switching costs and adverse selection in the market for credit cards: New evidence In: Journal of Banking & Finance. [Full Text][Citation analysis]	article	62
2005	Switching costs and adverse selection in the market for credit cards: new evidence.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 62	paper
2012	Granularity adjustment for mark-to-market credit risk models In: Journal of Banking & Finance. [Full Text][Citation analysis]	article	8
2010	Granularity adjustment for mark-to-market credit risk models.(2010) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8	paper
2021	The bank as Grim Reaper: Debt composition and bankruptcy thresholds In: Journal of Financial Economics. [Full Text][Citation analysis]	article	6
2016	The Bank as Grim Reaper : Debt Composition and Bankruptcy Thresholds.(2016) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6	paper
2003	A risk-factor model foundation for ratings-based bank capital rules In: Journal of Financial Intermediation. [Full Text][Citation analysis]	article	334
2002	A risk-factor model foundation for ratings-based bank capital rules.(2002) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 334	paper
2006	Procyclicality in Basel II: Can we treat the disease without killing the patient? In: Journal of Financial Intermediation. [Full Text][Citation analysis]	article	198
2019	Computationally Convenient Distributional Assumptions for Common Value Auctions In: Finance and Economics Discussion Series. [Full Text][Citation analysis]	paper	10
1997	Computationally convenient distributional assumptions for common value auctions.(1997) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10	paper
1998	Computationally Convenient Distributional Assumptions for Common-Value Auctions..(1998) In: Computational Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10	article
1998	A generalization of generalized beta distributions In: Finance and Economics Discussion Series. [Full Text][Citation analysis]	paper	7
2008	Nested simulation in portfolio risk measurement In: Finance and Economics Discussion Series. [Full Text][Citation analysis]	paper	5
2010	Constant proportion debt obligations: a post-mortem analysis of rating models In: Finance and Economics Discussion Series. [Full Text][Citation analysis]	paper	8
2012	Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models.(2012) In: Management Science. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8	article
2012	On the distribution of a discrete sample path of a square-root diffusion In: Finance and Economics Discussion Series. [Full Text][Citation analysis]	paper	0
2015	Bayesian Estimation of Time-Changed Default Intensity Models In: Finance and Economics Discussion Series. [Full Text][Citation analysis]	paper	1
2016	Counterparty Risk and Counterparty Choice in the Credit Default Swap Market In: Finance and Economics Discussion Series. [Full Text][Citation analysis]	paper	12
2007	The bank as grim reaper: debt composition and recoveries on defaulted debt In: Proceedings. [Citation analysis]	paper	12
2000	Credit VAR and risk-bucket capital rules: a reconciliation In: Proceedings. [Citation analysis]	paper	11
2013	Granularity Adjustment for Regulatory Capital Assessment In: International Journal of Central Banking. [Full Text][Citation analysis]	article	11
2010	Nested Simulation in Portfolio Risk Measurement In: Management Science. [Full Text][Citation analysis]	article	69
	Multiple Bids in a Multiple-Unit Common Value Auction In: Computing in Economics and Finance 1996. [Full Text][Citation analysis]	paper	6
	Estimation of a Markov Model of Loan Seasoning with Aggregated Performance Data In: Computing in Economics and Finance 1997. [Full Text][Citation analysis]	paper	2
1999	Hedging WinnerS Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction In: The Review of Economics and Statistics. [Full Text][Citation analysis]	article	29
1997	Hedging Winners Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction.(1997) In: Microeconomics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29	paper
2010	Small-Sample Estimation of Models of Portfolio Credit Risk In: World Scientific Book Chapters. [Full Text][Citation analysis]	chapter	7
2007	Granularity adjustment for Basel II In: Discussion Paper Series 2: Banking and Financial Studies. [Full Text][Citation analysis]	paper	21