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

913

Citations

RESEARCH PRODUCTION:

13

Articles

22

Papers

RESEARCH ACTIVITY:

   22 years (1997 - 2019). See details.
   Cites by year: 41
   Journals where Michael Gordy has often published
   Relations with other researchers
   Recent citing documents: 87.    Total self citations: 7 (0.76 %)

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   Permalink: http://citec.repec.org/pgo10
   Updated: 2021-01-02    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)

Repullo, Rafael (16)

Jokivuolle, Esa (15)

Suarez, Javier (13)

gourieroux, christian (13)

Roszbach, Kasper (12)

Dietsch, Michel (11)

Pesaran, M (11)

DIETSCH, Michel (11)

Cites to:

gourieroux, christian (23)

Scaillet, Olivier (20)

Tasche, Dirk (7)

Duffie, Darrell (6)

Jarrow, Robert (5)

Leland, Hayne (4)

Acerbi, Carlo (4)

Lando, David (4)

Mester, Loretta (4)

Hurlin, Christophe (4)

Chava, Sudheer (3)

Main data


Where Michael Gordy has published?


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

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 (2020 and 2019)


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

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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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2020Common 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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2020Optimal Nested Simulation Experiment Design via Likelihood Ratio Method. (2020). Song, Eunhye ; ben Feng, Mingbin. In: Papers. RePEc:arx:papers:2008.13087.

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2020The measure of model risk in credit capital requirements. (2020). Baviera, Roberto. In: Papers. RePEc:arx:papers:2010.08028.

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2020Multilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests. (2020). Cherchali, Adel ; Alfonsi, Aur'elien ; Infante, Jose Arturo. In: Papers. RePEc:arx:papers:2010.12651.

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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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2020IRB Asset and Default Correlation: Rationale for the Macroprudential Add-ons to the Risk-Weights. (2020). Penikas, Henry. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps56.

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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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2020A family of multivariate non‐gaussian time series models. (2020). Soyer, Refik ; Polson, Nicholas G ; Aktekin, Tevfik. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:691-721.

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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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2020Forecasting expected and unexpected losses. (2020). Tarashev, Nikola ; Juselius, Mikael. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_018.

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2020The potential impact of financial portability measures on mortgage refinancing: Evidence from Chile. (2020). Madeira, Carlos. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:894.

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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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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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2020CDS Returns. (2020). Xu, Haohua ; Saleh, Fahad ; Augustin, Patrick. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:118:y:2020:i:c:s0165188920301457.

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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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2020Cross-market liquidity and dealer profitability: Evidence from the bond and CDS markets. (2020). Szersze, Pawe J ; Aramonte, Sirio. In: Journal of Financial Markets. RePEc:eee:finmar:v:51:y:2020:i:c:s1386418120300288.

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2020Are bank capital requirements optimally set? Evidence from researchers’ views. (2020). Ristolainen, Kim ; HASAN, IFTEKHAR ; Ambrocio, Gene ; Jokivuolle, Esa. In: Journal of Financial Stability. RePEc:eee:finsta:v:50:y:2020:i:c:s1572308920300711.

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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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2020Range Value-at-Risk bounds for unimodal distributions under partial information. (2020). Vanduffel, Steven ; Kazzi, Rodrigue ; Bernard, Carole. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:94:y:2020:i:c:p:9-24.

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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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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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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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2020Debt collection agencies and the supply of consumer credit. (2020). Fedaseyeu, Viktar. In: Journal of Financial Economics. RePEc:eee:jfinec:v:138:y:2020:i:1:p:193-221.

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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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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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2020Credit rating migration risk and interconnectedness in a corporate lending network. (2020). Kanno, Masayasu. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919310487.

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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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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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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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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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2020Measuring the Performance of Bank Loans under Basel II/III and IFRS 9/CECL. (2020). Pham, Ha ; Engelmann, Bernd. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:93-:d:407903.

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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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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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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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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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2019Risk Analysis for Large Pools of Loans. (2019). Giesecke, Kay ; Sirignano, Justin. In: Management Science. RePEc:inm:ormnsc:v:65:y:2019:i:1:p:107-121.

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2019Strategic Selection of Risk Models and Bank Capital Regulation. (2019). Colliard, Jean-Edouard. In: Management Science. RePEc:inm:ormnsc:v:65:y:2019:i:6:p:2591-2606.

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2020The impact of population size on the risk of local government default. (2020). Gomez-Miranda, Maria Elena ; Navarro-Galera, Andres ; Lara-Rubio, Juan ; Buendia-Carrillo, Dionisio . In: International Tax and Public Finance. RePEc:kap:itaxpf:v:27:y:2020:i:5:d:10.1007_s10797-020-09591-9.

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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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2020When enough is not enough: bank capital and the Too-Big-To-Fail subsidy. (2020). Imerman, Michael B. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:55:y:2020:i:4:d:10.1007_s11156-020-00877-x.

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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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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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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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2019Dependence of Default Probability and Recovery Rate in Structural Credit Risk Models: Case of Greek Banks. (2019). Jamel, Lamia ; Derbali, Abdelkader. In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:10:y:2019:i:2:d:10.1007_s13132-017-0473-1.

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2020A Heterogeneity Analysis on SPV Investment of Chinese Banks. (2020). Fu, YU ; Deng, Hui. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:10:y:2020:i:5:f:10_5_10.

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2019Forward-looking asset correlations in the estimation of economic capital. (2019). Novales, Alfonso ; Fonollosa, Alexandre ; Chamizo, Alvaro. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1925.

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2020Deep xVA solver - A neural network based counterparty credit risk management framework. (2020). Reisinger, Christoph ; Picarelli, Athena ; Gnoatto, Alessandro. In: Working Papers. RePEc:ver:wpaper:07/2020.

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2020A Decade after the 2009 Global Recession : Macroeconomic and Financial Sector Policies. (2020). Koh, Wee Chian ; Yu, Shu. In: Policy Research Working Paper Series. RePEc:wbk:wbrwps:9289.

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2019Predicting SME loan delinquencies during recession using accounting data and SME characteristics: The case of Greece. (2019). Giannopoulos, Vasilios ; Aggelopoulos, Eleftherios. In: Intelligent Systems in Accounting, Finance and Management. RePEc:wly:isacfm:v:26:y:2019:i:2:p:71-82.

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2019Capital Regulation with Two Banking Sectors: Cyclicality and Implementation. (2019). Kim, Taejin ; Mangla, Vishal. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:51:y:2019:i:2-3:p:485-537.

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2019M‐PRESS‐CreditRisk: Microprudential and Macroprudential Capital Requirements for Credit Risk under Systemic Stress. (2019). Tente, Natalia ; Slopek, Ulf ; von Westernhagen, Natalja. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:51:y:2019:i:7:p:1923-1961.

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2020Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models. (2020). Lam, Henry ; Ko, Young Myoung ; Byon, Eunshin ; Pan, Qiyun. In: Naval Research Logistics (NRL). RePEc:wly:navres:v:67:y:2020:i:7:p:524-547.

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2019Cross-border loan portfolio diversification, capital requirements, and the European Banking Union. (2019). Viren, Matti ; Jokivuolle, Esa. In: BoF Economics Review. RePEc:zbw:bofecr:32019.

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2019The demand for central clearing: To clear or not to clear, that is the question. (2019). Pelizzon, Loriana ; Bellia, Mario ; Peltonen, Tuomas ; Panzica, Roberto. In: SAFE Working Paper Series. RePEc:zbw:safewp:193.

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Works by Michael Gordy:


YearTitleTypeCited
2019Spectral backtests of forecast distributions with application to risk management In: Papers.
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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.
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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
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2017Special Issue: Monitoring Systemic Risk: Data, Models and Metrics In: Statistics & Risk Modeling.
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article0
2000A comparative anatomy of credit risk models In: Journal of Banking & Finance.
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article269
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: 269
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2002Saddlepoint approximation of CreditRisk+ In: Journal of Banking & Finance.
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article18
2006Switching costs and adverse selection in the market for credit cards: New evidence In: Journal of Banking & Finance.
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article53
2005Switching costs and adverse selection in the market for credit cards: new evidence.(2005) In: Working Papers.
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This paper has another version. Agregated cites: 53
paper
2012Granularity adjustment for mark-to-market credit risk models In: Journal of Banking & Finance.
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article8
2010Granularity adjustment for mark-to-market credit risk models.(2010) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 8
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2003A risk-factor model foundation for ratings-based bank capital rules In: Journal of Financial Intermediation.
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article284
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: 284
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