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

768

Citations

RESEARCH PRODUCTION:

13

Articles

22

Papers

RESEARCH ACTIVITY:

   21 years (1997 - 2018). See details.
   Cites by year: 36
   Journals where Michael Gordy has often published
   Relations with other researchers
   Recent citing documents: 68.    Total self citations: 7 (0.9 %)

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   Permalink: http://citec.repec.org/pgo10
   Updated: 2018-12-15    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 (22)

Schuermann, Til (19)

Jokivuolle, Esa (15)

Lucas, Andre (13)

Repullo, Rafael (12)

Roszbach, Kasper (12)

Dietsch, Michel (11)

DIETSCH, Michel (11)

Pesaran, M (11)

Jacobson, Tor (10)

Lindé, Jesper (10)

Cites to:

gourieroux, christian (23)

Scaillet, Olivier (20)

Tasche, Dirk (7)

Duffie, Darrell (6)

Jarrow, Robert (5)

Mester, Loretta (4)

Acerbi, Carlo (4)

Leland, Hayne (4)

Hurlin, Christophe (4)

Lando, David (4)

merton, robert (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 (US)14
Proceedings / Federal Reserve Bank of Chicago2

Recent works citing Michael Gordy (2018 and 2017)

YearTitle of citing document
2017Risk Quantification in Stochastic Simulation under Input Uncertainty. (2017). Zhu, Helin ; Zhou, Enlu. In: Papers. RePEc:arx:papers:1507.06015.

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

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2017A Dual Method For Backward Stochastic Differential Equations with Application to Risk Valuation. (2017). Ruszczynski, Andrzej ; Yao, Jianing . In: Papers. RePEc:arx:papers:1701.06234.

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2017Estimating the Counterparty Risk Exposure by using the Brownian Motion Local Time. (2017). Bonollo, Michele ; Oliva, Immacolata ; Mammi, Luca ; di Persio, Luca. In: Papers. RePEc:arx:papers:1704.03244.

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2017An indifference approach to the cost of capital constraints: KVA and beyond. (2017). Brigo, Damiano ; Pallavicini, Andrea ; Francischello, Marco. In: Papers. RePEc:arx:papers:1708.05319.

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

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2018An Aspect of Optimal Regression Design for LSMC. (2018). Weiss, Christian ; Nikoli, Zoran. In: Papers. RePEc:arx:papers:1811.08509.

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2018A sparse grid approach to balance sheet risk measurement. (2018). , Cyril ; 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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2017Systemic risk and systemic importance measures during the crisis. (2017). Zaghini, Andrea ; Masciantonio, Sergio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1153_17.

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2017Strengthening and Streamlining Bank Capital Regulation. (2017). Hanson, Samuel ; Sunderam, Adi ; Stein, Jeremy C ; Greenwood, Robin. In: Brookings Papers on Economic Activity. RePEc:bin:bpeajo:v:48:y:2017:i:2017-02:p:479-565.

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2017Value-at-Risk Bounds With Variance Constraints. (2017). Bernard, Carole ; Vanduffel, Steven ; Ruschendorf, Ludger. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:3:p:923-959.

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2017Privatization and Entry with Switching Costs. (2017). Bárcena-Ruiz, Juan ; Barcena-Ruiz, Juan Carlos ; Dong, Quan. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:4:p:491-510.

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

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2017Should bank capital requirements be less risk-sensitive because of credit constraints?. (2017). Jokivuolle, Esa ; Ambrocio, Gene. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_010.

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2017MCMC design-based non-parametric regression for rare event. Application to nested risk computations. (2017). Gersende, Fort ; Eric, Moulines ; Emmanuel, Gobet . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:23:y:2017:i:1:p:21-42:n:3.

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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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2017Risk Management and Regulation. (2017). Adrian, Tobias. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12422.

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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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2017La correlazione tra PD ed LGD nell’analisi del rischio di credito/The correlation between probability of default and loss given default in the credit risk analysis. (2017). Varetto, Franco. In: IRCrES Working Paper. RePEc:csc:ircrwp:201714.

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2017Default-implied Asset Correlation: Empirical Study for Moroccan Companies. (2017). Ammari, Mustapha ; Lakhnat, Ghizlane . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-02-55.

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2017Regression and Kriging metamodels with their experimental designs in simulation: A review. (2017). Kleijnen, Jack. In: European Journal of Operational Research. RePEc:eee:ejores:v:256:y:2017:i:1:p:1-16.

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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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2018Modeling recovery rates of corporate defaulted bonds in developed and developing countries. (2018). Teulon, Frédéric ; Mili, Medhi ; Sahut, Jean-Michel. 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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2017Macroprudential policy: A review. (2017). Lehar, Alfred ; Kahou, Mahdi Ebrahimi . In: Journal of Financial Stability. RePEc:eee:finsta:v:29:y:2017:i:c:p:92-105.

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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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2017Financial frictions and policy cooperation: A case with monopolistic banking and staggered loan contracts. (2017). Teranishi, Yuki ; Fujiwara, Ippei. In: Journal of International Economics. RePEc:eee:inecon:v:104:y:2017:i:c:p:19-43.

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2017A limit distribution of credit portfolio losses with low default probabilities. (2017). Shi, Xiaojun ; Yuan, Zhongyi ; Tang, Qihe . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:73:y:2017:i:c:p:156-167.

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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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2017An approximate multi-period Vasicek credit risk model. (2017). Moreno, Manuel ; Garcia-Cespedes, Ruben . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:81:y:2017:i:c:p:105-113.

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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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2017Entropy measure of credit risk in highly correlated markets. (2017). Gottschalk, Sylvia . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:478:y:2017:i:c:p:11-19.

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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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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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2017The time-varying price of financial intermediation in the mortgage market. (2017). Fuster, Andreas ; Willen, Paul S ; Lo, Stephanie . In: Staff Reports. RePEc:fip:fednsr:805.

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2018The economics of debt collection: enforcement of consumer credit contracts. (2018). Hunt, Robert ; Fedaseyeu, Viktar. In: Working Papers. RePEc:fip:fedpwp:15-43.

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2017ENDOGENOUS/EXOGENOUS SEGMENTATION IN THE A-IRB FRAMEWORK AND THE PRO-CYCLICALITY OF CAPITAL: AN APPLICATION TO MORTGAGE PORTFOLIOS. (2017). Canals-Cerda, Jose J. In: Working Papers. RePEc:fip:fedpwp:17-9.

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2017Bayesian Inference for Latent Factor Copulas and Application to Financial Risk Forecasting. (2017). Schamberger, Benedikt ; Czado, Claudia ; Gruber, Lutz F. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:21-:d:99406.

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2017An Empirical Study on the Impact of Basel III Standards on Banks’ Default Risk: The Case of Luxembourg. (2017). Giordana, Gastón ; Schumacher, Ingmar. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:2:p:8-:d:95645.

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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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2018Stochastic Approximation Schemes for Economic Capital and Risk Margin Computations. (2018). Barrera, David ; Stazhynski, Uladzislau ; Gobet, Emmanuel ; Fort, Gersende ; Diallo, Babacar ; Crepey, Stephane. 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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2017Using Expected Shortfall for Credit Risk Regulation. (2017). Osmundsen, Kjartan Kloster . In: UiS Working Papers in Economics and Finance. RePEc:hhs:stavef:2017_004.

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2017Merton Model and Capital Measurement in Commercial Banks: A Case Study of Selected Emerging Countries in Southeast Asia. (2017). Alizadeh, Mohammadreza Janvisloo ; Sherafatian-Jahromi, Reza. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:24:y:2017:i:3:d:10.1007_s10690-017-9229-y.

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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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2017Modelling the Sustainability of the Canadian Crop Insurance Program: A Reserve Fund Process Under a Public–Private Partnership Model. (2017). Weng, Chengguo ; Samaratunga, Ryan ; Tan, Ken Seng ; Porth, Lysa. In: The Geneva Papers on Risk and Insurance - Issues and Practice. RePEc:pal:gpprii:v:42:y:2017:i:2:d:10.1057_s41288-017-0044-5.

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2017Point-in-time PD term structure models for multi-period scenario loss projection: Methodologies and implementations for IFRS 9 ECL and CCAR stress testing. (2017). Yang, Bill Huajian. In: MPRA Paper. RePEc:pra:mprapa:76271.

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2017Forward Ordinal Probability Models for Point-in-Time Probability of Default Term Structure. (2017). Yang, Bill Huajian. In: MPRA Paper. RePEc:pra:mprapa:79934.

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2017Does Financial Tranquility Call for More Stringent Regulation?. (2017). Basak, Deepal ; Zhao, Yunhui ; Murray, Alexander. In: MPRA Paper. RePEc:pra:mprapa:81373.

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2017Dynamic Bank Capital Requirements. (2017). Davydiuk, Tetiana . In: 2017 Meeting Papers. RePEc:red:sed017:1328.

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2017ANALYSIS OF BANKING RISKS IN THE CONTEXT OF THE BASEL AGREEMENTS. (2017). Anghelache, Constantin ; Bodo, Gyorgy ; Sfetcu, Marian . In: Romanian Statistical Review Supplement. RePEc:rsr:supplm:v:65:y:2017:i:12:p:83-89.

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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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2017Risk bounds for factor models. (2017). Vanduffel, Steven ; Wang, Ruodu ; Ruschendorf, Ludger ; Bernard, Carole. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0328-4.

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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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2017Effects of balance transfer offers on consumer short-term finance: evidence from credit card data. (2017). Yuan, Yan ; Sueyoshi, Toshiyuki. In: Journal of Economic Structures. RePEc:spr:jecstr:v:6:y:2017:i:1:d:10.1186_s40008-017-0066-y.

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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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2017He who pays the piper calls the tune: Credit rating agencies and multilateral development banks. (2017). Humphrey, Chris . In: The Review of International Organizations. RePEc:spr:revint:v:12:y:2017:i:2:d:10.1007_s11558-017-9271-6.

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

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

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2017BEHAVIORAL VALUE ADJUSTMENTS. (2017). Bissiri, Matteo ; Cogo, Riccardo. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:08:n:s0219024917500509.

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2018New Evidence on Procyclical Bank Capital Regulation: The Role of Bank Loan Commitments. (2018). Young, KI. In: Working papers. RePEc:yon:wpaper:2018rwp-130.

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2017M-PRESS-CreditRisk: A holistic micro- and macroprudential approach to capital requirements. (2017). Tente, Natalia ; Slopek, Ulf ; von Westernhagen, Natalja . In: Discussion Papers. RePEc:zbw:bubdps:152017.

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2018The demand for central clearing: To clear or not to clear, that is the question. (2018). Pelizzon, Loriana ; Peltonen, Tuomas ; Panzica, Roberto ; Bellia, Mario. In: SAFE Working Paper Series. RePEc:zbw:safewp:193.

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Works by Michael Gordy:

YearTitleTypeCited
2018Spectral backtests of forecast distributions with application to risk management In: Papers.
[Full Text][Citation analysis]		paper1
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: 1		paper
2016EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING In: Mathematical Finance.
[Full Text][Citation analysis]		article0
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: 0		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]		article242
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: 242		paper
2002Saddlepoint approximation of CreditRisk+ In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article13
2006Switching costs and adverse selection in the market for credit cards: New evidence In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article45
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: 45		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]		article247
2002A risk-factor model foundation for ratings-based bank capital rules.(2002) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 247		paper
2006Procyclicality in Basel II: Can we treat the disease without killing the patient? In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article127
1997Computationally Convenient Distributional Assumptions for Common Value Auctions In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper3
1997Computationally convenient distributional assumptions for common value auctions.(1997) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
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1998Computationally Convenient Distributional Assumptions for Common-Value Auctions..(1998) In: Computational Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		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]		paper21
2010Nested Simulation in Portfolio Risk Measurement.(2010) In: Management Science.
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This paper has another version. Agregated cites: 21		article
2010Constant proportion debt obligations: a post-mortem analysis of rating models In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper3
2012Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models.(2012) In: Management Science.
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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]		paper0
2016Counterparty Risk and Counterparty Choice in the Credit Default Swap Market In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper1
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]		article5
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]		article20
1997Hedging Winners Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction.(1997) In: Microeconomics.
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2007Granularity adjustment for Basel II In: Discussion Paper Series 2: Banking and Financial Studies.
[Full Text][Citation analysis]		paper12

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