Michael Gordy : Citation Profile


Are you Michael Gordy?

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

10

H index

10

i10 index

1033

Citations

RESEARCH PRODUCTION:

14

Articles

22

Papers

1

Chapters

RESEARCH ACTIVITY:

   23 years (1997 - 2020). See details.
   Cites by year: 44
   Journals where Michael Gordy has often published
   Relations with other researchers
   Recent citing documents: 49.    Total self citations: 7 (0.67 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pgo10
   Updated: 2022-09-24    RAS profile: 2021-04-01    
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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 (25)

Repullo, Rafael (23)

Suarez, Javier (19)

Schuermann, Til (19)

Jokivuolle, Esa (19)

Lucas, Andre (17)

gourieroux, christian (14)

Carey, Mark (12)

Tarashev, Nikola (12)

Roszbach, Kasper (12)

Dietsch, Michel (11)

Cites to:

gourieroux, christian (23)

Scaillet, Olivier (20)

Tasche, Dirk (7)

Duffie, Darrell (6)

Hurlin, Christophe (5)

Jarrow, Robert (5)

Leland, Hayne (4)

Mester, Loretta (4)

Lando, David (4)

Acerbi, Carlo (4)

Christoffersen, Peter (3)

Main data


Where Michael Gordy has published?


Journals with more than one article published# docs
Journal of Banking & Finance5
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 (2022 and 2021)


YearTitle of citing document
2022Sub-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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2021Modelling volatility with v-transforms. (2020). McNeil, Alexander J. In: Papers. RePEc:arx:papers:2002.10135.

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2021Deep 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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2021Uncovering 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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2021Optimal 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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2021Multilevel 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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2022The Climate Extended Risk Model (CERM). (2021). Garnier, Josselin. In: Papers. RePEc:arx:papers:2103.03275.

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2021Assessing asset-liability risk with neural networks. (2021). Wuthrich, Mario V ; Ery, John ; Cheridito, Patrick. In: Papers. RePEc:arx:papers:2105.12432.

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2021Sample Recycling Method -- A New Approach to Efficient Nested Monte Carlo Simulations. (2021). Li, Peng ; Feng, Runhuan. In: Papers. RePEc:arx:papers:2106.06028.

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2021Model Risk in Credit Portfolio Models. (2021). Meyer, Christian. In: Papers. RePEc:arx:papers:2111.14631.

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2022Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan. In: Papers. RePEc:arx:papers:2201.06319.

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2022Universal 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.

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2022Sample Recycling for Nested Simulation with Application in Portfolio Risk Measurement. (2022). Wang, Shiyu ; Liu, Guangwu ; Feng, Ben Mingbin ; Zhang, Kun. In: Papers. RePEc:arx:papers:2203.15929.

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2022Ensemble learning for portfolio valuation and risk management. (2022). Filipovi, Damir ; Boudabsa, Lotfi. In: Papers. RePEc:arx:papers:2204.05926.

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2021Credit Scoring – General Approach in the IFRS 9 Context. (2021). Moldoveanu, Marian Valentin ; Mitoi, Elena ; Achim, Luminita-Georgiana ; Turlea, Codrut-Ioan. In: The Audit Financiar journal. RePEc:aud:audfin:v:19:y:2021:i:162:p:384.

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2022When uncertainty decouples expected and unexpected losses. (2022). Juselius, John ; Tarashev, Nikola. In: BIS Working Papers. RePEc:bis:biswps:995.

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2021Risk Capital: Theory and Applications. (2021). Read, James A ; Myers, Stewart C ; Erel, Isil. In: Journal of Applied Corporate Finance. RePEc:bla:jacrfn:v:33:y:2021:i:1:p:8-21.

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2021Parametric representation of the top of income distributions: Options, historical evidence, and model selection. (2021). Hlasny, Vladimir. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:4:p:1217-1256.

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2021The predictive distributions of thinning?based count processes. (2021). Lu, Yang. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:48:y:2021:i:1:p:42-67.

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2022On the conditional noncentral beta distribution. (2022). Orsi, Carlo . In: Statistica Neerlandica. RePEc:bla:stanee:v:76:y:2022:i:2:p:164-189.

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2022When uncertainty decouples expected and unexpected losses. (2022). Tarashev, Nikola ; Juselius, Mikael. In: Research Discussion Papers. RePEc:bof:bofrdp:2022_004.

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2021Efficient estimation and filtering for multivariate jump–diffusions. (2021). Schwenkler, Gustavo ; Guay, Franois. In: Journal of Econometrics. RePEc:eee:econom:v:223:y:2021:i:1:p:251-275.

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2021Large portfolio losses in a turbulent market. (2021). Yang, Yang ; Tong, Zhiwei ; Tang, Qihe. In: European Journal of Operational Research. RePEc:eee:ejores:v:292:y:2021:i:2:p:755-769.

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2022Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo. (2022). He, Zhijian. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:1:p:229-242.

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2021Unexpected loss, expected profit, and economic capital: A note on economic capital for credit risk incorporating interest income, expenses, losses, and ROE target. (2021). Nippel, Peter ; Krebs, Martin. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319309286.

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2022The measure of model risk in credit capital requirements. (2022). Baviera, Roberto. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001458.

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2021Multilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests. (2021). Infante, Jose Arturo ; Cherchali, Adel ; Alfonsi, Aurelien. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:234-260.

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2021Multiplicative background risk models: Setting a course for the idiosyncratic risk factors distributed phase-type. (2021). Su, Jianxi ; Kye, Yisub ; Furman, Edward. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:153-167.

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2021Did Basel regulation cause a significant procyclicality?. (2021). Shimizu, Katsutoshi ; Ly, Kim Cuong. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000846.

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2021Systematic credit risk in securitised mortgage portfolios. (2021). Scheule, Harald ; Rosch, Daniel ; Lee, Yongwoong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:122:y:2021:i:c:s0378426620302582.

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2021Benchmark interest rates when the government is risky. (2021). Chernov, Mikhail ; Song, D ; Schmid, L ; Augustin, P. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:1:p:74-100.

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2021Regulatory effects on short-term interest rates. (2021). Ranaldo, Angelo ; Vasios, Michalis ; Schaffner, Patrick. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:2:p:750-770.

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2021Assessing the cyclical behaviour of bank capital buffers in a finance-augmented macro-economy. (2021). Mouratidis, Kostas ; Whyte, Kemar ; Montagnoli, Alberto. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302126.

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2021The potential impact of financial portability measures on mortgage refinancing: Evidence from Chile. (2021). Madeira, Carlos. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:117:y:2021:i:c:s0261560621001066.

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2021Regulation of bank proprietary trading post 2007–09 crisis: An examination of the Basel framework and Volcker rule. (2021). Yan, Shu ; Baptista, Alexandre ; Alexander, Gordon J. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:119:y:2021:i:c:s0261560621001418.

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2022Book-to-market equity and asset correlations—An international study. (2022). Chen, Jiun-Lin ; Lee, Shih-Cheng ; Ho, Kung-Cheng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:79:y:2022:i:c:p:258-274.

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2021Piercing Through Opacity: Relationships and Credit Card Lending to Consumers and Small Businesses During Normal Times and the COVID-19 Crisis. (2021). Wang, Teng ; Udell, Gregory ; Roman, Raluca ; Norden, Lars ; Berger, Allen N. In: Working Papers. RePEc:fip:fedpwp:92107.

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2021Dynamic Pricing of Credit Cards and the Effects of Regulation. (2021). Hunt, Robert ; Serfes, Konstantinos ; Hong, Suting. In: Working Papers. RePEc:fip:fedpwp:93394.

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2022.

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2021Export market risk and the role of state credit guarantees. (2021). Yalcin, Erdal ; Heiland, Inga. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:18:y:2021:i:1:d:10.1007_s10368-020-00466-2.

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2021Spillovers to small business credit risk. (2021). Wolff, Christian ; Pisa, Magdalena ; Bams, Dennis. In: Small Business Economics. RePEc:kap:sbusec:v:57:y:2021:i:1:d:10.1007_s11187-019-00308-9.

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2021The ascent and descent of banks’ risk-based capital regulation. (2021). Mer, Katalin. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:22:y:2021:i:4:d:10.1057_s41261-021-00149-1.

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2021A Six Parameters Beta Distribution with Application for Modeling Waiting Time of Muslim Early Morning Prayer. (2021). , Rafid. In: Annals of Data Science. RePEc:spr:aodasc:v:8:y:2021:i:1:d:10.1007_s40745-020-00282-0.

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2022Account-level analytic hierarchical mixing modeling for credit risk of Chinese Government financing vehicle portfolios. (2022). Guo, Min ; Wang, Xuefei ; Zhang, Biqian ; Liu, Chang. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:6:d:10.1007_s00181-021-02113-4.

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2022Machine learning with kernels for portfolio valuation and risk management. (2022). Filipovi, Damir ; Boudabsa, Lotfi. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:2:d:10.1007_s00780-021-00465-4.

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2022A least-squares Monte Carlo approach to the estimation of enterprise risk. (2022). Bauer, Daniel ; Ha, Hongjun. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:3:d:10.1007_s00780-022-00478-7.

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2021.

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2021The term structure of sovereign credit default swap and the cross?section of exchange rate predictability. (2021). Zeng, Ming ; Calice, Giovanni. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:445-458.

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2021Asset concentration risk and insurance solvency regulation. (2021). Grundl, Helmut ; Regele, Fabian. In: ICIR Working Paper Series. RePEc:zbw:icirwp:4021.

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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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paper3
2020Spectral backtests of forecast distributions with application to risk management.(2020) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 3
article
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: 3
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
paper
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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article279
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: 279
paper
2002Saddlepoint approximation of CreditRisk+ In: Journal of Banking & Finance.
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article19
2006Switching costs and adverse selection in the market for credit cards: New evidence In: Journal of Banking & Finance.
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article60
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: 60
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
paper
2003A risk-factor model foundation for ratings-based bank capital rules In: Journal of Financial Intermediation.
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article311
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: 311
paper
2006Procyclicality in Basel II: Can we treat the disease without killing the patient? In: Journal of Financial Intermediation.
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article183
2019Computationally Convenient Distributional Assumptions for Common Value Auctions In: Finance and Economics Discussion Series.
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paper9
1997Computationally convenient distributional assumptions for common value auctions.(1997) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 9
paper
1998Computationally Convenient Distributional Assumptions for Common-Value Auctions..(1998) In: Computational Economics.
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This paper has another version. Agregated cites: 9
article
1998A generalization of generalized beta distributions In: Finance and Economics Discussion Series.
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paper6
2008Nested simulation in portfolio risk measurement In: Finance and Economics Discussion Series.
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paper51
2010Nested Simulation in Portfolio Risk Measurement.(2010) In: Management Science.
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This paper has another version. Agregated cites: 51
article
2010Constant proportion debt obligations: a post-mortem analysis of rating models In: Finance and Economics Discussion Series.
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paper8
2012Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models.(2012) In: Management Science.
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This paper has another version. Agregated cites: 8
article
2012On the distribution of a discrete sample path of a square-root diffusion In: Finance and Economics Discussion Series.
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paper0
2015Bayesian Estimation of Time-Changed Default Intensity Models In: Finance and Economics Discussion Series.
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paper1
2016The Bank as Grim Reaper : Debt Composition and Bankruptcy Thresholds In: Finance and Economics Discussion Series.
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paper2
2016Counterparty Risk and Counterparty Choice in the Credit Default Swap Market In: Finance and Economics Discussion Series.
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paper11
2007The bank as grim reaper: debt composition and recoveries on defaulted debt In: Proceedings.
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paper3
2000Credit VAR and risk-bucket capital rules: a reconciliation In: Proceedings.
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paper11
2013Granularity Adjustment for Regulatory Capital Assessment In: International Journal of Central Banking.
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article9
Multiple Bids in a Multiple-Unit Common Value Auction In: Computing in Economics and Finance 1996.
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paper6
Estimation of a Markov Model of Loan Seasoning with Aggregated Performance Data In: Computing in Economics and Finance 1997.
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paper2
1999Hedging WinnerS Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction In: The Review of Economics and Statistics.
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article29
1997Hedging Winners Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction.(1997) In: Microeconomics.
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This paper has another version. Agregated cites: 29
paper
2010Small-Sample Estimation of Models of Portfolio Credit Risk In: World Scientific Book Chapters.
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chapter0
2007Granularity adjustment for Basel II In: Discussion Paper Series 2: Banking and Financial Studies.
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paper21

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