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 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgo10
   Updated: 2021-01-02    RAS profile: 2018-09-12    
   Missing citations? Add them    Incorrect content? Let us know

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Common Decomposition of Correlated Brownian Motions and its Financial Applications. (2019). Yang, Jingping ; Cheng, Xue. In: Papers. RePEc:arx:papers:1907.03295.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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]		article269
1998A comparative anatomy of credit risk models.(1998) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 269		paper
2002Saddlepoint approximation of CreditRisk+ In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article18
2006Switching costs and adverse selection in the market for credit cards: New evidence In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article53
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: 53		paper
2012Granularity adjustment for mark-to-market credit risk models In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article8
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: 8		paper
2003A risk-factor model foundation for ratings-based bank capital rules In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		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		paper
2006Procyclicality in Basel II: Can we treat the disease without killing the patient? In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article153
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]		paper5
2008Nested simulation in portfolio risk measurement In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper38
2010Nested Simulation in Portfolio Risk Measurement.(2010) In: Management Science.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 38		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]		paper9
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]		article8
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]		paper13

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 2 2020. Contact: CitEc Team