Michael Gordy : Citation Profile

Are you Michael Gordy?

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

10

H index

12

i10 index

1109

Citations

RESEARCH PRODUCTION:

15

Articles

22

Papers

1

Chapters

RESEARCH ACTIVITY:

   24 years (1997 - 2021). See details.
   Cites by year: 46
   Journals where Michael Gordy has often published
   Relations with other researchers
   Recent citing documents: 84.    Total self citations: 7 (0.63 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pgo10
   Updated: 2023-08-19    RAS profile: 2022-10-20    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Michael Gordy.

Is cited by:

Scheule, Harald (26)

Repullo, Rafael (23)

Jokivuolle, Esa (19)

Schuermann, Til (19)

Suarez, Javier (19)

Lucas, Andre (17)

gourieroux, christian (14)

DIETSCH, Michel (13)

Dietsch, Michel (13)

Roszbach, Kasper (12)

Tarashev, Nikola (12)

Cites to:

gourieroux, christian (28)

Scaillet, Olivier (25)

Tasche, Dirk (8)

Duffie, Darrell (6)

Acerbi, Carlo (6)

Hurlin, Christophe (5)

Jarrow, Robert (5)

Lando, David (4)

Mester, Loretta (4)

Leland, Hayne (4)

Altman, Edward (4)

Main data

Where Michael Gordy has published?

Journals with more than one article published# docs
Journal of Banking & Finance5
Journal of Financial Intermediation2

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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2022Deep 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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2023Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan. In: Papers. RePEc:arx:papers:2201.06319.

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2023Universal 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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2023How many inner simulations to compute conditional expectations with least-square Monte Carlo?. (2022). Lelong, J'Erome ; Lapeyre, Bernard ; Alfonsi, Aur'Elien. In: Papers. RePEc:arx:papers:2209.04153.

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2022Multilevel Monte Carlo and its Applications in Financial Engineering. (2022). Chakrabarty, Siddhartha P ; Sinha, Devang. In: Papers. RePEc:arx:papers:2209.14549.

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2022Monte-Carlo Estimation of CoVaR. (2022). Hong, Jeff L ; Lin, Nifei ; Huang, Weihuan. In: Papers. RePEc:arx:papers:2210.06148.

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2023Efficient Risk Estimation for the Credit Valuation Adjustment. (2023). Spence, Jonathan ; Haji-Ali, Abdul-Lateef ; Giles, Michael B. In: Papers. RePEc:arx:papers:2301.05886.

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2023A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation. (2023). Louzi, Azar ; Frikha, Noufel ; Cr, St'Ephane. In: Papers. RePEc:arx:papers:2304.01207.

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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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2023Pathwise CVA regressions with oversimulated defaults. (2023). Saadeddine, Bouazza ; Crepey, Stephane ; Abbasturki, Lokman A. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:2:p:274-307.

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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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2023Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework. (2023). Vrins, Frederic ; Barbagli, Matteo. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001335.

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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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2023Efficient estimation of a risk measure requiring two-stage simulation optimization. (2023). Chen, Chun-Hung ; Hu, Jian-Qiang ; Xu, Jie ; Wang, Tian Xiang. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:3:p:1355-1365.

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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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2022Asymmetric asset correlation in credit portfolios. (2022). Lee, Yongwoong ; Cho, Yongbok. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322002732.

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2022Bank credit risk and macro-prudential policies: Role of counter-cyclical capital buffer. (2022). Sousa, Ricardo ; Mallick, Sushanta K ; Kumar, Abhishek ; Benbouzid, Nadia ; Stojanovic, Aleksandar. In: Journal of Financial Stability. RePEc:eee:finsta:v:63:y:2022:i:c:s157230892200105x.

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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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2022Green nested simulation via likelihood ratio: Applications to longevity risk management. (2022). Zhou, Kenneth Q ; Li, Johnny Siu-Hang ; Feng, Ben Mingbin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:106:y:2022:i:c:p:285-301.

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2023Two-stage nested simulation of tail risk measurement: A likelihood ratio approach. (2023). Hardy, Mary R ; Feng, Mingbin ; Dang, OU. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:1-24.

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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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2022How sovereign is sovereign credit risk? Global prices, local quantities. (2022). Tomio, Davide ; Sokolovski, Valeri ; Augustin, Patrick ; Subrahmanyam, Marti G. In: Journal of Monetary Economics. RePEc:eee:moneco:v:131:y:2022:i:c:p:92-111.

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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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2022Bank credit risk and macro-prudential policies: role of counter-cyclical capital buffer. (2022). Sousa, Ricardo ; Mallick, Sushanta K ; Kumar, Abhishek ; Benbouzid, Nadia ; Stojanovic, Aleksandar. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:117539.

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2022Climate Change and the Role of Regulatory Capital: A Stylized Framework for Policy Assessment. (2022). Holscher, Michael ; Ignell, David ; Lewis, Morgan ; Stiroh, Kevin J. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2022-68.

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2023Private Equity and Debt Contract Enforcement: Evidence from Covenant Violations. (2023). Kleymenova, Anya V ; Haque, Sharjil M. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-18.

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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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2023Investigation and Modelling of Economic Systematic Risk and Capital Requirement: A Monte Carlo Simulation. (2023). Gassouma, Mohamed Sadok ; Benhamed, Adel. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:4:p:241-:d:1123093.

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2022.

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2023.

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2023.

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2023A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation. (2023). Louzi, Azar ; Frikha, Noufel ; Crepey, Stephane. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-04037328.

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2021Computation of Expected Shortfall by fast detection of worst scenarios. (2021). Virrion, Benjamin ; Reghai, Adil ; Bouchard, Bruno. In: Post-Print. RePEc:hal:journl:hal-02619589.

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2023How many inner simulations to compute conditional expectations with least-square Monte Carlo?. (2023). Lelong, Jerome ; Lapeyre, Bernard ; Alfonsi, Aurelien. In: Post-Print. RePEc:hal:journl:hal-03770051.

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2022How many inner simulations to compute conditional expectations with least-square Monte Carlo?. (2022). Lelong, Jerome ; Lapeyre, Bernard ; Alfonsi, Aurelien. In: Working Papers. RePEc:hal:wpaper:hal-03770051.

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2023A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation. (2023). Louzi, Azar ; Frikha, Noufel ; Crepey, Stephane. In: Working Papers. RePEc:hal:wpaper:hal-04037328.

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2022Saddlepoint approximations for credit portfolios with stochastic recoveries. (2022). Herbertsson, Alexander. In: Working Papers in Economics. RePEc:hhs:gunwpe:0823.

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2023Distribution of credit-risk concentration in particular sectors of the economy, and economic capital before and during the COVID-19 pandemic. (2023). Nehrebecka, Natalia. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:1:d:10.1007_s10644-022-09412-5.

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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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2022Are large credit exposures a source of concentration risk?. (2022). Nokkala, Jan. In: Bank i Kredyt. RePEc:nbp:nbpbik:v:53:y:2022:i:4:p:375-398.

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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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2023IRB Asset and Default Correlation: Rationale for the Macroprudential Mark-Ups to the IRB Risk-Weights. (2023). Penikas, Henry. In: Risk Management. RePEc:pal:risman:v:25:y:2023:i:1:d:10.1057_s41283-022-00109-7.

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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). Zhang, Biqian ; Liu, Chang ; Guo, Min ; Wang, Xuefei. 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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2023How Many Inner Simulations to Compute Conditional Expectations with Least-square Monte Carlo?. (2023). Lelong, Jerome ; Lapeyre, Bernard ; Alfonsi, Aurelien. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:25:y:2023:i:3:d:10.1007_s11009-023-10038-x.

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2023Review of Statistical Approaches for Modeling High-Frequency Trading Data. (2023). Ravishanker, Nalini ; Basu, Sumanta ; Karpman, Kara ; Dutta, Chiranjit. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00280-7.

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2021Structured climate financing: valuation of CDO on inhomogeneous asset pools. (2021). Packham, N. In: SN Business & Economics. RePEc:spr:snbeco:v:1:y:2021:i:4:d:10.1007_s43546-021-00057-6.

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2023Optimal Loan Portfolio under Regulatory and Internal Constraints. (2023). Takahashi, Akihiko ; Okawara, Makoto. In: CIRJE F-Series. RePEc:tky:fseres:2023cf1214.

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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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2022Forecasting value at risk and expected shortfall using high?frequency data of domestic and international stock markets. (2022). Wang, Man ; Cheng, Yihan. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:8:p:1595-1607.

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2022Cyclicality of capital adequacy ratios in heterogeneous environment: A nonlinear panel smooth transition regression explanation. (2022). Almessabi, Balqees Naser ; Polyzos, Stathis ; Khalid, Ali Awais ; Rubbaniy, Ghulame. In: Managerial and Decision Economics. RePEc:wly:mgtdec:v:43:y:2022:i:6:p:1960-1979.

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2022.

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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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2022The 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.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		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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2000A comparative anatomy of credit risk models In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article289
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: 289		paper
2002Saddlepoint approximation of CreditRisk+ In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article21
2006Switching costs and adverse selection in the market for credit cards: New evidence In: Journal of Banking & Finance.
[Full Text][Citation analysis]		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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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
2021The bank as Grim Reaper: Debt composition and bankruptcy thresholds In: Journal of Financial Economics.
[Full Text][Citation analysis]		article3
2016The Bank as Grim Reaper : Debt Composition and Bankruptcy Thresholds.(2016) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 3		paper
2003A risk-factor model foundation for ratings-based bank capital rules In: Journal of Financial Intermediation.
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2002A risk-factor model foundation for ratings-based bank capital rules.(2002) In: Finance and Economics Discussion Series.
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