10
H index
12
i10 index
1109
Citations
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:
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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: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Banking & Finance | 5 |
Journal of Financial Intermediation | 2 |
Working Papers Series with more than one paper published | # docs |
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Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.) | 14 |
Proceedings / Federal Reserve Bank of Chicago | 2 |
Year | Title of citing document |
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2022 | Sub-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 |
2021 | Modelling volatility with v-transforms. (2020). McNeil, Alexander J. In: Papers. RePEc:arx:papers:2002.10135. Full description at Econpapers || Download paper |
2022 | Deep 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 |
2021 | Uncovering 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 |
2021 | Optimal 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 |
2021 | Multilevel 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 |
2022 | The Climate Extended Risk Model (CERM). (2021). Garnier, Josselin. In: Papers. RePEc:arx:papers:2103.03275. Full description at Econpapers || Download paper |
2021 | Assessing asset-liability risk with neural networks. (2021). Wuthrich, Mario V ; Ery, John ; Cheridito, Patrick. In: Papers. RePEc:arx:papers:2105.12432. Full description at Econpapers || Download paper |
2021 | Sample Recycling Method -- A New Approach to Efficient Nested Monte Carlo Simulations. (2021). Li, Peng ; Feng, Runhuan. In: Papers. RePEc:arx:papers:2106.06028. Full description at Econpapers || Download paper |
2021 | Model Risk in Credit Portfolio Models. (2021). Meyer, Christian. In: Papers. RePEc:arx:papers:2111.14631. Full description at Econpapers || Download paper |
2023 | Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan. In: Papers. RePEc:arx:papers:2201.06319. Full description at Econpapers || Download paper |
2023 | Universal 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. Full description at Econpapers || Download paper |
2022 | Sample 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. Full description at Econpapers || Download paper |
2022 | Ensemble learning for portfolio valuation and risk management. (2022). Filipovi, Damir ; Boudabsa, Lotfi. In: Papers. RePEc:arx:papers:2204.05926. Full description at Econpapers || Download paper |
2023 | How 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. Full description at Econpapers || Download paper |
2022 | Multilevel Monte Carlo and its Applications in Financial Engineering. (2022). Chakrabarty, Siddhartha P ; Sinha, Devang. In: Papers. RePEc:arx:papers:2209.14549. Full description at Econpapers || Download paper |
2022 | Monte-Carlo Estimation of CoVaR. (2022). Hong, Jeff L ; Lin, Nifei ; Huang, Weihuan. In: Papers. RePEc:arx:papers:2210.06148. Full description at Econpapers || Download paper |
2023 | Efficient Risk Estimation for the Credit Valuation Adjustment. (2023). Spence, Jonathan ; Haji-Ali, Abdul-Lateef ; Giles, Michael B. In: Papers. RePEc:arx:papers:2301.05886. Full description at Econpapers || Download paper |
2023 | A 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. Full description at Econpapers || Download paper |
2021 | Credit 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. Full description at Econpapers || Download paper |
2022 | When uncertainty decouples expected and unexpected losses. (2022). Juselius, John ; Tarashev, Nikola. In: BIS Working Papers. RePEc:bis:biswps:995. Full description at Econpapers || Download paper |
2021 | Risk 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. Full description at Econpapers || Download paper |
2021 | Parametric 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. Full description at Econpapers || Download paper |
2023 | Pathwise 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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2022 | On the conditional noncentral beta distribution. (2022). Orsi, Carlo . In: Statistica Neerlandica. RePEc:bla:stanee:v:76:y:2022:i:2:p:164-189. Full description at Econpapers || Download paper |
2022 | When uncertainty decouples expected and unexpected losses. (2022). Tarashev, Nikola ; Juselius, Mikael. In: Research Discussion Papers. RePEc:bof:bofrdp:2022_004. Full description at Econpapers || Download paper |
2023 | Accounting 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. Full description at Econpapers || Download paper |
2021 | Efficient 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. Full description at Econpapers || Download paper |
2021 | Large 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. Full description at Econpapers || Download paper |
2022 | Sensitivity 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. Full description at Econpapers || Download paper |
2023 | Efficient 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. Full description at Econpapers || Download paper |
2021 | Unexpected 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. Full description at Econpapers || Download paper |
2022 | The 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. Full description at Econpapers || Download paper |
2022 | Asymmetric asset correlation in credit portfolios. (2022). Lee, Yongwoong ; Cho, Yongbok. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322002732. Full description at Econpapers || Download paper |
2022 | Bank 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. Full description at Econpapers || Download paper |
2021 | Multilevel 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. Full description at Econpapers || Download paper |
2022 | Green 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. Full description at Econpapers || Download paper |
2023 | Two-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. Full description at Econpapers || Download paper |
2021 | Multiplicative 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. Full description at Econpapers || Download paper |
2021 | Did 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. Full description at Econpapers || Download paper |
2021 | Systematic 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. Full description at Econpapers || Download paper |
2021 | Benchmark 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. Full description at Econpapers || Download paper |
2021 | Regulatory 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. Full description at Econpapers || Download paper |
2021 | Assessing 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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2021 | Regulation 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. Full description at Econpapers || Download paper |
2022 | How 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. Full description at Econpapers || Download paper |
2022 | Book-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. Full description at Econpapers || Download paper |
2022 | Bank 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. Full description at Econpapers || Download paper |
2022 | Climate 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. Full description at Econpapers || Download paper |
2023 | Private 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. Full description at Econpapers || Download paper |
2021 | Piercing 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. Full description at Econpapers || Download paper |
2021 | Dynamic Pricing of Credit Cards and the Effects of Regulation. (2021). Hunt, Robert ; Serfes, Konstantinos ; Hong, Suting. In: Working Papers. RePEc:fip:fedpwp:93394. Full description at Econpapers || Download paper |
2023 | Investigation 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. Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | A 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. Full description at Econpapers || Download paper |
2021 | Computation of Expected Shortfall by fast detection of worst scenarios. (2021). Virrion, Benjamin ; Reghai, Adil ; Bouchard, Bruno. In: Post-Print. RePEc:hal:journl:hal-02619589. Full description at Econpapers || Download paper |
2023 | How 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. Full description at Econpapers || Download paper |
2022 | How 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. Full description at Econpapers || Download paper |
2023 | A 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. Full description at Econpapers || Download paper |
2022 | Saddlepoint approximations for credit portfolios with stochastic recoveries. (2022). Herbertsson, Alexander. In: Working Papers in Economics. RePEc:hhs:gunwpe:0823. Full description at Econpapers || Download paper |
2023 | Distribution 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. Full description at Econpapers || Download paper |
2021 | Export 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. Full description at Econpapers || Download paper |
2021 | Spillovers 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. Full description at Econpapers || Download paper |
2022 | Are 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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2023 | IRB 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. Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2022 | Account-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. Full description at Econpapers || Download paper |
2022 | Machine 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. Full description at Econpapers || Download paper |
2022 | A 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. Full description at Econpapers || Download paper |
2023 | How 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. Full description at Econpapers || Download paper |
2023 | Review 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. Full description at Econpapers || Download paper |
2021 | Structured 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. Full description at Econpapers || Download paper |
2023 | Optimal Loan Portfolio under Regulatory and Internal Constraints. (2023). Takahashi, Akihiko ; Okawara, Makoto. In: CIRJE F-Series. RePEc:tky:fseres:2023cf1214. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2022 | Forecasting 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. Full description at Econpapers || Download paper |
2022 | Cyclicality 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. Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2021 | Asset concentration risk and insurance solvency regulation. (2021). Grundl, Helmut ; Regele, Fabian. In: ICIR Working Paper Series. RePEc:zbw:icirwp:4021. Full description at Econpapers || Download paper |
2022 | The 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 |
Year | Title | Type | Cited |
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2019 | Spectral backtests of forecast distributions with application to risk management In: Papers. [Full Text][Citation analysis] | paper | 3 |
2020 | Spectral backtests of forecast distributions with application to risk management.(2020) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
2018 | Spectral 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: 3 | paper | |
2016 | EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING In: Mathematical Finance. [Full Text][Citation analysis] | article | 1 |
2013 | Expectations 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 | |
2017 | Special Issue: Monitoring Systemic Risk: Data, Models and Metrics In: Statistics & Risk Modeling. [Full Text][Citation analysis] | article | 0 |
2000 | A comparative anatomy of credit risk models In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 289 |
1998 | A comparative anatomy of credit risk models.(1998) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 289 | paper | |
2002 | Saddlepoint approximation of CreditRisk+ In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 21 |
2006 | Switching costs and adverse selection in the market for credit cards: New evidence In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 60 |
2005 | Switching 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: 60 | paper | |
2012 | Granularity adjustment for mark-to-market credit risk models In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 8 |
2010 | Granularity 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 | |
2021 | The bank as Grim Reaper: Debt composition and bankruptcy thresholds In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 3 |
2016 | The Bank as Grim Reaper : Debt Composition and Bankruptcy Thresholds.(2016) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2003 | A risk-factor model foundation for ratings-based bank capital rules In: Journal of Financial Intermediation. [Full Text][Citation analysis] | article | 328 |
2002 | A 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: 328 | paper | |
2006 | Procyclicality in Basel II: Can we treat the disease without killing the patient? In: Journal of Financial Intermediation. [Full Text][Citation analysis] | article | 196 |
2019 | Computationally Convenient Distributional Assumptions for Common Value Auctions In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 10 |
1997 | Computationally 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: 10 | paper | |
1998 | Computationally Convenient Distributional Assumptions for Common-Value Auctions..(1998) In: Computational Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
1998 | A generalization of generalized beta distributions In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 6 |
2008 | Nested simulation in portfolio risk measurement In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 5 |
2010 | Constant proportion debt obligations: a post-mortem analysis of rating models In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 8 |
2012 | Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models.(2012) In: Management Science. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
2012 | On the distribution of a discrete sample path of a square-root diffusion In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 0 |
2015 | Bayesian Estimation of Time-Changed Default Intensity Models In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 1 |
2016 | Counterparty Risk and Counterparty Choice in the Credit Default Swap Market In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 12 |
2007 | The bank as grim reaper: debt composition and recoveries on defaulted debt In: Proceedings. [Citation analysis] | paper | 8 |
2000 | Credit VAR and risk-bucket capital rules: a reconciliation In: Proceedings. [Citation analysis] | paper | 11 |
2013 | Granularity Adjustment for Regulatory Capital Assessment In: International Journal of Central Banking. [Full Text][Citation analysis] | article | 10 |
2010 | Nested Simulation in Portfolio Risk Measurement In: Management Science. [Full Text][Citation analysis] | article | 66 |
Multiple Bids in a Multiple-Unit Common Value Auction In: Computing in Economics and Finance 1996. [Full Text][Citation analysis] | paper | 6 | |
Estimation of a Markov Model of Loan Seasoning with Aggregated Performance Data In: Computing in Economics and Finance 1997. [Full Text][Citation analysis] | paper | 2 | |
1999 | Hedging WinnerS Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 29 |
1997 | Hedging 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: 29 | paper | |
2010 | Small-Sample Estimation of Models of Portfolio Credit Risk In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 5 |
2007 | Granularity adjustment for Basel II In: Discussion Paper Series 2: Banking and Financial Studies. [Full Text][Citation analysis] | paper | 21 |
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