Michael Gordy : Citation Profile

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

12

H index

14

i10 index

1227

Citations

RESEARCH PRODUCTION:

16

Articles

23

Papers

1

Chapters

RESEARCH ACTIVITY:

   27 years (1997 - 2024). See details.
   Cites by year: 45
   Journals where Michael Gordy has often published
   Relations with other researchers
   Recent citing documents: 62.    Total self citations: 7 (0.57 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pgo10
   Updated: 2026-01-17    RAS profile: 2025-06-13    
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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 (27)

Repullo, Rafael (23)

Suarez, Javier (20)

Schuermann, Til (19)

Jokivuolle, Esa (19)

Lucas, Andre (17)

Dietsch, Michel (16)

gourieroux, christian (14)

DIETSCH, Michel (13)

Dionne, Georges (12)

Carey, Mark (12)

Cites to:

gourieroux, christian (23)

Scaillet, Olivier (20)

Tasche, Dirk (7)

Duffie, Darrell (6)

Jarrow, Robert (5)

Hurlin, Christophe (5)

Leland, Hayne (4)

Altman, Edward (4)

Mester, Loretta (4)

Acerbi, Carlo (4)

Jagannathan, Ravi (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.)15
Proceedings / Federal Reserve Bank of Chicago2

Recent works citing Michael Gordy (2025 and 2024)

YearTitle of citing document
2024On the Relationship between Borrower and Bank risk. (2024). Mitkov, Yuliyan ; Schuwer, Ulrich. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:294.

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2024Efficient Nested Simulation Experiment Design via the Likelihood Ratio Method. (2024). ben Feng, Mingbin ; Song, Eunhye. In: Papers. RePEc:arx:papers:2008.13087.

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2024Multinomial Backtesting of Distortion Risk Measures. (2024). Weber, Stefan ; Bettels, Soren ; Kim, Sojung. In: Papers. RePEc:arx:papers:2201.06319.

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2024Efficient Risk Estimation for the Credit Valuation Adjustment. (2024). Giles, Michael B ; Spence, Jonathan ; Haji-Ali, Abdul-Lateef. In: Papers. RePEc:arx:papers:2301.05886.

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2024A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation. (2024). Cr, St'Ephane ; Frikha, Noufel ; Louzi, Azar. In: Papers. RePEc:arx:papers:2304.01207.

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2024Propagation of a carbon price in a credit portfolio through macroeconomic factors. (2024). Ibbou, Smail ; Sopgoui, Lionel ; Chassagneux, Jean-Franccois ; Bouveret, G'Eraldine ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2307.12695.

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2024On the Relevance and Appropriateness of Name Concentration Risk Adjustments for Portfolios of Multilateral Development Banks. (2024). Sester, Julian ; Shen, Hongyi ; Lutkebohmert, Eva. In: Papers. RePEc:arx:papers:2311.13802.

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2024Spurious Default Probability Projections in Credit Risk Stress Testing Models. (2024). Engelmann, Bernd. In: Papers. RePEc:arx:papers:2401.08892.

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2024Attention-based Dynamic Multilayer Graph Neural Networks for Loan Default Prediction. (2024). Zandi, Sahab ; Korangi, Kamesh ; Bravo, Cristi'An ; Mues, Christophe. In: Papers. RePEc:arx:papers:2402.00299.

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2024Measuring Name Concentrations through Deep Learning. (2024). Sester, Julian ; Lutkebohmert, Eva. In: Papers. RePEc:arx:papers:2403.16525.

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2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Hurlin, Christophe ; Lu, Yang. In: Papers. RePEc:arx:papers:2405.02012.

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2024Multilevel Monte Carlo in Sample Average Approximation: Convergence, Complexity and Application. (2024). Chakrabarty, Siddhartha P ; Sinha, Devang. In: Papers. RePEc:arx:papers:2407.18504.

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2024Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements. (2024). de Marco, S ; Lopez-Salas, J G ; Noubiagain, F ; Gobet, E ; Zhou, A ; Agarwal, A. In: Papers. RePEc:arx:papers:2408.01185.

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2025Impact of Climate transition on Credit portfolios loss with stochastic collateral. (2024). Sopgoui, Lionel. In: Papers. RePEc:arx:papers:2408.13266.

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2024Efficient Nested Estimation of CoVaR: A Decoupled Approach. (2024). Hong, Jeff L ; Song, Yingda ; Lin, Nifei. In: Papers. RePEc:arx:papers:2411.01319.

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2024Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation. (2024). Yang, Fan ; Tan, Ken Seng ; Cui, Hengxin. In: Papers. RePEc:arx:papers:2411.06640.

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2024Robust Bernoulli mixture models for credit portfolio risk. (2024). Lutkebohmert, Eva ; Ansari, Jonathan. In: Papers. RePEc:arx:papers:2411.11522.

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2025A cost of capital approach to determining the LGD discount rate. (2025). Botha, Arno ; Larney, Janette ; Grobler, Gerrit Lodewicus ; Raubenheimer, Helgard. In: Papers. RePEc:arx:papers:2503.23992.

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2025Optimal Capital Structure for Life Insurance Companies Offering Surplus Participation. (2025). Stadje, Mitja ; Fiessinger, Felix. In: Papers. RePEc:arx:papers:2504.12851.

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2025Climate Physical Risk Assessment in Asset Management. (2025). Viola, Lorenzo ; Stocco, Davide ; Ghesini, Matteo ; Azzone, Michele. In: Papers. RePEc:arx:papers:2504.19307.

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2025Marginal expected shortfall: Systemic risk measurement under dependence uncertainty. (2025). Lin, Sheldon X ; Furman, Edward ; Chen, Jinghui. In: Papers. RePEc:arx:papers:2504.19953.

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2025Credit risk for large portfolios of green and brown loans: extending the ASRF model. (2025). Scarlatti, Sergio ; Ramponi, Alessandro. In: Papers. RePEc:arx:papers:2506.12510.

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2025Function approximations for counterparty credit exposure calculations. (2025). Demeterfi, Domagoj ; Glau, Kathrin ; Wunderlich, Linus. In: Papers. RePEc:arx:papers:2507.09004.

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2025Optimized Multi-Level Monte Carlo Parametrization and Antithetic Sampling for Nested Simulations. (2025). Pages, Gilles ; Truc, Mathieu ; Lemaire, Vincent ; Cherchali, Adel ; Boumezoued, Alexandre. In: Papers. RePEc:arx:papers:2510.18995.

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2025How accurately do consumers report their debts in household surveys?. (2025). Madeira, Carlos. In: BIS Working Papers. RePEc:bis:biswps:1258.

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2025Incorporating physical climate risks into banks credit risk models. (2025). Ilinsky, Kirill ; Lobanov, Alexey ; Pozdyshev, Vasily. In: BIS Working Papers. RePEc:bis:biswps:1274.

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2024The Time‐Varying Price of Financial Intermediation in the Mortgage Market. (2024). Willen, Paul ; Fuster, Andreas ; Lo, Stephanie H. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:4:p:2553-2602.

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2024Competing models of the Bank of England’s liquidity auctions: truthful bidding is a good approximation. (2024). Grace, Charlotte. In: Bank of England working papers. RePEc:boe:boeewp:1061.

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2025From Incurred to Expected Loss: Implications for Bank Lending. (2025). Suarez, Javier ; Ikeda, Daisuke ; Abad, Jorge. In: Working Papers. RePEc:cmf:wpaper:wp2025_2509.

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2024Worst-Case Higher Moment Risk Measure: Addressing Distributional Shifts and Procyclicality. (2024). Quiceno, Nancy ; Gomez, Fabio ; Castro-Iragorri, Carlos. In: Documentos de Trabajo. RePEc:col:000092:021048.

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2024Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement. (2024). Yan, Xing ; Liu, Xiaoyu ; Zhang, Kun. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:3:p:1168-1177.

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2025Attention-based dynamic multilayer graph neural networks for loan default prediction. (2025). Skarsdttir, Mara ; Korangi, Kamesh ; Zandi, Sahab ; Mues, Christophe ; Bravo, Cristin. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:2:p:586-599.

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2025Contagion network, portfolio credit risk, and financial crisis. (2025). Li, Bingqing ; Fu, Michael C ; Wu, Rongwen. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:3:p:942-957.

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2025CDS and credit: The effect of the bangs on credit insurance, lending and hedging. (2025). Ongena, Steven ; Tmer-Alkan, Gnseli ; Gndz, Yalin ; Yu, Yuejuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000052.

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2024Unveiling the adverse selection problem in Chinas digital lending market: Evidence from CHFS. (2024). Zhang, Mingxin. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005635.

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2024Worst-case higher moment risk measure: Addressing distributional shifts and procyclicality. (2024). Quiceno, Nancy ; Gomez, Fabio ; Castro-Iragorri, Carlos. In: Finance Research Letters. RePEc:eee:finlet:v:65:y:2024:i:c:s154461232400610x.

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2025Name concentration risk in Multilateral Development Banks’ portfolios: Measurement and capital adequacy implications. (2025). Lütkebohmert, Eva ; Shen, Hongyi ; Sester, Julian ; Ltkebohmert, Eva. In: Global Finance Journal. RePEc:eee:glofin:v:67:y:2025:i:c:s104402832500081x.

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2024Modeling citation concentration through a mixture of Leimkuhler curves. (2024). Dorta-González, Pablo ; Dorta-Gonzalez, Pablo ; Gomez-Deniz, Emilio. In: Journal of Informetrics. RePEc:eee:infome:v:18:y:2024:i:2:s1751157724000324.

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2024Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models. (2024). Xu, Ziqing ; Huang, Zhenzhen ; Kwok, Yue Kuen. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:132-150.

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2024Multinomial backtesting of distortion risk measures. (2024). Kim, Sojung ; Bettels, Sren ; Weber, Stefan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:119:y:2024:i:c:p:130-145.

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2024Operational loss recoveries and the macroeconomic environment: Evidence from the U.S. banking sector. (2024). Frame, Scott W ; McLemore, Ping ; Lazaryan, Nika ; Mihov, Atanas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:165:y:2024:i:c:s0378426624001377.

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2025Regulating bank risk in a mobile labour market. (2025). van Boxtel, Anton. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:175:y:2025:i:c:s037842662500041x.

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2025Regulating Bank Portfolio Choice Under Asymmetric Information. (2025). Anderson, Christopher. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2025-09.

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2024An Age–Period–Cohort Framework for Profit and Profit Volatility Modeling. (2024). Breeden, Joseph L. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:10:p:1427-:d:1389720.

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2025Inferred Loss Rate as a Credit Risk Measure in the Bulgarian Banking System. (2025). Boutchaktchiev, Vilislav. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:9:p:1462-:d:1645779.

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2025Limiting Loss Distribution of Default and Prepayment for Loan Portfolios and Its Application in RMBS. (2025). Yang, Jingping ; Duan, Qinhan ; Bu, Lan ; Zang, Xin ; Xia, Chenxi. In: Risks. RePEc:gam:jrisks:v:13:y:2025:i:8:p:153-:d:1725557.

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2024A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation. (2024). Louzi, Azar ; Crepey, Stephane ; Frikha, Noufel. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-04037328.

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2024A FAST Method for Nested Estimation. (2024). Luo, Jun ; Zhang, Kun ; Liang, Guo. In: INFORMS Journal on Computing. RePEc:inm:orijoc:v:36:y:2024:i:6:p:1481-1500.

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2025Minimum capital requirement portfolios according to the new Basel framework for market risk. (2025). Avellone, Alessandro ; Foroni, Ilaria ; Pederzoli, Chiara. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:39:y:2025:i:2:d:10.1007_s11408-024-00454-5.

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2024Regulatory and contextual factors influencing earnings and capital management decisions: evidence from the European banking sector. (2024). Casciello, Raffaela ; Maffei, Marco ; Ziebart, David A. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:63:y:2024:i:1:d:10.1007_s11156-024-01253-9.

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2025Granularity Shock: A Small Perturbation Two-Factor Model. (2025). Osadchiy, Maksim. In: MPRA Paper. RePEc:pra:mprapa:124190.

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2025Granularity Shock: A Small Perturbation Two-Factor Model. (2025). Osadchiy, Maksim. In: MPRA Paper. RePEc:pra:mprapa:124745.

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2025Granularity Shock: A Small Perturbation Two-Factor Model. (2025). Osadchiy, Maksim. In: MPRA Paper. RePEc:pra:mprapa:125027.

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2025The risk of large losses in credit portfolios. (2025). Pinheiro, Tiago ; Inverneiro, Miguel. In: Working Papers. RePEc:ptu:wpaper:w202509.

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2024Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation. (2024). Yang, Fan ; Tan, Ken Seng ; Cui, Hengxin. In: Annals of Operations Research. RePEc:spr:annopr:v:332:y:2024:i:1:d:10.1007_s10479-022-04717-0.

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2024Asymptotics for credit portfolio losses due to defaults in a multi-sector model. (2024). Zhang, Zhimin ; Yang, Yang ; Chen, Shaoying. In: Annals of Operations Research. RePEc:spr:annopr:v:337:y:2024:i:1:d:10.1007_s10479-024-05934-5.

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2024Some properties of the maximum loss on loan portfolios. (2024). Vrs, Jzsef. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:32:y:2024:i:1:d:10.1007_s10100-022-00837-x.

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2025A bootstrap-based bandwidth selection rule for kernel quantile estimators. (2025). Liu, Xiaoyu ; Zhang, Kun ; Song, Yan ; Cheng, Hong-Fa. In: Computational Statistics. RePEc:spr:compst:v:40:y:2025:i:7:d:10.1007_s00180-024-01582-2.

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2025Analysing credit risk in persons with disabilities as an instrument of financial inclusion. (2025). Lara-Rubio, Juan ; Navarro-Galera, Andrs ; Molina-Moreno, Valentn ; Galvez-Snchez, Francisco J. In: Journal of Social and Economic Development. RePEc:spr:jsecdv:v:27:y:2025:i:2:d:10.1007_s40847-024-00346-4.

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2025Algorithmically Efficient Identification of Volatile KSE-30 Equities and Their Role in Optimized Portfolio Allocation. (2025). Shahid, Nazish. In: SN Operations Research Forum. RePEc:spr:snopef:v:6:y:2025:i:1:d:10.1007_s43069-025-00421-4.

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2025The Zero Lower Bound on Deposit Rates, Monetary Policy and Bank Insolvency Risk. (2025). Driussi, Lorenz. In: Working Papers. RePEc:szg:worpap:2502.

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2024Can intraday data improve the joint estimation and prediction of risk measures? Evidence from a variety of realized measures. (2024). Wu, Zhimin ; Cai, Guanghui. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:1956-1974.

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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]		paper6
2020Spectral backtests of forecast distributions with application to risk management.(2020) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2018Spectral Backtests of Forecast Distributions with Application to Risk Management.(2018) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		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 nother 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]		article304
1998A comparative anatomy of credit risk models.(1998) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 304		paper
2002Saddlepoint approximation of CreditRisk+ In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article23
2006Switching costs and adverse selection in the market for credit cards: New evidence In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article66
2005Switching costs and adverse selection in the market for credit cards: new evidence.(2005) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 66		paper
2012Granularity adjustment for mark-to-market credit risk models In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article14
2010Granularity adjustment for mark-to-market credit risk models.(2010) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2021The bank as Grim Reaper: Debt composition and bankruptcy thresholds In: Journal of Financial Economics.
[Full Text][Citation analysis]		article8
2016The Bank as Grim Reaper : Debt Composition and Bankruptcy Thresholds.(2016) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother 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]		article365
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 nother version. Agregated cites: 365		paper
2006Procyclicality in Basel II: Can we treat the disease without killing the patient? In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article205
2019Computationally Convenient Distributional Assumptions for Common Value Auctions In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper11
1997Computationally convenient distributional assumptions for common value auctions.(1997) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
1998Computationally Convenient Distributional Assumptions for Common-Value Auctions..(1998) In: Computational Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		article
1998A generalization of generalized beta distributions In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper7
2008Nested simulation in portfolio risk measurement In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper84
2010Nested Simulation in Portfolio Risk Measurement.(2010) In: Management Science.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 84		article
2010Constant proportion debt obligations: a post-mortem analysis of rating models In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper8
2012Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models.(2012) In: Management Science.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		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
2016Counterparty Risk and Counterparty Choice in the Credit Default Swap Market In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper13
2024Counterparty Risk and Counterparty Choice in the Credit Default Swap Market.(2024) In: Management Science.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		article
2024Spectral backtests unbounded and folded In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper0
2007The bank as grim reaper: debt composition and recoveries on defaulted debt In: Proceedings.
[Citation analysis]		paper14
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]		article19
Multiple Bids in a Multiple-Unit Common Value Auction In: Computing in Economics and Finance 1996.
[Full Text][Citation analysis]		paper6
Estimation of a Markov Model of Loan Seasoning with Aggregated Performance Data In: Computing in Economics and Finance 1997.
[Full Text][Citation analysis]		paper2
1999Hedging WinnerS Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article31
1997Hedging Winners Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction.(1997) In: Microeconomics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 31		paper
2010Small-Sample Estimation of Models of Portfolio Credit Risk In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter7
2007Granularity adjustment for Basel II In: Discussion Paper Series 2: Banking and Financial Studies.
[Full Text][Citation analysis]		paper21

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