Michael Gordy : Citation Profile

Are you Michael Gordy?

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

11

H index

14

i10 index

1182

Citations

RESEARCH PRODUCTION:

15

Articles

23

Papers

1

Chapters

RESEARCH ACTIVITY:

   27 years (1997 - 2024). See details.
   Cites by year: 43
   Journals where Michael Gordy has often published
   Relations with other researchers
   Recent citing documents: 61.    Total self citations: 7 (0.59 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pgo10
   Updated: 2024-12-03    RAS profile: 2024-06-05    
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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)

Schuermann, Til (19)

Suarez, Javier (19)

Jokivuolle, Esa (19)

Lucas, Andre (17)

Dietsch, Michel (16)

gourieroux, christian (14)

DIETSCH, Michel (13)

Roszbach, Kasper (12)

Carey, Mark (12)

Cites to:

gourieroux, christian (23)

Scaillet, Olivier (20)

Tasche, Dirk (7)

Duffie, Darrell (6)

Hurlin, Christophe (5)

Jarrow, Robert (5)

Mester, Loretta (4)

Leland, Hayne (4)

Acerbi, Carlo (4)

Altman, Edward (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 (2024 and 2023)

YearTitle of citing document
2023Business cycle and realized losses in the consumer credit industry. (2023). Vrins, Frederic ; Roccazzella, Francesco ; Distaso, Walter. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023007.

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

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2024Optimal 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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2024Multinomial 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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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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2024Efficient 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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2024A 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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2024Propagation of carbon tax in credit portfolio through macroeconomic factors. (2023). Sopgoui, Lionel ; Jacquier, Antoine ; Ibbou, Smail ; Chassagneux, Jean-Franccois ; Bouveret, G'Eraldine. In: Papers. RePEc:arx:papers:2307.12695.

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2023Nested Multilevel Monte Carlo with Biased and Antithetic Sampling. (2023). Spence, Jonathan ; Haji-Ali, Abdul-Lateef. In: Papers. RePEc:arx:papers:2308.07835.

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2024On the Relevance and Appropriateness of Name Concentration Risk Adjustments for Portfolios of Multilateral Development Banks. (2023). Sester, Julian ; Lutkebohmert, Eva ; Shen, Hongyi. In: Papers. RePEc:arx:papers:2311.13802.

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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). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012.

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

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

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

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2023The impact of a systemic tax on bank capital holdings, optimal capital requirements and social welfare. (2023). Zhang, Xuan ; Yu, Kaidong ; Archibald, Thomas ; Moreira, Fernando ; Huang, Chao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:124-142.

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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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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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2023.

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2023.

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2024.

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2024A 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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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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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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2023Diagnostic Tools for Evaluating and Comparing Simulation-Optimization Algorithms. (2023). Shashaani, Sara ; Henderson, Shane G ; Eckman, David J. In: INFORMS Journal on Computing. RePEc:inm:orijoc:v:35:y:2023:i:2:p:350-367.

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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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2023Risk-shifting, concentration risk, and heterogeneous borrowers. (2023). Fittje, Jens. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:20:y:2023:i:4:d:10.1007_s10368-023-00570-z.

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2023Dynamic Pricing of Credit Cards and the Effects of Regulation. (2023). Serfes, Konstantinos ; Hunt, Robert M ; Hong, Suting. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:64:y:2023:i:1:d:10.1007_s10693-022-00385-0.

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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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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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2023Development of a Transition Matrix Model of Credit Rating of Companies based on Forecasted Macro Factors: the Case of Greece. (2023). Poulios, Costas ; Melas, Evangelos ; Donatou, Anna ; Lefkaditis, Konstantinos ; Leventides, John. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:13:y:2023:i:5:f:13_5_3.

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2023Loan Recoveries and the Financing of Zombie Firms over the Business Cycle. (2023). Huizinga, Harry ; Horvath, Balint L ; Demirguc-Kunt, Asli. In: Discussion Paper. RePEc:tiu:tiucen:f86d5fb2-4829-426b-b026-b9fe12b9e932.

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2023Loan Recoveries and the Financing of Zombie Firms over the Business Cycle. (2023). Huizinga, Harry ; Horvath, Balint L ; Demirguc-Kunt, Asli. In: Other publications TiSEM. RePEc:tiu:tiutis:f86d5fb2-4829-426b-b026-b9fe12b9e932.

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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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2023Impact of capital account liberalization on stock market crashes. (2023). Shehzad, Choudhry Tanveer ; Khalid, Rizwan ; Naqvi, Bushra. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:4:p:3700-3726.

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2023The Fundamental Review of the Trading Book: Implications for Portfolio and Risk Management in the Banking Sector. (2023). Cummins, Mark ; McCullagh, Orla ; Killian, Sheila. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:55:y:2023:i:7:p:1785-1816.

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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]		paper5
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: 5		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: 5		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]		article302
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: 302		paper
2002Saddlepoint approximation of CreditRisk+ In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article22
2006Switching costs and adverse selection in the market for credit cards: New evidence In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article63
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: 63		paper
2012Granularity adjustment for mark-to-market credit risk models In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article10
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: 10		paper
2021The bank as Grim Reaper: Debt composition and bankruptcy thresholds In: Journal of Financial Economics.
[Full Text][Citation analysis]		article7
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: 7		paper
2003A risk-factor model foundation for ratings-based bank capital rules In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article345
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: 345		paper
2006Procyclicality in Basel II: Can we treat the disease without killing the patient? In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article204
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]		paper79
2010Nested Simulation in Portfolio Risk Measurement.(2010) In: Management Science.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 79		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]		paper12
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]		paper12
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]		article15
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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