Michael B. Gordy - Central Bank Research Hub

Papers by year: All | 2016 | 2015 | 2013 | 2012 | 2010 | 2008 | 2007 | 2005 | 2003

Title Other author(s)

Counterparty Risk and Counterparty Choice in the Credit Default Swap Market

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2016087, 10.10.2016)

JEL: G12, G13, G24

The Bank as Grim Reaper: Debt Composition and Bankruptcy Thresholds

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2016069, 23.08.2016)

JEL: G12, G32, G33

Bayesian Estimation of Time-Changed Default Intensity Models

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2015-002, 13.04.2015)

JEL: C11, C15, C58, G12, G17

Granularity Adjustment for Regulatory Capital Assessment

IJCB International Journal of Central Banking [View] (Paper: 13q3a2, 03.09.2013)

Expectations of functions of stochastic time with application to credit risk modeling

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2013-14, 26.03.2013)

On the distribution of a discrete sample path of a square-root diffusion

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2012-12, 01.05.2012)

Granularity Adjustment for Mark-to-Market Credit Risk Models

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2010-37, 22.06.2010)

Constant Proportion Debt Obligations: A Post-Mortem Analysis of Rating Models

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2010-05, 29.03.2010)

Nested Simulation in Portfolio Risk Measurement

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2008-21, 30.04.2008)

JEL: C15, G32

Granularity adjustment for Basel II

Deutsche Bundesbank Banking Supervision Discussion Papers [View] (Paper: 2007/01, 02.08.2007)

Switching Costs and Adverse Selection in the Market for Credit Cards: New Evidence

Philadelphia Fed Working Papers [View] (Paper: wp05-16, 01.07.2005)

A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2002-55, 05.02.2003)

JEL: G31, G38

Papers by year: All | 2016 | 2015 | 2013 | 2012 | 2010 | 2008 | 2007 | 2005 | 2003