Contact Information
202-452-3705
michael.gordy@frb.gov

Fields of Interest
Risk Management
Banking and Financial Institutions
Computational Techniques

Education
Ph.D., Economics, MIT, 1994
B.A., Mathematics & Philosophy, Yale University, 1985

Professional Experience
Board of Governors of the Federal Reserve System, 1994-present
Associate Editor, Journal of Banking & Finance, 2002-present
Associate Editor, International Journal of Central Banking, 2004-present
Associate Editor, Journal of Credit Risk, 2004-present
Editorial Committee, GARP Digital Library, 2005-present
Quant of the Year, Risk Magazine, 2004
Financial Risk Manager of the Year, GARP, 2003

Selected Publications

• ''Procyclicality in Basel II: Can we treat the disease without killing the patient?'' (with Bradley Howells), Journal of Financial Intermediation, vol. 15 (July 2006), pp. 395-417.
• ''Switching Costs and Adverse Selection in the Market for Credit Cards: New Evidence'' (with Paul Calem and Loretta Mester), Journal of Banking & Finance, vol. 30 (June 2006), pp. 1653-1685.
• ''A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules,'' Journal of Financial Intermediation, vol. 12 (July 2003), pp. 199-232.
• ''Saddlepoint Approximation,'' in V.M. Gundlach and F.B. Lehrbass, eds., CreditRisk+ in the Banking Industry. Heidelberg: Springer, 2004.
• ''Granularity Adjustment in Portfolio Credit Risk Management,'' in Giorgio P. Szegö, ed., Risk Measures for the 21st Century. London: John Wiley & Sons, 2004.
• ''Model Foundations for the Supervisory Formula Approach,'' in William Perraudin, ed., Structured Credit Products: Pricing, Rating, Risk Management and Basel II. London: Risk Books, 2004.
• Credit Risk Modelling: The Cutting-Edge Collection (ed.). London: Risk Books, 2003.
• ''Random Tranches'' (with David Jones), Risk, vol. 16 (March 2003), pp. 78-83.
• ''Saddlepoint Approximation of CreditRisk+,'' Journal of Banking and Finance, vol. 26 (July 2002), pp. 1335-53.
• ''A Comparative Anatomy of Credit Risk Models,'' Journal of Banking and Finance, vol. 24 (January 2000), pp. 119-49.
• ''Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction,'' Review of Economics and Statistics, vol. 81 (August 1999), pp. 448-65.
• ''Computationally Convenient Distributional Assumptions for Common-Value Auctions,'' Computational Economics, vol. 12 (August 1998), pp. 61-78.
• A Generalization of Generalized Beta Distributions, Finance and Economics Discussion Series 1998-18. Washington: Board of Governors of the Federal Reserve System, 1998.