Research Staff and Resources
Research and Statistics Staff | Program Direction
Michael S. Gibson
Deputy Associate Director
Division of Research and Statistics
Contact Information
202-452-2495
michael.s.gibson@frb.gov
Fields of Interest
Risk Management
Financial Markets
Corporate Finance
Education
Ph.D., Economics, Massachusetts Institute of Technology, 1993
A.B., Economics, with honors in Humanities, Stanford University, 1988
Professional Experience
Board of Governors of the Federal Reserve System, 1992-present
Visiting Assistant Professor of Business Economics, University of Chicago Graduate School of Business, 1993-1995
Selected Publications
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Credit Derivatives and Risk Management,
Finance and Economics Discussion Series 2007-47. Washington: Board of Governors of the Federal Reserve System, 2007.
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''Measuring Counterparty Credit Exposure to a Margined Counterparty,'' in
Michael Pykhtin, ed.,
Counterparty Credit Risk Modelling. London: Risk Books, 2005.
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Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities
(with Tim Bollerslev and Hao Zhou),
Finance and Economics Discussion Series 2004-56. Washington: Board of Governors of the Federal Reserve System, 2004.
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Understanding the risk of synthetic CDOs,
Finance and Economics Discussion Series 2004-36. Washington: Board of Governors of the Federal Reserve System, 2004.
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''Is corporate governance ineffective in emerging markets?''
Journal of Financial and Quantitative Analysis, vol. 38
(March 2003), pp. 231-50.
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Incorporating Event Risk into Value-at-Risk,
Finance and Economics Discussion Series 2001-17. Washington: Board of Governors of the Federal Reserve System, 2001.
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''Stress testing in practice: A survey of 43 major
financial institutions''
(with Ingo Fender),
BIS Quarterly Review
(June 2001), pp. 58-62.
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''The BIS Census on Stress Tests''
(with Ingo Fender),
Risk, vol. 14
(May 2001), pp. 50-52.
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''Improving grid-based methods for estimating Value at Risk of fixed-income portfolios''
(with Matthew Pritsker),
Journal of Risk, vol. 3
(Winter 2000/2001), pp. 65-90.
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''"Big Bang" deregulation and Japanese corporate governance: A survey of the issues,'' in
Takeo Hoshi and Hugh Patrick, eds.,
Crisis and Change in the Japanese Financial System. Boston: Kluwer Academic Publishers, 2000.
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''Evaluating forecasts of correlation using option pricing''
(with Brian H. Boyer),
Journal of Derivatives, vol. 6
(Winter 1998), pp. 18-38.
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''More evidence on the link between bank health and investment in Japan,''
Journal of the Japanese and International Economies, vol. 11
(September 1997), pp. 296-310.
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''Can bank health affect investment? Evidence from Japan''
(with , , , and others),
Journal of Business, vol. 68
(July 1995), pp. 281-308.
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