Research Staff and Resources
Research and Statistics Staff | Risk Analysis Section
Michael Gordy
Senior Economist
Risk Analysis Section
Division of Research and Statistics
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
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''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.
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''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.
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''A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules,''
Journal of Financial Intermediation, vol. 12
(July 2003), pp. 199-232.
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''Saddlepoint Approximation,'' in
V.M. Gundlach and F.B. Lehrbass, eds.,
CreditRisk+ in the Banking Industry. Heidelberg: Springer, 2004.
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''Granularity Adjustment in Portfolio Credit Risk Management,'' in
Giorgio P. Szegö, ed.,
Risk Measures for the 21st Century. London: John Wiley & Sons, 2004.
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''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.
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Credit Risk Modelling: The Cutting-Edge Collection
(ed.).
London: Risk Books, 2003.
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''Random Tranches''
(with David Jones),
Risk, vol. 16
(March 2003), pp. 78-83.
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''Saddlepoint Approximation of CreditRisk+,''
Journal of Banking and
Finance, vol. 26
(July 2002), pp. 1335-53.
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''A Comparative Anatomy of Credit Risk Models,''
Journal of Banking and Finance, vol. 24
(January 2000), pp. 119-49.
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''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.
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''Computationally Convenient Distributional Assumptions for Common-Value Auctions,''
Computational Economics, vol. 12
(August 1998), pp. 61-78.
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A Generalization of Generalized Beta Distributions,
Finance and Economics Discussion Series 1998-18. Washington: Board of Governors of the Federal Reserve System, 1998.
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