Professional Experience

• • Economist

    Board of Governors of the Federal Reserve System

  • 1994 - present

• • Visiting Scholar

    Indian School of Business

  • 2006

Publications

• Gordy, Michael B. (2012). "On the Distribution of a Discrete Sample Path of a Square-Root Diffusion," Finance and Economics Discussion Series 2012-12. Board of Governors of the Federal Reserve System (U.S.).
• Gordy, Michael B., and James Marrone (Forthcoming). "Granularity Adjustment for Mark-to-Market Credit Risk Models," Journal of Banking & Finance.
• Gordy, Michael B., and Soren Willemann (Forthcoming). "Constant Proportion Debt Obligations: A Post-Mortem Analysis of Rating Models," Management Science.
• Gordy, Michael B., and Sandeep Juneja (2010). "Nested Simulation in Portfolio Risk Measurement," Management Science, vol. 56, no. 10, pp. 1833-1848.
• Gordy, Michael B., and Erik Heitfield (2010). "Small Sample Estimation of Models of Portfolio Credit Risk," in Kijima, Masaaki, Chiaki Hara, Kenichi Tanaka and Yukio Muromachi eds., Recent Advances in Financial Engineering. Singapore: World Scientific.
• Gordy, Michael B., and Erik A. Heitfield (2010). "Risk-Based Regulatory Capital and Basel II," in Berger, Allen,N., Philip Molyneux and John O. Wilson S. eds., The Oxford Handbook of Banking. Oxford and New York: Oxford University Press, pp. 357-376.
• Gordy, Michael B., and Eva Lutkebohmert (2007). "Granularity Adjustment for Basel II," Discussion Paper Series 2: Banking and Financial Studies 2007-01. Deutsche Bundesbank, Research Centre.
• Calem, Paul S., Michael B. Gordy, and Loretta J. Mester (2006). "Switching Costs and Adverse Selection in the Market for Credit Cards: New Evidence," Journal of Banking and Finance, vol. 30, no. 6, pp. 1653-1685.
• Gordy, Michael B., and Bradley Howells (2006). "Procyclicality in Basel II: Can we Treat the Disease without Killing the Patient?" Journal of Financial Intermediation, vol. 15, no. 3, pp. 395-417.
• Gordy, Michael B. (2003). "A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules," Journal of Financial Intermediation, vol. 12, no. 3, pp. 199-232.
• Gordy, Michael B., and David Jones (2003). "Random Tranches," Risk, vol. 16, no. 3, pp. 78-83.
• Gordy, Michael B. (2002). "Saddlepoint Approximation of Credit Risk," Journal of Banking and Finance, vol. 26, no. 7, pp. 1335-1353.
• Gordy, Michael B. (2000). "A Comparative Anatomy of Credit Risk Models," Journal of Banking and Finance, vol. 24, no. 1-2, pp. 119-149.
• Gordy, Michael B. (1999). "Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction," Review of Economics and Statistics, vol. 81, no. 3, pp. 448-465.
• Gordy, Michael B. (1998). "A Generalization of Generalized Beta Distributions," Finance and Economics Discussion Series 1998-18. Board of Governors of the Federal Reserve System (U.S.).
• Gordy, Michael B. (1998). "Computationally Convenient Distributional Assumptions for Common-Value Auctions," Computational Economics, vol. 12, no. 1, pp. 61-78.

Presentations

• conference

  July 2012

  Sixth Annual Risk Management Conference (National University of Singapore)

  Stochastic Time-Change of Default Intensity Models: Pricing and Estimation

• conference

  June 2012

  Annual Meeting of the Canadian Applied and Industrial Mathematics Society

  Counterparty Credit Risk and Interconnectedness in CDS Trade Repository Data

• conference

  May 2012

  Mathematics of the New Financial Systems (University of Minnesota)

  Stochastic Time-Change of Default Intensity Models: Pricing and Estimation

• conference

  May 2012

  R/Finance 2012 (University of Illinois at Chicago)

  Network Analysis in R of Derivatives Trade Repository Data

• seminar

  March 2012

  Office of the Comptroller of the Currency

  Stochastic Time-Change of Default Intensity Models: Pricing and Estimation

• conference

  March 2012

  Conference on Liquidity and Credit Risk (Universitat Freiburg)

  Stochastic Time-Change of Default Intensity Models: Pricing and Estimation

• conference

  March 2012

  McGill University 4th Risk Management Conference in Mont Tremblant

  Stochastic Time-Change of Default Intensity Models: Pricing and Estimation

• conference

  November 2011

  Global Derivatives USA

  Stochastic Volatility in Default Intensity Modeling for CDS Pricing

• conference

  October 2011

  Measuring Risk (Princeton University)

  Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models

• conference

  August 2011

  Credit Scoring and Credit Control (University of Edinburgh)

  Leaning Against the Leverage Cycle: Why and How to Implement A Countercyclical Capital Buffer

• conference

  November 2010

  Third SIAM Conference on Financial Mathematics and Engineering

  Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models

• seminar

  October 2010

  Georgia State University

  Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models

• seminar

  July 2010

  Indian School of Business

  Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models

• conference

  May 2010

  Forum on Systemic Stability and Liquidity (Fields Institute)

  Leaning Against the Leverage Cycle: Mitigating Procyclicality in Basel II

• conference

  March 2010

  CREST Workshop on Large Portfolio, Concentration and Granularity

  Taking the Granularity Adjustment to Market

• conference

  November 2009

  Workshop on Derivative Securities and Risk Management (Columbia University)

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

• conference

  October 2009

  Financial Risk, Market Complexity and Regulation (Collegium Budapest)

  First, Do No Harm: A Hippocratic Approach to Procyclicality in Basel II

• conference

  August 2009

  KIER-TMU International Workshop on Financial Engineering

  Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models

• seminar

  May 2009

  Northwestern University

  Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models

• conference

  April 2009

  MITACS Economic Summit on Systemic Risk

  First, Do No Harm: A Hippocratic Approach to Procyclicality in Basel II

• conference

  February 2009

  Conference on Procyclicality in the Financial System (De Nederlandsche Bank)

  First, Do No Harm: A Hippocratic Approach to Procyclicality in Basel II

• conference

  January 2009

  Annual Meetings of the American Mathematical Association

  A Turán Type Inequality for the Kummer Function Arising in Finance

• seminar

  September 2008

  HEC Geneve

  The Bank as Grim Reaper: Debt composition and recoveries on defaulted debt

• conference

  July 2008

  Second Annual Risk Management Conference (National University of Singapore)

  Nested Simulation in Portfolio Risk Measurement

• seminar

  June 2008

  Magyar Nemzeti Bank

  The Bank as Grim Reaper: Debt composition and recoveries on defaulted debt

• conference

  May 2008

  Caesarea Center 5th Annual Conference

  The Bank as Grim Reaper: Debt composition and recoveries on defaulted debt

• seminar

  April 2008

  Queen's University School of Business

  The Bank as Grim Reaper: Debt composition and recoveries on defaulted debt

• seminar

  April 2008

  Fields Institute

  Nested Simulation in Portfolio Risk Measurement

• conference

  April 2008

  18th Annual Derivatives Securities & Risk Management Conference (FDIC)

  Nested Simulation in Portfolio Risk Measurement

• conference

  February 2008

  RiskLab-Madrid Meeting on Financial Risks

  The Bank as Grim Reaper: Debt composition and recoveries on defaulted debt

• seminar

  January 2008

  National University of Singapore

  The Bank as Grim Reaper: Debt composition and recoveries on defaulted debt

• conference

  October 2007

  Conference on Credit Risk (University of Chicago)

  The Bank as Grim Reaper: Debt composition and recoveries on defaulted debt

Other Activities