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Photo of Michael B. Gordy

Michael B. Gordy

Senior Economist

Risk Analysis Section

Research and Statistics

202-452-3705
michael.gordy@frb.gov
Education
  • Ph.D., Economics, Massachusetts Institute of Technology, 1994
  • B.A., Mathematics & Philosophy, Yale University, 1985
  • Current Research Topics

  • Stochastic Volatility in Credit Spreads
  • Counterparty Credit Risk in OTC Markets
    • Economist

      Board of Governors of the Federal Reserve System

    • 1994 - present
    • Visiting Faculty

      Princeton University

    • 2014
    • Visiting Scholar

      Indian School of Business

    • 2006
  • Gordy, Michael B., and Eva Luetkebohmert (2013). "Granularity Adjustment for Regulatory Capital Assessment," International Journal of Central Banking, vol. 9, no. 3, pp. 33-71.
  • Costin, Ovidiu, Michael B. Gordy, Min Huang, and Pawel J. Szerszen (2013). "Expectations of Functions of Stochastic Time with Application to Credit Risk Modeling," Finance and Economics Discussion Series 2013-14. Board of Governors of the Federal Reserve System (U.S.).
  • Gordy, Michael B., and James Marrone (2012). "Granularity Adjustment for Mark-to-Market Credit Risk Models," Journal of Banking & Finance, vol. 36, no. 7, pp. 1896-1910.
  • Gordy, Michael B., and Soren Willemann (2012). "Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models," Management Science, vol. 58, no. 3, pp. 476-492.
  • 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 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.
  • Barnard, Roger W., Michael B. Gordy, and Kendall C. Richards (2009). "A Note on Turán Type and Mean Inequalities for the Kummer Function," Journal of Mathematical Analysis and Applications, vol. 349, no. 1, pp. 259-263.
  • 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.
  • 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. (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.
  • 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

Awards

  • 2004

    Risk Magazine

    Quant of the Year

  • 2003

    Global Association of Risk Professionals

    Financial Risk Manager of the Year

  • 2003

    Journal of Financial Intermediation

    Best Paper Prize for Volume XII

Conference Organization

  • September 2011 Washington, DC

    Conference on Regulation of Systemic Risk

    Organizing and Program Committees

  • November 2010 San Francisco, CA

    Third SIAM Conference on Financial Mathematics and Engineering

    Session Organizer and Chair

  • May 2010 Toronto, Canada

    Forum on Systemic Risk and Liquidity

    Program Committee

  • August 2006 Hyderabad, India

    CAF Summer Research Conference

    Program Committee

  • November 2005 Eltville, Germany

    Concentration Risk in Credit Portfolios

    Program Committee

  • September 2004 Venice, Italy

    C.R.E.D.I.T: Valuation of Credit Risk Models

    Program Committee

  • April 2004 Montreal, Canada

    HEC Montreal Second International Conference on Credit Risk

    Program Committee

Editor

  • Associate Editor, Journal of Banking and Finance, 2002-present
  • Associate Editor, International Journal of Central Banking, 2004-present
  • Associate Editor, Journal of Credit Risk, 2004-present
  • Editorial Board, Global Credit Review, 2012-present

Referee

  • American Economic Review
  • Annals of Operations Research
  • Communications in Statistics -- Simulation & Computation
  • Journal of Banking and Finance
  • Journal of Computational Finance
  • Journal of Credit Risk
  • Journal of Economic Dynamics and Control
  • Journal of Economics and Business
  • Journal of Empirical Finance
  • Journal of Finance
  • Journal of Financial Intermediation
  • Journal of Money, Credit, and Banking
  • Journal of Risk
  • Journal of the American Statistical Association
  • International Journal of Central Banking
  • Management Science
  • Operations Research
  • Quarterly Journal of Economics
  • Quantitative Finance
  • Review of Economics and Statistics
  • Review of Finance
  • Review of Financial Studies
  • Risk
  • Stochastic Systems

Professional Affiliation

  • International Advisory Board, Institute of Global Finance, Australian School of Business, 2011-present
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Last update: September 22, 2014