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TheEconomists

Photo of Michael S. Gibson
202-452-2495
michael.s.gibson@frb.gov
Education
  • Ph.D., Economics, Massachusetts Institute of Technology, 1993
  • A.B., Economics, with honors in Humanities, Stanford University, 1988
    • Economist

      Board of Governors of the Federal Reserve System

    • 1992 - present
    • Visiting Assistant Professor of Business Economics

      Booth School of Business, University of Chicago

    • 1993 - 1995
    • Visiting Lecturer

      Princeton University Bendheim Center for Finance

    • 2010
  • Bollerslev, Tim, Michael Gibson, and Hao Zhou (2011). "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," Journal of Econometrics, vol. 160, no. 1, pp. 235-245.
  • Gibson, Michael S. (2007). "Credit Derivatives and Risk Management," Federal Reserve Bank of Atlanta Economic Review, vol. 92, no. 4, pp. 25-41.
  • Gibson, Michael (2005). "Measuring Counterparty Credit Exposure to a Margined Counterparty," in Pykhtin, Michael ed., Counterparty Credit Risk Modelling. London: Risk Books, pp. 49-64.
  • Gibson, Michael S. (2005). "Understanding the Risk of Synthetic CDOs," ICFAI Journal of Risk and Insurance, vol. 2, no. 4, pp. 21-43.
  • Gibson, Michael S. (2003). "Is Corporate Governance Ineffective in Emerging Markets?" Journal of Financial and Quantitative Analysis, vol. 38, no. 1, pp. 231-250.
  • Fender, Ingo, and Michael S. Gibson (2001). "Stress Testing in Practice: A Survey of 43 Major Financial Institutions," BIS Quarterly Review, June, pp. 58-62.
  • Gibson, Michael S. (2001). "Incorporating Event Risk into Value-at-Risk," Finance and Economics Discussion Series 2001-17. Board of Governors of the Federal Reserve System (U.S.).
  • Gibson, Michael S. (2000). "Big Bang Deregulation and Japanese Corporate Governance: A Survey of the Issues," in Hoshi, Takeo, Hugh Patrick eds., Crisis and Change in the Japanese Financial System. Boston; Dordrecht and London: Kluwer Academic, pp. 291-314.
  • Gibson, Michael S., and Matthew Pritsker (2000). "Improving Grid-Based Methods for Estimating Value-at-Risk of Fixed-Income Portfolios," Journal of Risk, vol. 3, no. 2, pp. 65-89.
  • Gibson, Michael S. (1998). "The Implications of Risk Management Information Systems for the Organization of Financial Firms," International Finance Discussion Papers 632. Board of Governors of the Federal Reserve System (U.S.).
  • Gibson, Michael S., and Brian H. Boyer (1998). "Evaluating Forecasts of Correlation using Option Pricing," The Journal of Derivatives, vol. 6, no. 2, pp. 18-38.
  • Boyer, Brian H., Michael S. Gibson, and Mico Loretan (1997). "Pitfalls in Tests for Changes in Correlations," International Finance Discussion Papers 597. Board of Governors of the Federal Reserve System (U.S.).
  • Gibson, Michael S. (1997). "Information Systems for Risk Management," International Finance Discussion Papers 585. Board of Governors of the Federal Reserve System (U.S.).
  • Gibson, Michael S. (1997). "More Evidence on the Link between Bank Health and Investment in Japan," Journal of the Japanese and International Economies, vol. 11, no. 3, pp. 296-310.
  • Gibson, Michael S. (1997). "The Bank Lending Channel of Monetary Policy Transmission: Evidence from a Model of Bank Behavior that Incorporates Long-Term Customer Relationships," International Finance Discussion Papers 584. Board of Governors of the Federal Reserve System (U.S.).
  • Ammer, John, and Michael S. Gibson (1996). "Regulation and the Cost of Capital in Japan: A Case Study," International Finance Discussion Papers 556. Board of Governors of the Federal Reserve System (U.S.).
  • Gibson, Michael S. (1995). "Can Bank Health Affect Investment? Evidence from Japan," Journal of Business, vol. 68, no. 3, pp. 281-308.
  • Gibson, Michael S. (1993). "Long-Term Banking Relationships in General Equilibrium," International Finance Discussion Papers 452. Board of Governors of the Federal Reserve System (U.S.).
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Last update: December 9, 2013