The Fed - Michael B. Gordy

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Michael B. Gordy

Chief Risk Analysis Section Research and Statistics

202-452-3705
[email protected]

Education

Ph.D., Economics, Massachusetts Institute of Technology, 1994
B.A., Mathematics & Philosophy, Yale University, 1985

Current Research Topics

Counterparty Credit Risk in OTC Markets
Backtesting of forecast models

Section Chief
Board of Governors of the Federal Reserve System
2020 - present
Principal Economist
Board of Governors of the Federal Reserve System
2015 - 2020
Senior Economist
Board of Governors of the Federal Reserve System
2002 - 2015
Visiting Faculty
Princeton University
2014
Visiting Scholar
Indian School of Business
2006
Economist
Board of Governors of the Federal Reserve System
1994 - 2002

The Bank as Grim Reaper: Debt Composition and Bankruptcy Thresholds
Mark Carey and Michael B. Gordy
Journal of Financial Economics (2021)
https://doi.org/10.1016/j.jfineco.2021.05.048
Spectral Backtests of Forecast Distributions with Application to Risk Management
Michael B. Gordy and Alexander J. McNeil
Journal of Banking & Finance (2020)
https://doi.org/10.1016/j.jbankfin.2020.105817
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market
Wenxin Du, Salil Gadgil, Michael B. Gordy, and Clara Vega
Finance and Economics Discussion Series (2016)
https://doi.org/10.17016/FEDS.2016.087
Expectations of Functions of Stochastic Time with Application to Credit Risk Modeling
Ovidiu Costin, Michael B. Gordy, Min Huang, and Pawel J. Szerszen
Mathematical Finance (2016)
https://doi.org/10.1111/mafi.12082
Risk-Based Regulatory Capital and the Basel Accords
Michael Gordy, Erik Heitfield, and Jason J. Wu
Oxford Handbook of Banking (2015)
https://doi.org/10.1093/oxfordhb/9780199688500.013.0023
Bayesian Estimation of Time-Changed Default Intensity Models
Michael B. Gordy and Pawel J. Szerszen
Finance and Economics Discussion Series (2015)
https://doi.org/10.17016/FEDS.2015.002
Finite-dimensional Distributions of a Square-root Diffusion
Michael B. Gordy
Journal of Applied Probability (2014)
Granularity Adjustment for Regulatory Capital Assessment
Michael B. Gordy and Eva Luetkebohmert
International Journal of Central Banking (2013)
Granularity Adjustment for Mark-to-Market Credit Risk Models
Michael B. Gordy and James Marrone
Journal of Banking & Finance (2012)
https://doi.org/10.1016/j.jbankfin.2012.02.010
On the Distribution of a Discrete Sample Path of a Square-Root Diffusion
Michael B. Gordy
Finance and Economics Discussion Series (2012)
https://doi.org/10.17016/FEDS.2012.12
Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models
Michael B. Gordy and Soren Willemann
Management Science (2012)
https://doi.org/10.1287/mnsc.1110.1433
Small Sample Estimation of Models of Portfolio Credit Risk
Michael B. Gordy and Erik Heitfield
Recent Advances in Financial Engineering (2010)
Nested Simulation in Portfolio Risk Measurement
Michael B. Gordy and Sandeep Juneja
Management Science (2010)
https://doi.org/10.1287/mnsc.1100.1213
A Note on Turán Type and Mean Inequalities for the Kummer Function
Roger W. Barnard, Michael B. Gordy, and Kendall C. Richards
Journal of Mathematical Analysis and Applications (2009)
https://doi.org/10.1016/j.jmaa.2008.08.024
Procyclicality in Basel II: Can We Treat the Disease without Killing the Patient?
Michael B. Gordy and Bradley Howells
Journal of Financial Intermediation (2006)
https://doi.org/10.1016/j.jfi.2005.12.002
Switching Costs and Adverse Selection in the Market for Credit Cards: New Evidence
Paul S. Calem, Michael B. Gordy, and Loretta J. Mester
Journal of Banking & Finance (2006)
https://doi.org/10.1016/j.jbankfin.2005.09.012
A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules
Michael B. Gordy
Journal of Financial Intermediation (2003)
https://doi.org/10.1016/S1042-9573(03)00040-8
Random Tranches
Michael B. Gordy and David Jones
Risk (2003)
Saddlepoint Approximation of Credit Risk
Michael B. Gordy
Journal of Banking & Finance (2002)
https://doi.org/10.1016/S0378-4266(02)00266-2
A Comparative Anatomy of Credit Risk Models
Michael B. Gordy
Journal of Banking & Finance (2000)
https://doi.org/10.1016/S0378-4266(99)00054-0
Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction
Michael B. Gordy
Review of Economics and Statistics (1999)
https://doi.org/10.1162/003465399558373
A Generalization of Generalized Beta Distributions
Michael B. Gordy
Finance and Economics Discussion Series (1998)
https://doi.org/10.17016/FEDS.1998.18
Computationally Convenient Distributional Assumptions for Common-Value Auctions
Michael B. Gordy
Computational Economics (1998)
https://doi.org/10.1023/A:1008645531911

seminar
October 2018
Bank for International Settlements
Spectral Backtests of Forecast Distributions with Application to Risk Management
seminar
October 2018
Bank of Finland
Spectral Backtests of Forecast Distributions with Application to Risk Management
seminar
June 2018
Oesterreichische Nationalbank
Spectral Backtests of Forecast Distributions with Application to Risk Management
conference
September 2017
Risk Measurement and Regulatory Issues in Business (University of Montreal)
Spectral Backtests of Forecast Distributions with Application to Risk Management
conference
June 2017
International Risk Management Conference 2017 (University of Florence)
Spectral Backtests of Forecast Distributions with Application to Risk Management
conference
March 2016
Mont Tremblant 6th Risk Management Conference
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market
conference
August 2015
International Congress on Industrial and Applied Mathematics (Beijing)
Multiname Default Models under Stochastic Time-Change
seminar
August 2015
Hong Kong University of Science and Technology
Stochastic Time-Change of Default Intensity Models: Pricing and Estimation
seminar
May 2015
Lehigh University
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market
conference
April 2015
Colloquium of the Scottish Financial Risk Academy
Agency Ratings in Risk Management Applications
conference
March 2015
Systemic Risk and Financial Networks (UCLA)
Multiname Default Models under Stochastic Time-Change
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 Tur¡n 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

March 2020 | New York, NY
GARP Annual Convention
Executive Advisory Council
March 2019 | Washington, DC
Conference on the Interconnectedness of Financial Systems
Program Committee
September 2014 | Cambridge, UK
Monitoring Systemic Risk: Data, Models and Metrics
Program Committee
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, 2002-2021
Guest Editor, special issue on "The Impact of Global Pandemic on Financial Markets and Institutions," Journal of Banking & Finance, in progress
Associate Editor, International Journal of Central Banking, 2004-present
Co-Editor-in-Chief, Journal of Credit Risk, 2016-2020
Associate Editor, Journal of Credit Risk, 2004-2015

Guest Editor, special issues on "Systemic Risk: Data, Models and Metrics," Statistics & Risk Modeling, December 2016 and September 2017
Editorial Board, Global Credit Review, 2012-2016

Referee

American Economic Review
Annals of Operations Research
Communications in Statistics -- Simulation & Computation
Journal of Economic Dynamics and Control
Journal of Finance
Journal of Financial Intermediation
Journal of Money, Credit, and Banking
Journal of the American Statistical Association
Management Science

Operations Research
Quarterly Journal of Economics
Quantitative Finance
Review of Economics and Statistics
Review of Finance
Review of Financial Studies
Stochastic Systems

Professional Affiliation

International Advisory Board, Institute of Global Finance, Australian School of Business, 2011-present

Last update: June 30, 2022

Meet the Economists

Michael B. Gordy

Education

Section Chief

Principal Economist

Senior Economist

Visiting Faculty

Visiting Scholar

Economist

Awards

Conference Organization

Editor

Referee

Professional Affiliation