Photo of Michael B. Gordy

Michael B. Gordy

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
  • Counterparty Risk and Counterparty Choice in the Credit Default Swap Market
    Wenxin Du, Salil Gadgil, Michael B. Gordy, and Clara Vega
    Management Science (Forthcoming)
    https://doi.org/10.1287/mnsc.2023.4870
  • 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
  • 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, February 2023
  • Associate Editor, International Journal of Central Banking, 2004-2023
  • 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
Back to Top
Last Update: December 1, 2023