Zobrazeno 1 - 10
of 32
pro vyhledávání: '"Michael B. Gordy"'
Autor:
Mark Carey, Michael B. Gordy
Publikováno v:
Journal of Financial Economics. 142:1092-1108
We offer a model and evidence that private debtholders play a key role in setting the endogenous asset value threshold below which corporations declare bankruptcy. The model, in the spirit of Black and Cox (1976), implies that the recovery rate at em
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e0b058adda8081eace52547c91303e32
https://doi.org/10.1016/j.jfineco.2021.05.048
https://doi.org/10.1016/j.jfineco.2021.05.048
Autor:
Michael B. Gordy, Alexander J. McNeil
We study a class of backtests for forecast distributions in which the test statistic depends on a spectral transformation that weights exceedance events by a function of the modeled probability level. The weighting scheme is specified by a kernel mea
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8bbf83d7e2002dabeb333e804b4c0741
http://arxiv.org/abs/1708.01489
http://arxiv.org/abs/1708.01489
Publikováno v:
Mathematical Finance. 26:748-784
We develop two novel approaches to solving for the Laplace transform of a time-changed stochastic process. We discard the standard assumption that the background process () is Levy. Maintaining the assumption that the business clock () and the backgr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d21ba0f654e758dc99d9e86b3a2685bc
https://doi.org/10.1111/mafi.12082
https://doi.org/10.1111/mafi.12082
Autor:
Michael B. Gordy
Publikováno v:
J. Appl. Probab. 51, no. 4 (2014), 930-942
We derive multivariate moment generating functions for the conditional and stationary distributions of a discrete sample path of n observations of a square-root diffusion (CIR) process, X(t). For any fixed vector of observation times t 1,…,t n , we
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::05efb6e0ebb2c41fdbd5025069509d75
https://doi.org/10.1239/jap/1421763319
https://doi.org/10.1239/jap/1421763319
Autor:
James V. Marrone, Michael B. Gordy
Publikováno v:
Journal of Banking & Finance. 36:1896-1910
The impact of undiversified idiosyncratic risk on value-at-risk and expected shortfall can be approximated analytically via a methodology known as granularity adjustment (GA). In principle, the GA methodology can be applied to any risk-factor model o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::97c35b40aea2fc4238a0eb711e917b8f
https://doi.org/10.1016/j.jbankfin.2012.02.010
https://doi.org/10.1016/j.jbankfin.2012.02.010
Autor:
Søren Willemann, Michael B. Gordy
Publikováno v:
Management Science. 58:476-492
In its complexity and its vulnerability to market volatility, the constant proportion debt obligation (CPDO) might be viewed as the poster child for the excesses of financial engineering in the credit market. This paper examines the CPDO as a case st
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1e61902565a7109e2e259a83c3117603
https://doi.org/10.1287/mnsc.1110.1433
https://doi.org/10.1287/mnsc.1110.1433
Autor:
Michael B. Gordy
Publikováno v:
Finance and Economics Discussion Series. 2012:1-11
We derive the multivariate moment generating function (mgf) for the stationary distribution of a discrete sample path of n observations of a square-root diffusion (CIR) process, X(t). The form of the mgf establishes that the stationary joint distribu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ca4f53be6d6a85f7f603c5e72763ed62
https://doi.org/10.17016/feds.2012.12
https://doi.org/10.17016/feds.2012.12
Autor:
Michael B. Gordy, James Marrone
Publikováno v:
Finance and Economics Discussion Series. 2010:1-37
The impact of undiversified idiosyncratic risk on value-at-risk and expected shortfall can be approximated analytically via a methodology known as granularity adjustment (GA). In principle, the GA methodology can be applied to any risk-factor model o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4513d29029f14be8c17832bb5cd2f406
https://doi.org/10.17016/feds.2010.37
https://doi.org/10.17016/feds.2010.37
Publikováno v:
SSRN Electronic Journal.
We investigate how market participants price and manage counterparty risk in the post-crisis period using confidential trade repository data on single-name credit default swap (CDS) transactions. We find that counterparty risk has a modest impact on
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f03355eafd14f35184bd4aaf19fab937
https://doi.org/10.2139/ssrn.2845567
https://doi.org/10.2139/ssrn.2845567
Publikováno v:
The Oxford Handbook of Banking, Second Edition ISBN: 0199688508
Regulators impose minimum capital adequacy requirements on banks to mitigate moral hazard and reduce systemic risk and deadweight loss arising from bank failures. The Basel II reform to the original 1988 Basel Accord aimed to better align regulatory
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bf690c776f8fb5b0f658a52ce63f1227
https://doi.org/10.1093/oxfordhb/9780199688500.013.0023
https://doi.org/10.1093/oxfordhb/9780199688500.013.0023