Michael Gordy

Michael B. Gordy PhD, Economics, MIT, 1994 CV in PDF format

I am an economist at the Federal Reserve Board. My research interests include credit risk pricing; forecasting default and recovery; portfolio modeling; CDS market microstructure; trading book model backtesting; securitization; and simulation methods.

On this website, you can find information on my publications, working papers and teaching experience.

Affiliations and Awards

• Visiting Faculty, Bendheim Center for Finance, Princeton University, Spring 2014.
• Visiting Scholar, Indian School of Business, Hyderabad, 2006.
• Awarded Best Paper of Volume XII, Journal of Financial Intermediation.
• Quant of the Year, Risk Magazine, 2004.
• Financial Risk Manager of the Year, Global Association of Risk Professionals (GARP), 2003.
• International Advisory Board, Institute of Global Finance, Australian School of Business, 2011-present.

Editorial Positions

• Guest Editor, special issue on The Impact of Global Pandemic on Financial Markets and Institutions, Journal of Banking and Finance, 147, February 2023.
• Associate Editor, Journal of Banking and Finance, 2002-2021.
• Co-Editor-in-Chief, Journal of Credit Risk, 2016-2020.
• Associate Editor, Journal of Credit Risk, 2004-2015.
• Associate Editor, International Journal of Central Banking, 2004-2023.
• Guest Editor, special issues on "Systemic Risk: Data, Models and Metrics," Statistics and Risk Modeling, December 2016 and September 2017.
• Associate Editor, Global Credit Review, 2012-2016.

Conference Committees

• GARP Risk Convention, New York, March 2020.
• Conference on the Interconnectedness of Financial Systems, Federal Reserve Board, Washington DC, March 2019.
• Workshop on Monitoring Systemic Risk: Data, Models and Metrics, Isaac Newton Insitute for Mathematical Sciences, Cambridge University, September 2014.
• Conference on Regulation of Systemic Risk, Federal Reserve Board, Washington DC, September 2011.
• Session on Systemic Risk at Third SIAM Conference on Financial Mathematics and Engineering, San Francisco, November 2010.
• Forum on Systemic Risk and Liquidity, Fields Institute, Toronto, May 2010.
• CAF Summer Research Conference, Hyderabad, August 2006.
• Risk Magazine Quant Congress, 2006.
• Second International Conference on Credit Risk, HEC Montréal, April 2004.
• CREDIT Conference on Validation of Credit Risk Models, Venice, September, 2004.

Where else to find me?

• My research homepage at the Fed.
• SSRN
• IDEAS at RePEc
• Google Scholar
• ORCID
• ResearchGate
• Github

Disclaimer: The information and links on this page in no way express the opinions of the Board of Governors of the Federal Reserve System.

Last update: 13-Jul-2023