Presentations by Michael Gordy

• Procyclicality in Basel II: Can We Treat the Disease Without Killing the Patient? (with Brad Howells). Keynote address at GARP Credit and Counterparty Risk Summit, New York, June 2004.
• Portfolio Credit Risk Modeling: A Regulatory Perspective on the State of the Art. Presented at Recent Advances in Credit Risk Research, NYU Stern, New York, May 2004.
• Procyclicality in Basel II: Can We Treat the Disease Without Killing the Patient? (with Brad Howells), BIS Workshop on Accounting, Transparency and Bank Stability, Basel, May 2004.
• Procyclicality in Basel II: Can We Treat the Disease Without Killing the Patient? (with Brad Howells), Deutsche Bundesbank, Frankfurt, December 2003.
• Dampening procyclicality in the Basel Accord with Counter-Cyclical Indexing (with Brad Howells). Presented at ICBI Risk Management, Geneva, December 2003.
• Random Tranches: A Simple Method for Estimating the Credit Risk Economic Capital Associated with Securitisation Exposures (with David Jones). Presented at ICBI Risk Management, Geneva, December 2003.
• Procyclicality in Economic and Regulatory Capital Requirements (with Brad Howells). Presented at Capital Allocation 2003 USA, New York, September 2003.
• Capital Treatment for Securitization Tranches, FDIC, Washington, July 2003.
• The Design and Calibration of the New Basel Capital Accord. Lecture in course on Policies for Monetary and Financial Stability, International Monetary Fund, Washington, July 2003.
• Assessing Capital for CDOs: Is a Credit Rating Sufficient as a Risk Measure? Keynote address at Investing in CDOs 2003, New York, June 2003.
• Procyclicality in Basel II: Can We Cure the Disease Without Killing the Patient?. Keynote address at Credit Risk Summit USA, New York, October 2002.
• Invited panelist on Basel II and Risk Capital Allocation forum convened by PRMIA, August 2002.
• Measurement & Modeling of Recoveries on Defaulted Debt (with Mark Carey). Presented at Risk 2002 USA, Boston, June 2002.
• The Design and Calibration of the New Basel Capital Accord: Strengths and Limitations of a Ratings-Based Approach. Keynote address of public session at HEC Montréal International Conference on Credit Risk, Montreal, April 2002.
• Estimating Default Correlations from Short Panels of Credit Rating Performance Data (with Erik Heitfield). Presented at HEC Montreal International Conference on Credit Risk, Montreal, April 2002.
• What Wags the Tail? Common Structure & Key Assumptions in Today’s Portfolio Credit Risk Models. Presented at the FRBNY Economic Capital Competency Center's Conference on Economic Capital: A Cross-Institutional Perspective, New York, January 2002.
• Calculation of Higher Moments in CreditRisk+ with Applications. Presented at the Università di Roma "La Sapienza" conference on Statistical and Computational Problems in Risk Management: VaR and beyond VaR, Rome, June 2001.
• Maturity Effects in a Class of Multi-Period Default-Mode Models (with Erik Heitfield). Presented in seminar at Banca d'Italia, Rome, June 2001.
• A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules. Presented at University of Waterloo's Centre for Advanced Studies in Finance conference on Credit Risk, Toronto, May 2001; in seminar at Banca d'Italia, Rome,June 2001; and at the Università di Roma "La Sapienza" conference on Statistical and Computational Problems in Risk Management: VaR and beyond VaR, Rome, June 2001.
• Capital Allocation by Risk-Bucketing: Implications & Pitfalls. Presented at the FRBNY Economic Capital Competency Center's Conference on Assessments of Economic Capital, New York, April 2001.
• The Design and Calibration of the New Basel Capital Accord: Strengths and Limitations of a Ratings-Based Approach. Presented at Fondo Interbancario di Tutela dei Depositi workshop on The New Basel Capital Accord: Technicalities of the Ratings-Based Bank Capital Rules, Milan, April 2001.
• Putting Economics into Economic Capital. Remarks at closing panel session of ICBI Credit, Counterparty and Default Risk Forum 2000, Paris, September 2000.
• A Theoretical Foundation and Calibration Methodology for Determining Ratings-Based Capital Rules. Presented at ICBI Credit, Counterparty and Default Risk Forum 2000, Paris, September 2000; and at the Banque de France, Paris, September 2000.
• Modeling Portfolio Credit Risk: Concepts, Choices and Challenges. Presented at the NBER conference on Measurement of Risks in Financial Markets, Cambridge, September 2000.
• Credit VaR Models and Risk-Bucket Capital Rules: A Reconciliation. Presented at the Federal Reserve Bank of Chicago Bank Structure Conference, Chicago, May 2000; and at the Seventh Annual Conference of the Chinese Finance Association, University of Maryland College Park, August 2000.
• Models for Portfolio Credit Risk Management: Understanding the Analytics, Calibration and Performance of the Leading Alternative Approaches. Presented at Risk Training seminar on Advanced Techniques for Modelling Credit Risk, New York, February 2000.
• Determining the Common Grounds and Differences Behind the Latest Industry Credit Risk Modelling Techniques. Presented at ICBI Risk Management, Geneva, November 1999.
• A Comparative Anatomy of Credit Risk Models. Presented at the Conference on Credit Risk Modelling and the Regulatory Implications, Bank of England, London, September 1998, and at the ICM Conference on Managing Economic and Regulatory Capital, New York, June 1999.
• Estimation of a Markov Model of Loan Seasoning with Aggregated Performance Data (with Robert Avery). Presented at the Society of Computational Economics, Third International Conference on Computing in Economics and Finance, Stanford University, California, July 1997.
  
• Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction.
  Presented in seminar at Ohio State University, June 1997, and at the annual meetings of the Econometrics Society, New Orleans, January 1997.
• Loan Growth, Economic Activity and Bank Performance (with Robert Avery).
  Presented at the annual meetings of the Financial Management Association, New Orleans, October 1996; and in seminar at the FDIC, Washington DC, December 1996.
• Multiple Bids in a Multiple-Unit Common Value Auction. Solving Common Value Auctions Using Genetic Algorithms (with Raymond Board). Presented at the Society of Computational Economics, Second International Conference on Computing in Economics and Finance, Geneva, June 1996.