Michael S. Gibson

Board of Governors of the Federal Reserve System

Director, Division of Supervision and Regulation

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

16

DOWNLOADS
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Top 2,164

in Total Papers Downloads

19,493

SSRN CITATIONS
Rank 5,623

SSRN RANKINGS

Top 5,623

in Total Papers Citations

131

CROSSREF CITATIONS

110

Scholarly Papers (16)

Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities

FEDS Working Paper No. 2004-56, AFA 2006 Boston Meetings Paper, Journal of Econometrics, Forthcoming
Number of pages: 31 Posted: 25 Jan 2005 Last Revised: 13 Mar 2009
Tim Bollerslev, Michael S. Gibson and Hao Zhou
Duke University - Finance, Board of Governors of the Federal Reserve System and SUSTech Business School
Downloads 2,416 (6,999)
Citation 5

Abstract:

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Stochastic Volatility Risk Premium, Model-Free Implied Volatility, Model-Free Realized Volatility, Black-Scholes, GMM Estimation, Return Predictability

Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities

CREATES Research Paper 2007-16
Number of pages: 48 Posted: 23 Jun 2008 Last Revised: 25 Sep 2009
Tim Bollerslev, Michael S. Gibson and Hao Zhou
Duke University - Finance, Board of Governors of the Federal Reserve System and SUSTech Business School
Downloads 355 (104,675)
Citation 101

Abstract:

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Stochastic Volatility Risk Premium, Model-Free Implied Volatility, Model-Free Realized Volatility, Black-Scholes, GMM Estimation, Return Predictability

2.

Understanding the Risk of Synthetic Cdos

Number of pages: 29 Posted: 28 Sep 2004
Michael S. Gibson
Board of Governors of the Federal Reserve System
Downloads 2,643 (6,174)
Citation 44

Abstract:

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Credit derivatives, credit risk, collateralized debt obligation

3.

Is Corporate Governance Ineffective in Emerging Markets?

Number of pages: 42 Posted: 17 Apr 2000
Michael S. Gibson
Board of Governors of the Federal Reserve System
Downloads 2,550 (6,544)
Citation 12

Abstract:

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Management Turnover, Performance, Ownership Concentration

4.

Credit Derivatives and Risk Management

FEDS Working Paper No. 2007-47
Number of pages: 23 Posted: 29 Nov 2007
Michael S. Gibson
Board of Governors of the Federal Reserve System
Downloads 2,425 (7,090)
Citation 8

Abstract:

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Credit risk, credit index tranches, counterparty risk, rating agencies, model risk

5.

The Implications of Risk Management Information Systems for the Organization of Financial Firms

Number of pages: 18 Posted: 16 Feb 1999
Michael S. Gibson
Board of Governors of the Federal Reserve System
Downloads 2,239 (8,064)
Citation 2

Abstract:

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6.

'Big Bang' Deregulation and Japanese Corporate Governance: A Survey of the Issues

Number of pages: 35 Posted: 16 Oct 1998
Michael S. Gibson
Board of Governors of the Federal Reserve System
Downloads 1,481 (15,650)
Citation 8

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7.

Information Systems for Risk Management

Number of pages: 29 Posted: 14 Jun 2000
Michael S. Gibson
Board of Governors of the Federal Reserve System
Downloads 1,370 (17,653)
Citation 2

Abstract:

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8.

Measuring Counterparty Credit Exposure to a Margined Counterparty

FEDs Working Paper No. 2005-50
Number of pages: 18 Posted: 05 Jan 2006
Michael S. Gibson
Board of Governors of the Federal Reserve System
Downloads 1,287 (19,325)
Citation 8

Abstract:

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Counterparty risk, collateral, margin, derivatives

9.

Incorporating Event Risk into Value-at-Risk

Number of pages: 36 Posted: 04 May 2001
Michael S. Gibson
Board of Governors of the Federal Reserve System
Downloads 930 (31,141)
Citation 7

Abstract:

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Specific risk, market risk, jump risk, jump diffusion, default risk

10.

An International Survey of Stress Tests

Number of pages: 6 Posted: 26 Apr 2005
Patricia C. Mosser, Ingo Fender and Michael S. Gibson
Federal Reserve Banks - Federal Reserve Bank of New York, Bank for International Settlements (BIS) and Board of Governors of the Federal Reserve System
Downloads 789 (39,069)
Citation 2

Abstract:

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risk management, stress test scenarios, G-10 central banks

11.

Improving Grid-Based Methods for Estimating Value at Risk of Fixed-Income Portfolios

Board of Governors of the Federal Reserve System, Finance and Economics Working Paper No. 25, 2000
Number of pages: 30 Posted: 02 Oct 2001
Michael S. Gibson and Matt Pritsker
Board of Governors of the Federal Reserve System and Federal Reserve Bank of Boston
Downloads 579 (58,736)
Citation 5

Abstract:

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Scenario simulation, principal components, partial least squares, Monte Carlo

12.

Stress Testing in Practice: A Survey of 43 Major Financial Institutions

BIS Quarterly Review June 2001
Number of pages: 5 Posted: 17 Apr 2012
Ingo Fender and Michael S. Gibson
Bank for International Settlements (BIS) and Board of Governors of the Federal Reserve System
Downloads 429 (84,840)
Citation 1

Abstract:

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banks, stress testing

13.

Can Bank Health Affect Investment? Evidence from Japan

Posted: 26 Oct 1999
Michael S. Gibson
Board of Governors of the Federal Reserve System

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14.

Evaluating Forecasts of Correlation Using Option Pricing

Posted: 15 Feb 1998
Michael S. Gibson and Brian H. Boyer
Board of Governors of the Federal Reserve System and Brigham Young University - J. Willard and Alice S. Marriott School of Management

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15.

Pitfalls in Tests for Changes in Correlations

Posted: 10 Feb 1998
Brian H. Boyer, Michael S. Gibson and Mico Loretan
Brigham Young University - J. Willard and Alice S. Marriott School of Management, Board of Governors of the Federal Reserve System and Swiss National Bank

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16.

Regulation and the Cost of Capital in Japan: A Case Study

Posted: 07 Oct 1996
John Ammer and Michael S. Gibson
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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