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Large-scale loan portfolio selection
Sirignano, Justin A.; Tsoukalas, Gerry; Giesecke, Kay - In: Operations research 64 (2016) 6, pp. 1239-1255
Persistent link: https://www.econbiz.de/10011620636
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Sequential importance sampling and resampling for dynamic portfolio credit risk
Deng, Shaojie; Giesecke, Kay; Lai, Tze Leung - In: Operations research 60 (2012) 1, pp. 78-91
Persistent link: https://www.econbiz.de/10009532668
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Exact simulation of point processes with stochastic intensities
Giesecke, Kay; Kakavand, H.; Mousavi, M. - In: Operations research 59 (2011) 5, pp. 1233-1245
Persistent link: https://www.econbiz.de/10010217834