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Giesecke, Kay - 2018

, initial capital, position limits, and other trading constraints that credit swap investors often face in practice. The multi … portfolios. In particular, we find that credit swap investment constraints can have a significant impact on optimal portfolios …

Persistent link: https://www.econbiz.de/10012940733

Optimal credit swap portfolios

Giesecke, Kay; Kim, Baeho; Kim, Jack; Tsoukalas, Gerry - In: Management science : journal of the Institute for … 60 (2014) 9, pp. 2291-2307

Persistent link: https://www.econbiz.de/10010461900

Giesecke, Kay - 2001

Persistent link: https://www.econbiz.de/10001646775

Giesecke, Kay (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001639703

Cyclical correlations, credit contagion, and portfolio losses

Giesecke, Kay (contributor); Weber, Stefan (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919109

Cyclical correlations, credit contagion, and portfolio losses

Giesecke, Kay; Weber, Stefan - In: Journal of banking & finance 28 (2004) 12, pp. 3009-3036

Persistent link: https://www.econbiz.de/10002410735

Portfolio credit risk : top-down versus bottom-up approaches

Giesecke, Kay - In: Frontiers in quantitative finance : volatility and …, (pp. 251-267). 2009

Persistent link: https://www.econbiz.de/10003787607

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

Credit risk modeling

Backshall, Tim; Giesecke, Kay; Goldberg, Lisa - In: The handbook of fixed income securities, (pp. 779-798). 2005

Persistent link: https://www.econbiz.de/10003054846

Large-Scale Loan Portfolio Selection

Sirignano, Justin - 2020

We consider the problem of optimally selecting a large portfolio of risky loans, such as mortgages, credit cards, auto loans, student loans, or business loans. Examples include loan portfolios held by financial institutions and fixed-income investors as well as pools of loans backing mortgage-...

Persistent link: https://www.econbiz.de/10012856103