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Credit Contagion and Aggregate Losses

Weber, Stefan; Giesecke, Kay - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005537789

Corporate bond default risk : a 150-year perspective

Giesecke, Kay; Longstaff, Francis A.; Schaefer, Stephen M. - 2010

Persistent link: https://www.econbiz.de/10003952425

Premia for correlated default risk

Azizpour, Shahriar; Giesecke, Kay; Kim, Baeho - In: Journal of economic dynamics & control 35 (2011) 8, pp. 1340-1357

Persistent link: https://www.econbiz.de/10009241405

Corporate bond default risk : a 150-year perspective

Giesecke, Kay; Longstaff, Francis A.; Schaefer, Stephen M. - In: Journal of financial economics 102 (2011) 2, pp. 233-250

Persistent link: https://www.econbiz.de/10009310776

Giesecke, Kay - 2001

We propose a model of correlated multi-firm default with incomplete information. While public bond investors observe issuers' assets and defaults, we suppose that they are not informed about the threshold asset level at which a firm is liquidated. Bond investors form instead a prior on these...

Persistent link: https://www.econbiz.de/10009621426