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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

Monte Carlo algorithms for default timing problems

Giesecke, Kay; Kim, Baeho; Zhu, Shilin - In: Management science : journal of the Institute for … 57 (2011) 12, pp. 2115-2129

Persistent link: https://www.econbiz.de/10009428275

Systemic risk : what defaults are telling us

Giesecke, Kay; Kim, Baeho - In: Management science : journal of the Institute for … 57 (2011) 8, pp. 1387-1405

Persistent link: https://www.econbiz.de/10009297011

Optimal Credit Swap Portfolios

Giesecke, Kay - 2018

This paper formulates and solves the selection problem for a portfolio of credit swaps. The problem is cast as a goal program that entails a constrained optimization of preference-weighted moments of the portfolio value at the investment horizon. The portfolio value takes account of the exact...

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

Dynamic portfolio execution

Tsoukalas, Gerry; Wang, Jiang; Giesecke, Kay - In: Management science : journal of the Institute for … 65 (2019) 5, pp. 2015-2040

Persistent link: https://www.econbiz.de/10012039722

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

Systematic cyclicality of systemic bubbles : evidence from the U.S. commercial banking system

Kim, Myeong Hyeon; Kim, Baeho - In: Journal of macroeconomics 42 (2014), pp. 281-297

Persistent link: https://www.econbiz.de/10011286611

Liquidity and credit risk before and after the global financial crisis : evidence from the Korean corporate bond market

Shin, Dongheon; Kim, Baeho - In: Pacific-Basin finance journal 33 (2015), pp. 38-61

Persistent link: https://www.econbiz.de/10011474048

Default probabilities of privately held firms

Duan, Jin-Chuan; Kim, Baeho; Kim, Woojin; Shin, Donghwa - In: Journal of banking & finance 94 (2018), pp. 235-250

Persistent link: https://www.econbiz.de/10011966607

Default clustering risk premium and its cross-market asset pricing implications

Byun, Kiwoong; Kim, Baeho; Oh, Dong Hwan - 2023

Persistent link: https://www.econbiz.de/10014377671

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