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Credit contagion and aggregate losses
Giesecke, Kay; Weber, Stefan - In: Journal of economic dynamics & control 30 (2006) 5, pp. 741-767
Persistent link: https://www.econbiz.de/10003317075
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Corporate bond default risk : a 150-year perspective
Giesecke, Kay; Longstaff, Francis A.; Schaefer, Stephen M. - 2010
Persistent link: https://www.econbiz.de/10003952425
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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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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
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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
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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
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Large portfolio asymptotics for loss from default
Giesecke, Kay; Spiliopoulos, Konstantinos; Sowers, R. B.; … - In: Mathematical finance : an international journal of … 25 (2015) 1, pp. 77-114
Persistent link: https://www.econbiz.de/10011347245
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Credit contagion and aggregate losses
Giesecke, Kay; Weber, Stefan - 2002
Credit contagion refers to the propagation of economic distress from one firm or sovereign government to another. In this paper we model credit contagion phenomena and study the fluctuation of aggregate credit losses on large portfolios of financial positions. The joint dynamics of firms' credit...
Persistent link: https://www.econbiz.de/10009627288
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Macroeconomic effects of corporate default crisis: A long-term perspective
Giesecke, Kay; Longstaff, Francis A.; Schaefer, Stephen M. - In: Journal of financial economics 111 (2014) 2, pp. 297-310
Persistent link: https://www.econbiz.de/10010255519
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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