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Kay Giesecke
Kay Giesecke
Professor of Management Science and Engineering, Stanford University
Bestätigte E-Mail-Adresse bei stanford.edu - Startseite
Titel
Zitiert von
Zitiert von
Jahr
Affine point processes and portfolio credit risk
E Errais, K Giesecke, LR Goldberg
SIAM Journal on Financial Mathematics 1 (1), 642-665, 2010
550*2010
Credit risk modeling and valuation: An introduction
K Giesecke
Credit Risk: Models and Management,Vol. 2, D. Shimko (Ed.), Risk Books, 2004, 2004
4672004
Corporate bond default risk: A 150-year perspective
K Giesecke, FA Longstaff, S Schaefer, I Strebulaev
Journal of financial Economics 102 (2), 233-250, 2011
4602011
Correlated default with incomplete information
K Giesecke
Journal of Banking & Finance 28 (7), 1521-1545, 2004
4122004
Exploring the sources of default clustering
S Azizpour, K Giesecke, G Schwenkler
Journal of Financial Economics, 2016
385*2016
Cyclical correlations, credit contagion, and portfolio losses
K Giesecke, S Weber
Journal of Banking & Finance 28 (12), 3009-3036, 2004
3122004
Default and information
K Giesecke
Journal of Economic Dynamics and Control 30 (11), 2281-2303, 2006
3042006
Deep learning for mortgage risk
A Sadhwani, K Giesecke, J Sirignano
Journal of Financial Econometrics 19 (2), 313-368, 2021
2952021
Credit contagion and aggregate losses
K Giesecke, S Weber
Journal of Economic Dynamics and Control 30 (5), 741-767, 2006
2662006
A top-down approach to multiname credit
K Giesecke, LR Goldberg, X Ding
Operations Research 59 (2), 283-300, 2011
2382011
Systemic risk: What defaults are telling us
K Giesecke, B Kim
Management science 57 (8), 1387-1405, 2011
2092011
A simple exponential model for dependent defaults
K Giesecke
Journal of Fixed Income 13 (3), 74-83, 2003
1952003
Forecasting default in the face of uncertainty
K Giesecke, LR Goldberg
The Journal of Derivatives 12 (1), 11-25, 2004
1552004
Method and apparatus for an incomplete information model of credit risk
LR Goldberg, K Giesecke
US Patent 7,536,329, 2009
1442009
Assessing the systemic implications of financial linkages
JA Chan-Lau, M Espinosa, K Giesecke, JA Solé
Global Financial Stability Report, International Monetary Fund, 2009, 2009
1432009
Sequential defaults and incomplete information
K Giesecke, LR Goldberg
Journal of Risk 7, 1-26, 2004
127*2004
Macroeconomic effects of corporate default crisis: A long-term perspective
K Giesecke, FA Longstaff, S Schaefer, IA Strebulaev
Journal of Financial Economics 111 (2), 297-310, 2014
1192014
Significance tests for neural networks
E Horel, K Giesecke
Journal of Machine Learning Research 21 (227), 1-29, 2020
1032020
Premia for correlated default risk
S Azizpour, K Giesecke, B Kim
Journal of Economic Dynamics and Control 35 (8), 1340-1357, 2011
922011
Default clustering in large portfolios: typical events
K Giesecke, K Spiliopoulos, R Sowers
The Annals of Applied Probability,23(1), 348-385, 2013, 2011
922011
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