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Kay Giesecke · Study
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Author
Kay Giesecke
34 works
· latest 2020
· 3 institutions
cluster: provisional
ORCID 0000-0002-5380-2918
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34
Citations
3,856
Works here
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Most cited in this library
Affine Point Processes and Portfolio Credit Risk
2010 · 373 citations
Corporate bond default risk: A 150-year perspective
2011 · 311 citations
Correlated default with incomplete information
2003 · 256 citations
Exploring the sources of default clustering
2018 · 243 citations
Default and information
2005 · 195 citations
Works
34 shown
Deep Learning for Mortgage Risk*
Journal of Financial Econometrics
·
2020
·
3 authors
105
citations
Exploring the sources of default clustering
Journal of Financial Economics
·
2018
·
3 authors
·
Open access
243
citations
Risk Analysis for Large Pools of Loans
Management Science
·
2018
·
2 authors
·
Open access
47
citations
Deep Learning for Mortgage Risk
SSRN Electronic Journal
·
2018
·
3 authors
·
preprint
·
Open access
125
citations
Dynamic Portfolio Execution
Management Science
·
2017
·
3 authors
42
citations
Inference for Large Financial Systems
Mathematical Finance
·
2017
·
3 authors
·
Open access
32
citations
Fluctuation analysis for the loss from default
Stochastic Processes and their Applications
·
2014
·
3 authors
·
Open access
37
citations
Macroeconomic effects of corporate default crisis: A long-term perspective
Journal of Financial Economics
·
2013
·
4 authors
77
citations
Exact Sampling of Jump Diffusions
Operations Research
·
2013
·
2 authors
48
citations
Default clustering in large portfolios: Typical events
The Annals of Applied Probability
·
2013
·
3 authors
·
Open access
77
citations
LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT
Mathematical Finance
·
2012
·
4 authors
·
Open access
70
citations
Corporate bond default risk: A 150-year perspective
Journal of Financial Economics
·
2011
·
4 authors
311
citations
Premia for correlated default risk
Journal of Economic Dynamics and Control
·
2011
·
3 authors
58
citations
Exact Sampling of Jump-Diffusions
SSRN Electronic Journal
·
2011
·
2 authors
·
preprint
·
Open access
29
citations
Risk Analysis of Collateralized Debt Obligations
Operations Research
·
2010
·
2 authors
·
Open access
45
citations
A Top-Down Approach to Multiname Credit
Operations Research
·
2010
·
3 authors
70
citations
Corporate Bond Default Risk: A 150-Year Perspective
National Bureau of Economic Research
·
2010
·
4 authors
·
report
·
Open access
175
citations
Affine Point Processes and Portfolio Credit Risk
SIAM Journal on Financial Mathematics
·
2010
·
3 authors
·
Open access
373
citations
Assessing the Systemic Implications of Financial Linkages
SSRN Electronic Journal
·
2009
·
4 authors
·
preprint
·
Open access
104
citations
Time-Changed Birth Processes and Multiname Credit Derivatives
Operations Research
·
2009
·
3 authors
66
citations
Systemic Risk: What Defaults Are Telling Us
Management Science
·
2009
·
2 authors
·
Open access
148
citations
Pricing Credit from the Top Down with Affine Point Processes
Chapman & Hall/CRC handbooks of modern statistical methods
·
2007
·
3 authors
·
chapter
63
citations
Default and information
Journal of Economic Dynamics and Control
·
2005
·
1 author
·
Open access
195
citations
Credit contagion and aggregate losses
Journal of Economic Dynamics and Control
·
2005
·
2 authors
·
Open access
172
citations
A Top-Down Approach to Multi-Name Credit
SSRN Electronic Journal
·
2005
·
3 authors
·
preprint
·
Open access
139
citations
Sequential defaults and incomplete information
The Journal of Risk
·
2004
·
2 authors
56
citations
Forecasting Default in the Face of Uncertainty
The Journal of Derivatives
·
2004
·
2 authors
88
citations
Cyclical correlations, credit contagion, and portfolio losses
Journal of Banking & Finance
·
2004
·
2 authors
·
Open access
190
citations
A Simple Exponential Model for Dependent Defaults
The Journal of Fixed Income
·
2003
·
1 author
·
Open access
124
citations
Correlated default with incomplete information
Journal of Banking & Finance
·
2003
·
1 author
256
citations
Credit Risk Modeling and Valuation: An Introduction
SSRN Electronic Journal
·
2003
·
1 author
·
preprint
·
Open access
167
citations
Cyclical Correlations, Credit Contagion, and Portfolio Losses
SSRN Electronic Journal
·
2003
·
2 authors
·
preprint
·
Open access
51
citations
Forecasting Default in the Face of Uncertainty
SSRN Electronic Journal
·
2003
·
2 authors
·
preprint
·
Open access
34
citations
Correlated Default with Incomplete Information
SSRN Electronic Journal
·
2001
·
1 author
·
preprint
·
Open access
39
citations