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~person:"Giesecke, Kay"
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Giesecke, Kay
McAleer, Michael
64
Ledoit, Olivier
46
Wolf, Michael
45
Caporin, Massimiliano
38
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36
Kapetanios, George
34
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29
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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1
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
Saved in:
2
Cyclical correlations, credit contagion, and portfolio losses
Giesecke, Kay
(
contributor
);
Weber, Stefan
(
contributor
)
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001919109
Saved in:
3
Correlated defaults, incomplete information, and the term structure of credit spreads
Giesecke, Kay
(
contributor
)
-
2001
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001639703
Saved in:
4
Correlated default with incomplete information
Giesecke, Kay
-
2001
correlation measure, which overcomes the limitations of existing
covariance
based measures. A case study is examined, where …
Persistent link: https://www.econbiz.de/10009621426
Saved in:
5
Correlated default with incomplete information
Giesecke, Kay
- In:
Journal of banking & finance
28
(
2004
)
7
,
pp. 1521-1545
Persistent link: https://www.econbiz.de/10002100479
Saved in:
6
Cyclical correlations, credit contagion, and portfolio losses
Giesecke, Kay
;
Weber, Stefan
- In:
Journal of banking & finance
28
(
2004
)
12
,
pp. 3009-3036
Persistent link: https://www.econbiz.de/10002410735
Saved in:
7
Correlated default with incomplete information
Giesecke, Kay
-
2002
Persistent link: https://www.econbiz.de/10001684707
Saved in:
8
Compensator-based simulation of correlated defaults
Giesecke, Kay
-
2002
Persistent link: https://www.econbiz.de/10001685033
Saved in:
9
An exponential model for dependent defaults
Giesecke, Kay
-
2002
Persistent link: https://www.econbiz.de/10001685045
Saved in:
10
Correlated defaults, incomplete information, and the term structure of credit spreads
Giesecke, Kay
-
2001
Persistent link: https://www.econbiz.de/10001646775
Saved in:
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