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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. 2115-2130
Persistent link: https://www.econbiz.de/10009809935
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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. 1340-1358
Persistent link: https://www.econbiz.de/10009133457
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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. 1387-1406
Persistent link: https://www.econbiz.de/10009252595
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Risk Analysis of Collateralized Debt Obligations
Giesecke, Kay; Kim, Baeho - In: Operations research : the journal of the Operations … 59 (2011) 1, pp. 32-50
Persistent link: https://www.econbiz.de/10008887259