Giesecke Kay

Kay Giesecke

Information about the author Kay Giesecke will soon be added to the site.
Found 6 papers in total
Large-Scale Loan Portfolio Selection
Large-Scale Loan Portfolio Selection
2016
We consider the problem of optimally selecting a large portfolio of risky loans, such...
Monte Carlo Algorithms for Default Timing Problems
Monte Carlo Algorithms for Default Timing Problems
2011
Dynamic, intensity‐based point process models are widely used to measure and...
Systemic Risk: What Defaults Are Telling Us
Systemic Risk: What Defaults Are Telling Us
2011
This paper develops dynamic measures of the systemic risk of the financial sector as a...
A Top‐Down Approach to Multiname Credit
A Top‐Down Approach to Multiname Credit
2011
A multiname credit derivative is a security that is tied to an underlying portfolio of...
Risk Analysis of Collateralized Debt Obligations
Risk Analysis of Collateralized Debt Obligations
2011
Collateralized debt obligations, which are securities with payoffs that are tied to...
Time-changed birth processes and multiname credit derivatives
Time-changed birth processes and multiname credit derivatives
2009
A credit investor such as a bank granting loans to firms or an asset manager buying...
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