| Year |
Citation |
Score |
| 2020 |
Giesecke K, Schwenkler G, Sirignano JA. Inference for large financial systems Mathematical Finance. 30: 3-46. DOI: 10.1111/Mafi.12222 |
0.323 |
|
| 2019 |
Giesecke K, Schwenkler G. Simulated Likelihood Estimators for Discretely Observed Jump-Diffusions Journal of Econometrics. 213: 297-320. DOI: 10.2139/Ssrn.2518160 |
0.325 |
|
| 2019 |
Sirignano JA, Giesecke K. Risk Analysis for Large Pools of Loans Management Science. 65: 107-121. DOI: 10.1287/Mnsc.2017.2947 |
0.446 |
|
| 2018 |
Giesecke K, Schwenkler G. Filtered Likelihood for Point Processes Journal of Econometrics. 204: 33-53. DOI: 10.2139/Ssrn.1898344 |
0.421 |
|
| 2018 |
Azizpour S, Giesecke K, Schwenkler G. Exploring the sources of default clustering Journal of Financial Economics. 129: 154-183. DOI: 10.2139/Ssrn.1127792 |
0.644 |
|
| 2017 |
Tsoukalas G, Wang J, Giesecke K. Dynamic Portfolio Execution Management Science. 65: 2015-2040. DOI: 10.2139/Ssrn.2089837 |
0.407 |
|
| 2016 |
Papanicolaou A, Giesecke K. Variation-Based Tests for Volatility Misspecification Journal of Econometrics. 191: 217-230. DOI: 10.2139/Ssrn.2450776 |
0.303 |
|
| 2015 |
Zhang X, Blanchet J, Giesecke K, Glynn PW. Affine point processes: Approximation and efficient simulation Mathematics of Operations Research. 40: 797-819. DOI: 10.1287/Moor.2014.0696 |
0.399 |
|
| 2014 |
Giesecke K, Longstaff FA, Schaefer SM, Strebulaev IA. Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective Journal of Financial Economics. 111: 297-310. DOI: 10.2139/Ssrn.2001783 |
0.339 |
|
| 2014 |
Giesecke K, Kim B, Kim J, Tsoukalas G. Optimal Credit Swap Portfolios Management Science. 60: 2291-2307. DOI: 10.1287/Mnsc.2013.1890 |
0.401 |
|
| 2014 |
Spiliopoulos K, Sirignano JA, Giesecke K. Fluctuation analysis for the loss from default Stochastic Processes and Their Applications. 124: 2322-2362. DOI: 10.1016/J.Spa.2014.02.010 |
0.37 |
|
| 2013 |
Giesecke K, Smelov D. Exact Sampling of Jump-Diffusions Operations Research. 61: 894-907. DOI: 10.2139/Ssrn.1912159 |
0.331 |
|
| 2013 |
Giesecke K, Spiliopoulos K, Sowers RB. Default clustering in large portfolios: Typical events Annals of Applied Probability. 23: 348-385. DOI: 10.1214/12-Aap845 |
0.562 |
|
| 2013 |
Giesecke K, Zhu S. Transform Analysis for Point Processes and Applications in Credit Risk Mathematical Finance. 23: 742-762. DOI: 10.1111/J.1467-9965.2011.00512.X |
0.411 |
|
| 2012 |
Deng S, Giesecke K, Lai TL. Sequential Importance Sampling and Resampling for Dynamic Portfolio Credit Risk Operations Research. 60: 78-91. DOI: 10.1287/Opre.1110.1008 |
0.432 |
|
| 2011 |
Azizpour S, Giesecke K, Kim B. Premia for Correlated Default Risk Journal of Economic Dynamics and Control. 35: 1340-1357. DOI: 10.2139/Ssrn.1126462 |
0.677 |
|
| 2011 |
Giesecke K, Kakavand H, Mousavi M. Exact simulation of point processes with stochastic intensities Operations Research. 59: 1233-1245. DOI: 10.1287/Opre.1110.0962 |
0.35 |
|
| 2011 |
Giesecke K, Kim B. Risk Analysis of Collateralized Debt Obligations Operations Research. 59: 32-49. DOI: 10.1287/Opre.1100.0864 |
0.519 |
|
| 2011 |
Giesecke K, Goldberg LR, Ding X. A top-down approach to multiname credit Operations Research. 59: 283-300. DOI: 10.1287/Opre.1100.0855 |
0.483 |
|
| 2011 |
Giesecke K, Kim B, Zhu S. Monte Carlo Algorithms for Default Timing Problems Management Science. 57: 2115-2129. DOI: 10.1287/Mnsc.1110.1411 |
0.415 |
|
| 2011 |
Giesecke K, Kim B. Systemic Risk: What Defaults Are Telling Us Management Science. 57: 1387-1405. DOI: 10.1287/Mnsc.1110.1375 |
0.429 |
|
| 2011 |
Giesecke K, Longstaff FA, Schaefer S, Strebulaev I. Corporate bond default risk: A 150-year perspective Journal of Financial Economics. 102: 233-250. DOI: 10.1016/J.Jfineco.2011.01.011 |
0.503 |
|
| 2010 |
Giesecke K, Kakavand H, Mousavi M, Takada H. Exact and efficient simulation of correlated defaults Siam Journal On Financial Mathematics. 1: 868-896. DOI: 10.1137/090778055 |
0.497 |
|
| 2010 |
Errais E, Giesecke K, Goldberg LR. Affine point processes and portfolio credit risk Siam Journal On Financial Mathematics. 1: 642-665. DOI: 10.1137/090771272 |
0.702 |
|
| 2009 |
Ding X, Giesecke K, Tomecek PI. Time-Changed Birth Processes and Multiname Credit Derivatives Operations Research. 57: 990-1005. DOI: 10.1287/Opre.1080.0652 |
0.575 |
|
| 2006 |
Giesecke K, Weber S. Credit contagion and aggregate losses Journal of Economic Dynamics and Control. 30: 741-767. DOI: 10.2139/Ssrn.325280 |
0.413 |
|
| 2006 |
Giesecke K. Default and Information Journal of Economic Dynamics and Control. 30: 2281-2303. DOI: 10.2139/Ssrn.310299 |
0.344 |
|
| 2004 |
Giesecke K, Goldberg LR. Sequential Defaults And Incomplete Information Journal of Risk. 7: 1-26. DOI: 10.2139/Ssrn.580141 |
0.514 |
|
| 2004 |
Giesecke K, Goldberg LR. Forecasting Default in the Face of Uncertainty Journal of Derivatives. 12: 11-25. DOI: 10.2139/Ssrn.374080 |
0.441 |
|
| 2004 |
Giesecke K, Weber S. Cyclical correlations, credit contagion, and portfolio losses Journal of Banking and Finance. 28: 3009-3036. DOI: 10.2139/Ssrn.369660 |
0.439 |
|
| 2004 |
Giesecke K. Correlated Default With Incomplete Information Journal of Banking and Finance. 28: 1521-1545. DOI: 10.1016/S0378-4266(03)00129-8 |
0.473 |
|
| 2003 |
Giesecke K. A Simple Exponential Model for Dependent Defaults The Journal of Fixed Income. 13: 74-83. DOI: 10.2139/Ssrn.315088 |
0.523 |
|
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