User profiles for K. Giesecke
Kay GieseckeProfessor of Management Science and Engineering, Stanford University Verified email at stanford.edu Cited by 6328 |
Credit risk modeling and valuation: An introduction
K Giesecke - Available at SSRN 479323, 2004 - papers.ssrn.com
… face value K of the bonds, the bond holders will receive their promised payment K and the
shareholders will get the remaining VT −K. However, if the value of assets VT is less than K, …
shareholders will get the remaining VT −K. However, if the value of assets VT is less than K, …
Default and information
K Giesecke - Journal of economic dynamics and control, 2006 - Elsevier
… < t m a noisy asset report Y t k = V t k + U t k , where U t k is some independent noise random
… U t k can be interpreted as a measure of the degree of asset noise at time t. The U t k can be …
… U t k can be interpreted as a measure of the degree of asset noise at time t. The U t k can be …
Corporate bond default risk: A 150-year perspective
We study corporate bond default rates using an extensive new data set spanning the 1866–2008
period. We find that the corporate bond market has repeatedly suffered clustered …
period. We find that the corporate bond market has repeatedly suffered clustered …
Affine point processes and portfolio credit risk
… by a lower attachment point K ∈ [0,1] and an upper attachment point K ∈ (K,1]. An index
swap has attachment points K = 0 and K = 1. The swap notional K = n(K − K). The protection …
swap has attachment points K = 0 and K = 1. The swap notional K = n(K − K). The protection …
Correlated default with incomplete information
K Giesecke - Journal of Banking & Finance, 2004 - Elsevier
… the parameter θ we consider Kendall's rank correlation ρ K , given by(17) ρ K =4∫ 1 0 ∫
1 0 C(u,v;θ) d C(u,v;θ)−1= θ θ+2 . This shows that ρ K is determined by the copula only and is …
1 0 C(u,v;θ) d C(u,v;θ)−1= θ θ+2 . This shows that ρ K is determined by the copula only and is …
Cyclical correlations, credit contagion, and portfolio losses
K Giesecke, S Weber - Journal of Banking & Finance, 2004 - Elsevier
… k and x we denote the expected losses conditional on these states by l x (k):=∫uM k,x (du),
and assume that for every k… x (k), and we have for the conditional expected loss vector l ̃ (k)=(…
and assume that for every k… x (k), and we have for the conditional expected loss vector l ̃ (k)=(…
Exploring the sources of default clustering
S Azizpour, K Giesecke, G Schwenkler - Journal of Financial Economics, 2018 - Elsevier
We study the sources of corporate default clustering in the United States. We reject the
hypothesis that firms’ default times are correlated only because their conditional default rates …
hypothesis that firms’ default times are correlated only because their conditional default rates …
Credit contagion and aggregate losses
K Giesecke, S Weber - Journal of Economic Dynamics and Control, 2006 - Elsevier
Credit contagion refers to the propagation of economic distress from one firm to another. This
article proposes a reduced-form model for these contagion phenomena, assuming they are …
article proposes a reduced-form model for these contagion phenomena, assuming they are …
Relaxing music as pre‐medication before surgery: a randomised controlled trial
H Bringman, K Giesecke, A Thörne… - Acta …, 2009 - Wiley Online Library
Introduction: Patients who await surgery often suffer from fear and anxiety, which can be
prevented by anxiolytic drugs. Relaxing music may be an alternative treatment with fewer …
prevented by anxiolytic drugs. Relaxing music may be an alternative treatment with fewer …
A simple exponential model for dependent defaults
K Giesecke - Available at SSRN 315088, 2003 - papers.ssrn.com
A thorough understanding of the joint default behavior of credit-risky securities is essential
for credit risk measurement as well as the valuation of multi-name credit derivatives and …
for credit risk measurement as well as the valuation of multi-name credit derivatives and …