Kay Giesecke

Available identifiers

zbMath Open giesecke.kayWikidataQ41688802 ScholiaQ41688802MaRDI QIDQ402479

List of research outcomes

Publication	Date of Publication	Type
Reducing Bias in Event Time Simulations via Measure Changes	2022-06-27	Paper
Unbiased Simulation Estimators for Multivariate Jump-Diffusions	2021-11-02	Paper
https://portal.mardi4nfdi.de/entity/Q5149257	2021-02-08	Paper
Inference for large financial systems	2020-05-14	Paper
Simulated likelihood estimators for discretely observed jump-diffusions	2019-12-19	Paper
https://portal.mardi4nfdi.de/entity/Q5226700	2019-08-01	Paper
Significance Tests for Neural Networks	2019-02-15	Paper
Filtered likelihood for point processes	2018-04-18	Paper
Large-Scale Loan Portfolio Selection	2017-01-26	Paper
Affine Point Processes: Approximation and Efficient Simulation	2016-01-29	Paper
Variation-based tests for volatility misspecification	2015-12-18	Paper
LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT	2015-02-20	Paper
Fluctuation analysis for the loss from default	2014-08-28	Paper
Exact Sampling of Jump Diffusions	2014-06-26	Paper
Transform analysis for point processes and applications in credit risk	2013-10-11	Paper
Default clustering in large portfolios: typical events	2013-04-24	Paper
Sequential importance sampling and resampling for dynamic portfolio credit risk	2012-06-18	Paper
Exact simulation of point processes with stochastic intensities	2012-03-26	Paper
Time-Changed Birth Processes and Multiname Credit Derivatives	2011-11-24	Paper
A Top-Down Approach to Multiname Credit	2011-11-18	Paper
Risk Analysis of Collateralized Debt Obligations	2011-07-19	Paper
Affine Point Processes and Portfolio Credit Risk	2010-11-10	Paper
An overview of credit derivatives	2009-07-02	Paper
Default and information	2008-12-12	Paper
Credit contagion and aggregate losses	2008-11-25	Paper
Pricing credit from the top down with affine point processes	2008-07-29	Paper

Research outcomes over time

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