Publications, Working Papers and Tutorial Reports

1. Simulating Point Processes by Intensity Projection (K. Giesecke, H. Kakavand, M. Mousavi)
   Proceedings of the 2008 Winter Simulation Conference, 2008
   
2. Self-Exciting Corporate Defaults: Contagion vs. Frailty (S. Azizpour and K. Giesecke)
   
3. Premia for Correlated Default Risk (S. Azizpour and K. Giesecke)
   
4. Portfolio Credit Risk: Top Down vs. Bottom Up Approaches (K. Giesecke)
   Frontiers in Quantitative Finance: Credit Risk and Volatility Modeling, R. Cont (Ed.), Wiley, 2008
   
5. The Correlation-Neutral Measure for Portfolio Credit (K. Giesecke)
   
6. Estimating Tranche Spreads by Loss Process Simulation (K. Giesecke and B. Kim)
   Proceedings of the 2007 Winter Simulation Conference, 2007
   
7. Time-Changed Birth Processes and Multi-Name Credit (X. Ding, K. Giesecke and P. Tomecek)
   Operations Research, forthcoming, 2008
   
8. Time-Inhomogeneous Birth Processes in Credit Modeling (J. Kim)
   
9. Pricing Credit from the Top Down with Affine Point Processes (E. Errais, K. Giesecke and L. Goldberg)
   
10. A Top Down Approach to Multi-Name Credit (K. Giesecke and L. Goldberg)
    
11. A Dynamic Programming Approach for Pricing CDS and CDS Options (H. Ben-Ameur, D. Brigo and E. Errais)
    
12. The Market Price of Credit Risk: The Impact of Asymmetric Information (K. Giesecke and L. Goldberg)
    
13. Dependent Events and Changes of Time (K. Giesecke and P. Tomecek)
    
14. Forecasting Liquidation (E. Errais and K. Giesecke)
15. Default and Information (K. Giesecke)
    Journal of Economic Dynamics and Control, 30(11), 2281-2303, 2006
    
16. Credit Contagion and Aggregate Losses (K. Giesecke and S. Weber)
    Journal of Economic Dynamics and Control, 30(5), 741-767, 2006
    
17. Sequential Defaults and Incomplete Information (K. Giesecke and L. Goldberg)
    Journal of Risk, 7(1), 1-26, 2004
    
18. Forecasting Default in the Face of Uncertainty (K. Giesecke and L. Goldberg)
    Journal of Derivatives, 12(1), 14-25, 2004
    
19. Cyclical Correlations, Credit Contagion, and Portfolio Losses (K. Giesecke and S. Weber)
    Journal of Banking and Finance, 28(12), 3009-3036, 2004
    
20. In Search of a Modigliani-Miller Economy (K. Giesecke and L. Goldberg)
    Journal of Investment Management, 2(3), 1-6, 2004
    
21. Correlated Default with Incomplete Information (K. Giesecke)
    Journal of Banking and Finance 28(7), 1521–1545, 2004
    
22. A Simple Exponential Model for Dependent Defaults (K. Giesecke)
    Journal of Fixed Income 13(3), 74-83, 2003
    
23. Credit Risk Modeling and Valuation: An Introduction (K. Giesecke)
    Credit Risk: Models and Management, Vol. 2, D. Shimko (Ed.), Risk Books, 2004
    
24. Credit Risk Modeling (K. Giesecke, L. Goldberg and T. Backshall)
    Handbook of Fixed Income Securities, F. Fabozzi (Ed.), Wiley, 2004
    
25. Forecasting Extreme Financial Risk (K. Giesecke and L. Goldberg)
    Risk Management: A Modern Perspective, M. Ong (Ed.), Wiley, 2004
    
26. Measuring the Risk of Extreme Events (K. Giesecke, T. Schmidt and S. Weber)
    Journal of Investment Management, 6, 2008