Browsing Discussion papers of interdisciplinary research project 373 / Sonderforschungsbereich 373 by Author "Giesecke, Kay"

Now showing items 1-7 of 7

2002-05-02Buch

An Exponential Model for Dependent Defaults

Giesecke, Kay

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 Collateralized Debt Obligations. In ...
2002-04-30Buch

Compensator-Based Simulation of Correlated Defaults

Giesecke, Kay

The market for derivatives with payoffs contingent on the credit quality of a number of reference entities has grown considerably over recent years. The risk analysis and valuation of such multi-name structures often relies ...
2001-12-12Buch

Correlated Default With Incomplete Information

Giesecke, Kay

We propose a model of correlated multi-firm default with incomplete information. While public bond investors observe issuers’ assets and defaults, we suppose that they are not informed about the threshold asset level at ...
2002-09-10Buch

Credit Contagion and Aggregate Losses

Giesecke, Kay; Weber, Stefan

Credit contagion refers to the propagation of economic distress from one firm or sovereign government to another. In this paper we model credit contagion phenomena and study the fluctuation of aggregate credit losses on ...
2002-06-11Buch

Credit Risk Modeling and Valuation

Giesecke, Kay

Credit risk refers to the risk of incurring losses due to unexpected changes in the credit quality of a counterparty or issuer. In this paper we give an introduction to the modeling of credit risks and the valuation of ...
2003-01-17Buch

Cyclical Correlations, Credit Contagion, and Portfolio Losses

Giesecke, Kay; Weber, Stefan

We model aggregate credit losses on large portfolios of financial positions contracted with firms subject to both cyclical default correlation and direct default contagion processes. Cyclical correlation is due to the ...
2001-12-12Buch

Default Compensator, Incomplete Information, and the Term Structure of Credit Spreads

Giesecke, Kay

We provide a framework for the analysis of term structures of credit spreads on corporate bonds in the presence of informational asymmetries. While bond investors observe default incidents, we suppose that they have ...