Documents disponibles écrits par cet auteur

Monte carlo algorithms for default timing problems / Kay Giesecke in Management science, Vol. 57 N° 12 (Décembre 2011) 

Public ISBD [article]  in Management science > Vol. 57 N° 12 (Décembre 2011) . - pp. 2115-2129 Titre : Monte carlo algorithms for default timing problems Type de document : texte imprimé Auteurs : Kay Giesecke, Auteur ; Baeho Kim, Auteur ; Shilin Zhu, Auteur Année de publication : 2012 Article en page(s) : pp. 2115-2129 Note générale : Management Langues : Anglais (eng) Mots-clés : Simulation  Probability  Stochastic  model  applications  Financial  institutions  Banks Résumé : Dynamic, intensity-based point process models are widely used to measure and price the correlated default risk in portfolios of credit-sensitive assets such as loans and corporate bonds. Monte Carlo simulation is an important tool for performing computations in these models. This paper develops, analyzes, and evaluates two simulation algorithms for intensity-based point process models. The algorithms extend the conventional thinning scheme to the case where the event intensity is unbounded, a feature common to many standard model formulations. Numerical results illustrate the performance of the algorithms for a familiar top-down model and a novel bottom-up model of correlated default risk. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/12.toc [article] Monte carlo algorithms for default timing problems [texte imprimé] / Kay Giesecke, Auteur ; Baeho Kim, Auteur ; Shilin Zhu, Auteur . - 2012 . - pp. 2115-2129. Management Langues : Anglais (eng) in Management science > Vol. 57 N° 12 (Décembre 2011) . - pp. 2115-2129 Mots-clés : Simulation  Probability  Stochastic  model  applications  Financial  institutions  Banks Résumé : Dynamic, intensity-based point process models are widely used to measure and price the correlated default risk in portfolios of credit-sensitive assets such as loans and corporate bonds. Monte Carlo simulation is an important tool for performing computations in these models. This paper develops, analyzes, and evaluates two simulation algorithms for intensity-based point process models. The algorithms extend the conventional thinning scheme to the case where the event intensity is unbounded, a feature common to many standard model formulations. Numerical results illustrate the performance of the algorithms for a familiar top-down model and a novel bottom-up model of correlated default risk. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/12.toc

Systemic risk / Kay Giesecke in Management science, Vol. 57 N° 8 (Août 2011) 

Public ISBD [article]  in Management science > Vol. 57 N° 8 (Août 2011) . - pp. 1387-1405 Titre : Systemic risk : What defaults are telling us Type de document : texte imprimé Auteurs : Kay Giesecke, Auteur ; Baeho Kim, Auteur Année de publication : 2011 Article en page(s) : pp. 1387-1405 Note générale : Management Langues : Anglais (eng) Mots-clés : Banks  Financial  system  Correlated  failure  Systemic  risk Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : This paper develops dynamic measures of the systemic risk of the financial sector as a whole. It defines systemic risk as the conditional probability of failure of a sufficiently large fraction of the total population of financial institutions. This definition recognizes that the cause of systemic distress is the correlated failure of institutions to meet obligations to creditors, customers, and trading partners. The likelihood estimators of the failure probability are based on a dynamic hazard model of correlated failure timing that captures the influence on failure timing of time-varying macroeconomic and sector-specific risk factors, and of spillover effects. Tests indicate that our measures provide accurate out-of-sample forecasts of the term structure of systemic risk in the United States for the period from 1998 to 2009. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/8.toc [article] Systemic risk : What defaults are telling us [texte imprimé] / Kay Giesecke, Auteur ; Baeho Kim, Auteur . - 2011 . - pp. 1387-1405. Management Langues : Anglais (eng) in Management science > Vol. 57 N° 8 (Août 2011) . - pp. 1387-1405 Mots-clés : Banks  Financial  system  Correlated  failure  Systemic  risk Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : This paper develops dynamic measures of the systemic risk of the financial sector as a whole. It defines systemic risk as the conditional probability of failure of a sufficiently large fraction of the total population of financial institutions. This definition recognizes that the cause of systemic distress is the correlated failure of institutions to meet obligations to creditors, customers, and trading partners. The likelihood estimators of the failure probability are based on a dynamic hazard model of correlated failure timing that captures the influence on failure timing of time-varying macroeconomic and sector-specific risk factors, and of spillover effects. Tests indicate that our measures provide accurate out-of-sample forecasts of the term structure of systemic risk in the United States for the period from 1998 to 2009. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/8.toc