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Publications

Working Papers:

  1. Deep Learning for Mortgage Risk (with J. Sirignano and A. Sadhwani)
  2. Optimal Importance Sampling of Default Losses (with A. Shkolnik)
  3. Securitization and the Growth of Subprime Mortgage Lending (with M. Ohlrogge)
  4. Simulated Likelihood Estimators for Discretely-Observed Jump-Diffusions (with G. Schwenkler) R code 
    Journal of Econometrics, Revise and Resubmit
  5. Numerical Solution of Jump-Diffusion SDEs (with A. Shkolnik, G. Teng, Y. Wei)
    Operations Research, Revise and Resubmit
  6. Inference for Large Financial Systems (with J. Sirignano and G. Schwenkler)
    Mathematical Finance, Revise and Resubmit

Research Articles:

  1. Exploring the Sources of Default Clustering (with S. Azizpour and G. Schwenkler)
    Journal of Financial Economics, forthcoming
  2. Filtered Likelihood for Point Processes (with G. Schwenkler)
    Journal of Econometrics, forthcoming
  3. Risk Analysis for Large Pools of Loans (with J. Sirignano)   Winner of the inaugural SIAM FME Conference Paper Prize
    Management Science, forthcoming 
  4. Reducing Bias in Event Time Simulations via Measure Changes (with A. Shkolnik)
    Mathematics of Operations Research, forthcoming
  5. Dynamic Portfolio Execution (with G. Tsoukalas and J. Wang)
    Management Science, forthcoming
  6. Large-Scale Loan Portfolio Selection (with J. Sirignano and G. Tsoukalas)
    Operations Research, 64, 1239-1255, 2016
  7. Variation-Based Tests for Volatility Misspecification (with A. Papanicolaou)
    Journal of Econometrics,191(1), 217-2310, 2016
  8. Affine Point Processes: Approximation and Efficient Simulation (with X. Zhang, J. Blanchet, P. Glynn)
    Mathematics of Operations Research,40(4), 797-819, 2015
  9. Large Portfolio Asymptotics for Loss From Default (with K. Spiliopoulos, R. Sowers, and J. Sirignano)
    Mathematical Finance,25(1), 77-114, 2015
  10. Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective (with F. Longstaff, S. Schaefer, I. Strebulaev)
    Journal of Financial Economics,111(2), 297-310, 2014
  11. Fluctuation Analysis for the Loss From Default (with K. Spiliopoulos and J. Sirignano)
    Stochastic Processes and Their Applications,124(7), 2322-2362, 2014
  12. Optimal Credit Swap Portfolios (with B. Kim, J. Kim, and G. Tsoukalas)
    Management Science,60(9), 2291-2307, 2014
  13. Exact Sampling of Jump-Diffusions (with D. Smelov), e-companion
    Operations Research,61(4), 894-907, 2013
  14. Default Clustering in Large Portfolios: Typical Events (with K. Spiliopoulos and R. Sowers)
    The Annals of Applied Probability,23(1), 348-385, 2013
  15. Transform Analysis for Point Processes and Applications in Credit Risk (with S. Zhu)
    Mathematical Finance,23(4), 742-762, 2013
  16. Sequential Importance Sampling And Resampling For Dynamic Portfolio Credit Risk (with S. Deng and T. L. Lai)
    Operations Research,60(1), 78-91, 2012
  17. Monte Carlo Algorithms For Default Timing Problems (with B. Kim and S. Zhu)
    Management Science,57(12), 2115-2129, 2011
  18. Exact Simulation of Point Processes With Stochastic Intensities (with H. Kakavand, M. Mousavi), e-companion
    Operations Research,59(5), 1233-1245, 2011
  19. Corporate Bond Default Risk: A 150-Year Perspective (with F. Longstaff, S. Schaefer, I. Strebulaev)   Winner of the 2011 Fama/DFA Prize
    Journal of Financial Economics,102(2), 233-250, 2011. 
  20. Systemic Risk: What Defaults Are Telling Us (with B. Kim)
    Management Science,57(8), 1387-1405, 2011
  21. A Top-Down Approach to Multi-Name Credit (with L. Goldberg and X. Ding) 
    Operations Research,59(2), 283-300, 2011
  22. Premia for Correlated Default Risk (with S. Azizpour and B. Kim)
    Journal of Economic Dynamics and Control,35(8), 1340-1357, 2011
  23. Risk Analysis of Collateralized Debt Obligations (with B. Kim), e-companion
    Operations Research,59(1), 32-49, 2011
  24. Exact and Efficient Simulation of Correlated Defaults (with H. Kakavand, M. Mousavi, H. Takada)
    SIAM Journal on Financial Mathematics,1, 868-896, 2010
  25. Affine Point Processes and Portfolio Credit Risk (with E. Errais and L. Goldberg)
    SIAM Journal on Financial Mathematics,1, 642-665, 2010
  26. Time-Changed Birth Processes and Multi-Name Credit Derivatives (with X. Ding and P. Tomecek)
    Operations Research,57(4), 990-1005, 2009
  27. Default and Information
    Journal of Economic Dynamics and Control,30(11), 2281-2303, 2006 
  28. Credit Contagion and Aggregate Losses (with S. Weber)   Winner of the 2003 Gauss Prize
    Journal of Economic Dynamics and Control,30(5), 741-767, 2006
  29. Cyclical Correlations, Credit Contagion, and Portfolio Losses (with S. Weber) 
    Journal of Banking and Finance,28(12), 3009-3036, 2004 
  30. Sequential Defaults and Incomplete Information (with L. Goldberg) 
    Journal of Risk,7(1), 1-26, 2004 
  31. Correlated Default with Incomplete Information
    Journal of Banking and Finance,28(7), 1521-1545, 2004 
  32. Forecasting Default in the Face of Uncertainty (with L. Goldberg) 
    Journal of Derivatives,12(1), 14-25, 2004 

 

Conference Publications:

  1. Importance Sampling For Indicator Markov Chains (with A. Shkolnik) 
    Proceedings of the 2010 Winter Simulation Conference,IEEE Press, 2742-2750, 2010 
  2. Rare-Event Simulation For a Generalized Hawkes Process (with J. Blanchet, P. Glynn, X. Zhang) 
    Proceedings of the 2009 Winter Simulation Conference,IEEE Press, 1291-1298, 2009 
  3. Simulating Point Processes by Intensity Projection (with H. Kakavand and M. Mousavi) 
    Proceedings of the 2008 Winter Simulation Conference,IEEE Press, 560-568, 2008 
  4. Estimating Tranche Spreads by Loss Process Simulation (with B. Kim) 
    Proceedings of the 2007 Winter Simulation Conference,IEEE Press, 967-975, 2007 

 

Survey, Introductory, and Practitioner Papers:

  1. Assessing the Systemic Implications of Financial Linkages (with J. Chan-Lau, M. Espinosa-Vega, J. Sole)
    Global Financial Stability Report, International Monetary Fund, 2009
  2. An Overview of Credit DerivativesPresentation Slides
    Jahresbericht der Deutschen Mathematiker-Vereinigung,111, 2009
  3. Measuring the Risk of Large Losses (with T. Schmidt and S. Weber)
    Journal of Investment Management,6(4), 1-15, 2008
  4. Portfolio Credit Risk: Top-Down vs. Bottom-Up Approaches 
    Frontiers in Quantitative Finance: Credit Risk and Volatility Modeling, R. Cont (Ed.), Wiley, 2008
  5. Credit Risk Modeling and Valuation: An Introduction 
    Credit Risk: Models and Management,Vol. 2, D. Shimko (Ed.), Risk Books, 2004 
  6. Forecasting Extreme Financial Risk (with L. Goldberg) 
    Risk Management: A Modern Perspective, M. Ong (Ed.), Wiley, 2004 
  7. Credit Risk Modeling (with L. Goldberg and T. Backshall)
    Handbook of Fixed Income Securities, F. Fabozzi (Ed.), Wiley, 2004 
  8. In Search of a Modigliani-Miller Economy (with L. Goldberg) 
    Journal of Investment Management,2(3), 1-6, 2004 
  9. A Simple Exponential Model for Dependent Defaults
    Journal of Fixed Income,13(3), 74-83, 2003

 

Permanent Working Papers:

  1. Analytical Approximations For Loan and Credit Derivatives Portfolios (with J. Kim and H. Takada)
  2. The Market Price of Credit Risk: The Impact of Asymmetric Information (with L. Goldberg)
  3. Dependent Events and Changes of Time (with P. Tomecek)