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Working Papers:

  1. Computationally Efficient Feature Significance and Importance for Machine Learning Models (with E. Horel)
  2. Deep Learning for Mortgage Risk (with J. Sirignano and A. Sadhwani)
  3. Optimal Importance Sampling of Default Losses (with A. Shkolnik)
  4. Securitization and the Growth of Subprime Mortgage Lending (with M. Ohlrogge)


Research Articles:

  1. Towards Explainable AI: Significance Tests for Neural Networks (with E. Horel)
    Journal of Machine Learning Research, Minor Revision
  2. Numerical Solution of Jump-Diffusion SDEs (with A. Shkolnik, G. Teng, Y. Wei)
    Operations Research, forthcoming
  3. Inference for Large Financial Systems (with J. Sirignano and G. Schwenkler)
    Mathematical Finance,30(1), 3-46, 2020
  4. Simulated Likelihood Estimators for Discretely-Observed Jump-Diffusions (with G. Schwenkler) R code 
    Journal of Econometrics,213(2), 297-320, 2019
  5. Exploring the Sources of Default Clustering (with S. Azizpour and G. Schwenkler)
    Journal of Financial Economics, 129(1), 154-183, 2018
  6. Filtered Likelihood for Point Processes (with G. Schwenkler)
    Journal of Econometrics, 204 (1), 33-53, 2018
  7. Risk Analysis for Large Pools of Loans (with J. Sirignano)   Winner of the inaugural SIAM FME Conference Paper Prize
    Management Science, 65(1), 107-121, 2019
  8. Reducing Bias in Event Time Simulations via Measure Changes (with A. Shkolnik)
    Mathematics of Operations Research, forthcoming
  9. Dynamic Portfolio Execution (with G. Tsoukalas and J. Wang)
    Management Science, 65(5), 1949-2443, 2019
  10. Large-Scale Loan Portfolio Selection (with J. Sirignano and G. Tsoukalas)
    Operations Research, 64, 1239-1255, 2016
  11. Variation-Based Tests for Volatility Misspecification (with A. Papanicolaou)
    Journal of Econometrics,191(1), 217-2310, 2016
  12. Affine Point Processes: Approximation and Efficient Simulation (with X. Zhang, J. Blanchet, P. Glynn)
    Mathematics of Operations Research,40(4), 797-819, 2015
  13. Large Portfolio Asymptotics for Loss From Default (with K. Spiliopoulos, R. Sowers, and J. Sirignano)
    Mathematical Finance,25(1), 77-114, 2015
  14. 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
  15. Fluctuation Analysis for the Loss From Default (with K. Spiliopoulos and J. Sirignano)
    Stochastic Processes and Their Applications,124(7), 2322-2362, 2014
  16. Optimal Credit Swap Portfolios (with B. Kim, J. Kim, and G. Tsoukalas)
    Management Science,60(9), 2291-2307, 2014
  17. Exact Sampling of Jump-Diffusions (with D. Smelov), e-companion
    Operations Research,61(4), 894-907, 2013
  18. Default Clustering in Large Portfolios: Typical Events (with K. Spiliopoulos and R. Sowers)
    The Annals of Applied Probability,23(1), 348-385, 2013
  19. Transform Analysis for Point Processes and Applications in Credit Risk (with S. Zhu)
    Mathematical Finance,23(4), 742-762, 2013
  20. Sequential Importance Sampling And Resampling For Dynamic Portfolio Credit Risk (with S. Deng and T. L. Lai)
    Operations Research,60(1), 78-91, 2012
  21. Monte Carlo Algorithms For Default Timing Problems (with B. Kim and S. Zhu)
    Management Science,57(12), 2115-2129, 2011
  22. Exact Simulation of Point Processes With Stochastic Intensities (with H. Kakavand, M. Mousavi), e-companion
    Operations Research,59(5), 1233-1245, 2011
  23. 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. 
  24. Systemic Risk: What Defaults Are Telling Us (with B. Kim)
    Management Science,57(8), 1387-1405, 2011
  25. A Top-Down Approach to Multi-Name Credit (with L. Goldberg and X. Ding) 
    Operations Research,59(2), 283-300, 2011
  26. Premia for Correlated Default Risk (with S. Azizpour and B. Kim)
    Journal of Economic Dynamics and Control,35(8), 1340-1357, 2011
  27. Risk Analysis of Collateralized Debt Obligations (with B. Kim), e-companion
    Operations Research,59(1), 32-49, 2011
  28. Exact and Efficient Simulation of Correlated Defaults (with H. Kakavand, M. Mousavi, H. Takada)
    SIAM Journal on Financial Mathematics,1, 868-896, 2010
  29. Affine Point Processes and Portfolio Credit Risk (with E. Errais and L. Goldberg)
    SIAM Journal on Financial Mathematics,1, 642-665, 2010
  30. Time-Changed Birth Processes and Multi-Name Credit Derivatives (with X. Ding and P. Tomecek)
    Operations Research,57(4), 990-1005, 2009
  31. Default and Information
    Journal of Economic Dynamics and Control,30(11), 2281-2303, 2006 
  32. 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
  33. Cyclical Correlations, Credit Contagion, and Portfolio Losses (with S. Weber) 
    Journal of Banking and Finance,28(12), 3009-3036, 2004 
  34. Sequential Defaults and Incomplete Information (with L. Goldberg) 
    Journal of Risk,7(1), 1-26, 2004 
  35. Correlated Default with Incomplete Information
    Journal of Banking and Finance,28(7), 1521-1545, 2004 
  36. Forecasting Default in the Face of Uncertainty (with L. Goldberg) 
    Journal of Derivatives,12(1), 14-25, 2004 



  1. Unbiased Simulation Estimators for Jump-Diffusions (with G. Chen, A. Shkolnik)
    Proceedings of the 2019 Winter Simulation Conference, IEEE Press, 2019
  2. Sensitivity Based Neural Networks Explanations (with E. Horel, V. Mison, L. Mangu, T. Xiong)
    32nd Conference on Neural Information Processing Systems (NIPS 2018)
  3. Importance Sampling For Indicator Markov Chains (with A. Shkolnik) 
    Proceedings of the 2010 Winter Simulation Conference,IEEE Press, 2742-2750, 2010 
  4. 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 
  5. Simulating Point Processes by Intensity Projection (with H. Kakavand and M. Mousavi) 
    Proceedings of the 2008 Winter Simulation Conference,IEEE Press, 560-568, 2008 
  6. 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)