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Working Papers:

  1. Computationally Efficient Feature Significance and Importance for Machine Learning Models (with E. Horel)
  2. Optimal Importance Sampling of Default Losses (with A. Shkolnik)
  3. 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, 21(227), 1−29, 2020
  2.  Deep Learning for Mortgage Risk (with J. Sirignano and A. Sadhwani) Journal of Financial Econometrics, 19(2), 313–368
  3. Numerical Solution of Jump-Diffusion SDEs (with A. Shkolnik, G. Teng, Y. Wei)Operations Research, forthcoming
  4. Inference for Large Financial Systems (with J. Sirignano and G. Schwenkler)Mathematical Finance, 30(1), 3-46, 2020
  5. Simulated Likelihood Estimators for Discretely-Observed Jump-Diffusions (with G.     Schwenkler) R code  Journal of Econometrics, 213(2), 297-320, 2019
  6. Exploring the Sources of Default Clustering (with S. Azizpour and G. Schwenkler)Journal of Financial Economics, 129(1), 154-183, 2018
  7. Filtered Likelihood for Point Processes (with G. Schwenkler) Journal of Econometrics, 204 (1), 33-53, 2018
  8. 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
  9. Reducing Bias in Event Time Simulations via Measure Changes (with A. Shkolnik)Mathematics of Operations Research, forthcoming
  10. Dynamic Portfolio Execution (with G. Tsoukalas and J. Wang)  Management Science, 65(5), 1949-2443, 2019
  11. Large-Scale Loan Portfolio Selection (with J. Sirignano and G. Tsoukalas)Operations Research, 64, 1239-1255, 2016
  12. Variation-Based Tests for Volatility Misspecification (with A. Papanicolaou)  Journal of Econometrics,191(1), 217-2310, 2016
  13. Affine Point Processes: Approximation and Efficient Simulation (with X. Zhang, J. Blanchet, P. Glynn)  Mathematics of Operations Research, 40(4), 797-819, 2015
  14. Large Portfolio Asymptotics for Loss From Default (with K. Spiliopoulos, R. Sowers, and J. Sirignano)  Mathematical Finance,  25(1), 77-114, 2015
  15. 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
  16. Fluctuation Analysis for the Loss From Default (with K. Spiliopoulos and J. Sirignano)  Stochastic Processes and Their Applications,124(7), 2322-2362, 2014
  17. Optimal Credit Swap Portfolios (with B. Kim, J. Kim, and G. Tsoukalas). Management Science, 60(9), 2291-2307, 2014
  18. Exact Sampling of Jump-Diffusions (with D. Smelov), e-companion  Operations Research, 61(4), 894-907, 2013
  19. Default Clustering in Large Portfolios: Typical Events (with K. Spiliopoulos and R.      Sowers)  The Annals of Applied Probability, 23(1), 348-385, 2013
  20. Transform Analysis for Point Processes and Applications in Credit Risk (with S.        Zhu)  Mathematical Finance, 23(4), 742-762, 2013
  21. Sequential Importance Sampling And Resampling For Dynamic Portfolio Credit Risk (with S. Deng and T. L. Lai)  Operations Research, 60(1), 78-91, 2012
  22. Monte Carlo Algorithms For Default Timing Problems (with B. Kim and S. Zhu)Management Science, 57(12), 2115-2129, 2011
  23. Exact Simulation of Point Processes With Stochastic Intensities (with H. Kakavand, M. Mousavi), e-companion  Operations Research, 59(5), 1233-1245, 2011
  24. 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
  25. Systemic Risk: What Defaults Are Telling Us (with B. Kim)  Management Science, 57(8), 1387-1405, 2011
  26. A Top-Down Approach to Multi-Name Credit (with L. Goldberg and X. Ding) Operations Research, 59(2), 283-300, 2011
  27. Premia for Correlated Default Risk (with S. Azizpour and B. Kim)  Journal of Economic Dynamics and Control, 35(8), 1340-1357, 2011
  28. Risk Analysis of Collateralized Debt Obligations (with B. Kim), e-companionOperations Research, 59(1), 32-49, 2011
  29. Exact and Efficient Simulation of Correlated Defaults (with H. Kakavand, M. Mousavi, H. Takada)  SIAM Journal on Financial Mathematics,1, 868-896, 2010
  30. Affine Point Processes and Portfolio Credit Risk (with E. Errais and L. Goldberg)SIAM Journal on Financial Mathematics,1, 642-665, 2010
  31. Time-Changed Birth Processes and Multi-Name Credit Derivatives (with X. Ding and P. Tomecek)  Operations Research, 57(4), 990-1005, 2009
  32. Default and Information  Journal of Economic Dynamics and Control, 30(11), 2281-2303, 2006
  33.  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
  34. Cyclical Correlations, Credit Contagion, and Portfolio Losses (with S. Weber) Journal of Banking and Finance, 28(12), 3009-3036, 2004
  35. Sequential Defaults and Incomplete Information (with L. Goldberg)   Journal of Risk,7(1), 1-26, 2004
  36. Correlated Default with Incomplete Information  Journal of Banking and Finance, 28(7), 1521-1545, 2004
  37. Forecasting Default in the Face of Uncertainty (with L. Goldberg)  Journal of Derivatives,12(1), 14-25, 2004 


  1. Unbiased Simulation Estimators for Path Integrals of Diffusions (with G. Chen, A. Shkolnik)
    Proceedings of the 2020 Winter Simulation Conference, IEEE Press, 2020
  2. Unbiased Simulation Estimators for Jump-Diffusions (with G. Chen, A. Shkolnik)
    Proceedings of the 2019 Winter Simulation Conference, IEEE Press, 2019
  3. Sensitivity Based Neural Networks Explanations (with E. Horel, V. Mison, L. Mangu, T. Xiong)
    32nd Conference on Neural Information Processing Systems (NIPS 2018)
  4. Importance Sampling For Indicator Markov Chains (with A. Shkolnik) 
    Proceedings of the 2010 Winter Simulation Conference,IEEE Press, 2742-2750, 2010
  5. 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 
  6. Simulating Point Processes by Intensity Projection (with H. Kakavand and M. Mousavi) 
    Proceedings of the 2008 Winter Simulation Conference,IEEE Press, 560-568, 2008
  7. 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)