Professor, Department of Management Science and Engineering
Kay Giesecke Professor, Department of Management Science and Engineering
Professor, Department of Management Science and Engineering

Publications

Working Papers

  1. Learning Illiquid Asset Prices (with J. Duan and Y. Fan)
  2. AICO: Feature Significance Tests for Supervised Learning (with E. Horel and C. Jirachotkulthorn)
  3. A Set-Sequence Model for Time Series (with E. Epstein and A. Sadhwani)
  4. Predicting Rating Transitions using Machine Learning (with V. Kumar, P. Kamenski, S. Melnikov, S. Umapathy)
  5. Unbiased Simulation Estimators for Multivariate Jump-Diffusions (with G. Chen, A. Shkolnik)
  6. Asymptotically Optimal Importance Sampling for Event Timing (with A. Shkolnik)
  7. Specified Pool Pay-Ups (with Y. Fan and A. Madayan)
  8. Physical Climate Risk and Mortgage Securities Markets (with J. Fuest and J. Maire)
  9. Small Business Failure and Extreme Weather Events (with A. Madayan and J. Maire)

Research Articles

  1. Advances in Blockchain and Crypto Economics (with B. Biais, A. Capponi, W. Cong, V. Gaur)
    Management Science, 69(11):6417-6426
  2. Reducing Bias in Event Time Simulations via Measure Changes (with A. Shkolnik)
    Mathematics of Operations Research, 47(2), 847-1705, 2022
  3. Significance Tests for Neural Networks (with E. Horel)
    Journal of Machine Learning Research, 21(227), 1−29, 2020
  4. Deep Learning for Mortgage Risk (with J. Sirignano and A. Sadhwani) 
    Journal of Financial Econometrics, 19(2), 313–368, 2021
  5. Numerical Solution of Jump-Diffusion SDEs (with A. Shkolnik, G. Teng, Y. Wei)
    Operations Research, forthcoming
  6. Inference for Large Financial Systems (with J. Sirignano and G. Schwenkler)
    Mathematical Finance, 30(1), 3-46, 2020
  7. Simulated Likelihood Estimators for Discretely-Observed Jump-Diffusions (with G. Schwenkler)  
    Journal of Econometrics, 213(2), 297-320, 2019 R code
  8. Exploring the Sources of Default Clustering (with S. Azizpour and G. Schwenkler)
    Journal of Financial Economics, 129(1), 154-183, 2018
  9. Filtered Likelihood for Point Processes (with G. Schwenkler) 
    Journal of Econometrics, 204 (1), 33-53, 2018
  10. 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
  11. Dynamic Portfolio Execution (with G. Tsoukalas and J. Wang)  
    Management Science, 65(5), 1949-2443, 2019
  12. Large-Scale Loan Portfolio Selection (with J. Sirignano and G. Tsoukalas)
    Operations Research, 64, 1239-1255, 2016
  13. Variation-Based Tests for Volatility Misspecification (with A. Papanicolaou)  
    Journal of Econometrics,191(1), 217-2310, 2016
  14. Affine Point Processes: Approximation and Efficient Simulation (with X. Zhang, J. Blanchet, P. Glynn)  
    Mathematics of Operations Research, 40(4), 797-819, 2015
  15. Large Portfolio Asymptotics for Loss From Default (with K. Spiliopoulos, R. Sowers, and J. Sirignano)  
    Mathematical Finance,  25(1), 77-114, 2015
  16. 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
  17. Fluctuation Analysis for the Loss From Default (with K. Spiliopoulos and J. Sirignano)  
    Stochastic Processes and Their Applications,124(7), 2322-2362, 2014
  18. Optimal Credit Swap Portfolios (with B. Kim, J. Kim, and G. Tsoukalas)
    Management Science, 60(9), 2291-2307, 2014
  19. Exact Sampling of Jump-Diffusions (with D. Smelov), e-companion  
    Operations Research, 61(4), 894-907, 2013
  20. Default Clustering in Large Portfolios: Typical Events (with K. Spiliopoulos and R. Sowers)  
    Annals of Applied Probability, 23(1), 348-385, 2013
  21. Transform Analysis for Point Processes and Applications in Credit Risk (with S. Zhu)  
    Mathematical Finance, 23(4), 742-762, 2013
  22. Sequential Importance Sampling And Resampling For Dynamic Portfolio Credit Risk (with S. Deng and T. L. Lai)  
    Operations Research, 60(1), 78-91, 2012
  23. Monte Carlo Algorithms For Default Timing Problems (with B. Kim and S. Zhu)
    Management Science, 57(12), 2115-2129, 2011
  24. Exact Simulation of Point Processes With Stochastic Intensities (with H. Kakavand, M. Mousavi), e-companion  
    Operations Research, 59(5), 1233-1245, 2011
  25. 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
  26. Systemic Risk: What Defaults Are Telling Us (with B. Kim)  
    Management Science, 57(8), 1387-1405, 2011
  27. A Top-Down Approach to Multi-Name Credit (with L. Goldberg and X. Ding) 
    Operations Research, 59(2), 283-300, 2011
  28. Premia for Correlated Default Risk (with S. Azizpour and B. Kim)  
    Journal of Economic Dynamics and Control, 35(8), 1340-1357, 2011
  29. Risk Analysis of Collateralized Debt Obligations (with B. Kim)
    Operations Research, 59(1), 32-49, 2011, e-companion
  30. Exact and Efficient Simulation of Correlated Defaults (with H. Kakavand, M. Mousavi, H. Takada)  
    SIAM Journal on Financial Mathematics,1, 868-896, 2010
  31. Affine Point Processes and Portfolio Credit Risk (with E. Errais and L. Goldberg)
    SIAM Journal on Financial Mathematics,1, 642-665, 2010
  32. Time-Changed Birth Processes and Multi-Name Credit Derivatives (with X. Ding and P. Tomecek)  
    Operations Research, 57(4), 990-1005, 2009
  33. Default and Information  
    Journal of Economic Dynamics and Control, 30(11), 2281-2303, 2006
  34. 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
  35. Cyclical Correlations, Credit Contagion, and Portfolio Losses (with S. Weber) 
    Journal of Banking and Finance, 28(12), 3009-3036, 2004
  36. Sequential Defaults and Incomplete Information (with L. Goldberg)   
    Journal of Risk,7(1), 1-26, 2004
  37. Correlated Default with Incomplete Information  
    Journal of Banking and Finance, 28(7), 1521-1545, 2004
  38. Forecasting Default in the Face of Uncertainty (with L. Goldberg)  
    Journal of Derivatives,12(1), 14-25, 2004 

Conferences

  1. Computationally Efficient Feature Significance for Machine Learning Models (with E. Horel)
    Proceedings of the Third ACM International Conference on AI in Finance (ICAIF 2022)
  2. Explainable clustering and application to wealth management compliance (with E. Horel, V. Storchan, N. Chittar)
    Proceedings of the First ACM International Conference on AI in Finance (ICAIF 2020)
  3. Unbiased Simulation Estimators for Path Integrals of Diffusions (with G. Chen, A. Shkolnik)
    Proceedings of the 2020 Winter Simulation Conference, IEEE Press, 2020
  4. Unbiased Simulation Estimators for Jump-Diffusions (with G. Chen, A. Shkolnik)
    Proceedings of the 2019 Winter Simulation Conference, IEEE Press, 2019
  5. Sensitivity Based Neural Networks Explanations (with E. Horel, V. Mison, L. Mangu, T. Xiong)
    32nd Conference on Neural Information Processing Systems (NIPS 2018)
  6. Importance Sampling For Indicator Markov Chains (with A. Shkolnik) 
    Proceedings of the 2010 Winter Simulation Conference, IEEE Press, 2742-2750, 2010
  7. 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
  8. Simulating Point Processes by Intensity Projection (with H. Kakavand and M. Mousavi) 
    Proceedings of the 2008 Winter Simulation Conference, IEEE Press, 560-568, 2008
  9. 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 Derivatives
    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. Securitization and the Growth of Subprime Mortgage Lending (with M. Ohlrogge)
  2. Analytical Approximations For Loan and Credit Derivatives Portfolios (with J. Kim and H. Takada)
  3. The Market Price of Credit Risk: The Impact of Asymmetric Information (with L. Goldberg)
  4. Dependent Events and Changes of Time (with P. Tomecek)