Kay Giesecke 2 nd Most Prolific Credit Author in DefaultRisk.com
8th Most Popular Author in DefaultRisk.com
Department of Management
Science and Engineering
Stanford University
Terman 414
Stanford, CA 94305-4026
USA - Humboldt-Universität zu Berlin, Ph.D. (Finance) (2001)
- Kay Giesecke is an Assistant Professor of Management Science & Engineering at Stanford University. He is on the faculty of Stanford's Financial Mathematics Program. Kay specializes in the quantitative modeling of financial risk, in particular credit risk. Before joining Stanford in 2005, he taught for two years financial engineering at Cornell University's School of Operations Research and Industrial Engineering.
| Contact: | | Email address secured by Enkoder. | | Phone | +1 (650) 723-9265 | | Fax | +1 (650) 723-1614 | | e-mail |
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Publications: that are posted on DefaultRisk.com Credit Pricing The Market Price of Credit Risk: The impact of asymmetric information
by Kay Giesecke of Stanford University, and
Lisa R. Goldberg of MSCI Barra
(245K PDF) -- 24 pages -- July 7, 2008 Default and Information
by Kay Giesecke of Stanford University
(433K PDF) -- 23 pages -- November 2006 Credit Modeling Analytical Approximations for Loan and Credit Derivatives Portfolios
by Kay Giesecke of Stanford University,
Jack Kim of J.P. Morgan, and
Hideyuki Takada of Mizuho-DL Financial Technology, Tokyo
(310K PDF) -- 34 pages -- April 26, 2012 Giesecke, Kay, Baeho Kim, Shilin Zhu, "Monte Carlo Algorithms for Default Timing Problems", Management Science, Vol. 57, No. 12, (December 2011), pp. 2115-2129. Importance Sampling for Event Timing Models
by Kay Giesecke of Stanford University, and
Alexander Shkolnik of Stanford University
(455K PDF) -- 31 pages -- September 7, 2011 Large Portfolio Asymptotics for Loss from Default
by Kay Giesecke of Stanford University,
Konstantinos Spiliopoulos of Brown University,
Richard B. Sowers of University of Illinois at Urbana-Champaign, and
Justin Sirignano of Stanford University
(1267K PDF) -- 26 pages -- September 7, 2011 Filtered Likelihood for Point Processes
by Kay Giesecke of the Stanford University, and
Gustavo Schwenkler of the Stanford University
(500K PDF) -- 7 pages -- July 28, 2011 Transform Analysis for Point Processes and Applications in Credit Risk
by Kay Giesecke of the Stanford University, and
Shilin Zhu of the Stanford University
(241K PDF) -- 24 pages -- April 8, 2011 Portfolio Credit Risk: Top Down vs. Bottom Up Approaches
by Kay Giesecke of Stanford University
(170K PDF) -- 17 pages -- February 8, 2008 Dependent Events and Changes of Time
by Kay Giesecke of Cornell University, and
Pascal Tomecek of Cornell University
(243K PDF) -- 28 pages -- July 7, 2005 Credit Risk Modeling and Valuation: An Introduction
by Kay Giesecke of Cornell University
(305K PDF) -- 39 pages -- October 24, 2004 Sequential Defaults and Incomplete Information
by Kay Giesecke of Cornell University, and
Lisa R. Goldberg of MSCI Barra, Inc.
(211K PDF) -- 26 pages -- Fall 2004 Collateralized Debt Obligations Affine Point Processes and Portfolio Credit Risk
by Eymen Errais of Calypso,
Kay Giesecke of Stanford University, and
Lisa R. Goldberg of MSCI Barra
(206K PDF) -- 24 pages -- September 2010 Risk Analysis of Collateralized Debt Obligations
by Kay Giesecke of Stanford University, and
Baeho Kimy of Stanford University
(600K PDF) -- 37 pages -- March 3, 2010 A Top-down Approach to Multi-name Credit
by Kay Giesecke of Stanford University,
Lisa R. Goldberg of MSCI Barra, and
Xiaowei Ding of Morgan Stanley
(285K PDF) -- 34 pages -- February 2010 An Overview of Credit Derivatives
by Kay Giesecke of Stanford University
(364K PDF) -- 29 pages -- March 3, 2009 Estimating Tranche Spreads by Loss Process Simulation
by Kay Giesecke of Stanford University, and
Baeho Kim of Stanford University
(252K PDF) -- 10 pages -- July 15, 2007 Recovery Rates Fluctuation Analysis for the Loss from Default
by Konstantinos Spiliopoulos of Boston University,
Justin A. Sirignano of Stanford University, and
Kay Giesecke of Stanford University
(499K PDF) -- 32 pages -- May 30, 2013 Credit Correlation Exploring the Sources of Default Clustering
by Shahriar Azizpour of Stanford University,
Kay Giesecke of Stanford University, and
Gustavo Schwenkler of Stanford University
(2.691K PDF) -- 28 pages -- January 10, 2012 Giesecke, Kay, Baeho Kim, "Systemic Risk: What Defaults are Telling Us", Management Science, Vol. 57, No. 8, (August 2011), pp. 1387-1405. Default Clustering in Large Portfolios: Typical events
by Kay Giesecke of the Stanford University,
Kostas Spiliopoulos of the Brown University, and
Richard Sowers of the University of Illinois at Urbana-Champaign
(385K PDF) -- 33 pages -- March 4, 2012 Exact and Efficient Simulation of Correlated Defaults
by Kay Giesecke of Stanford University,
Hossein Kakavand of the Perot Group,
Mohammad Mousavi of Stanford University, and
Hideyuki Takada of Mizuho-DL Financial Technology
(530K PDF) -- 29 pages -- November 2010 Premia for Correlated Default Risk
by Shahriar Azizpour of Stanford University, and
Kay Giesecke of Stanford University
(692K PDF) -- 31 pages -- June 26, 2008 Time-changed Birth Processes and Multi-name Credit Derivatives
by Xiaowei Ding of Stanford University,
Kay Giesecke of Stanford University, and
Pascal I. Tomecek of J.P. Morgan Securities
(795K PDF) -- 32 pages -- February 29, 2008 Credit Contagion and Aggregate Losses
by Kay Giesecke of Cornell University, and
Stefan Weber of the Technische Universität Berlin
(374K PDF) -- 27 pages -- May 2006 Cyclical Correlations, Credit Contagion, and Portfolio Losses
by Kay Giesecke of Cornell University, and
Stefan Weber of Humboldt-Universität zu Berlin
(351K PDF) -- 28 pages -- December 2004 Correlated Default with Incomplete Information
by Kay Giesecke of Cornell University
(339K PDF) -- 25 pages -- July 2004 A Simple Exponential Model for Dependent Defaults
by Kay Giesecke of Cornell University
(213K PDF) -- 20 pages -- December 2003 Successive Correlated Defaults: Pricing trends and simulation
by Kay Giesecke of Cornell University
(255K PDF) -- 28 pages -- April 30, 2003 Quantitative Methods Numerical Solution of Jump-Diffusion SDEs
by Kay Giesecke of Stanford University, and
Gerald Teng of Stanford University
(360K PDF) - 31 pages -- August 1, 2013 Exact Sampling of Jump-Diffusions
by Kay Giesecke of Stanford University, and
Dmitry Smelov of Stanford University
(445K PDF) - 6 pages -- August 18, 2011 Other Credit Macroeconomic Effects of Corporate Default Crises: A long-term perspective
by Kay Giesecke of Stanford University,
Francis Longstaff of the University of California, Los Angeles,
Stephen Schaefer of the London Business School, and
Ilya Strebulaev of Stanford University
(203K PDF) -- 230 pages -- February 2012 Importance Sampling for Event Timing Models
by Kay Giesecke of Stanford University, and
Alexander Shkolnik of Stanford University
(456K PDF) -- 31 pages -- October 31, 2011 Sequential Importance Sampling and Resampling for Dynamic Portfolio Credit Risk
by Shaojie Deng of Microsoft,
Kay Giesecke of Stanford university, and
Tze Leung Lai of Stanford University
(251K PDF) -- 26 pages -- March 4, 2011 Corporate Bond Default Risk: A 150-year perspective
by Kay Giesecke of Stanford University,
Francis A. Longstaff of University of California, Los Angeles,
Stephen M. Schaefer of the London Business School, and
Ilya Strebulaev of Stanford University
(296K PDF) -- 43 pages -- February 2011 Exact Simulation of Point Processes with Stochastic Intensities
by Kay Giesecke of Stanford University,
Hossein Kakavand of the Perot Group, and
Mohammad Mousavi of Stanford University
(263K PDF) -- 31 pages -- September 9, 2010 Fixed-Income Portfolio Selection
by Kay Giesecke of Stanford University, and
Jack Kim of Stanford University
(412K PDF) -- 41 pages -- June 2, 2010 Measuring the Risk of Large Losses
by Kay Giesecke of Stanford University,
Thorsten Schmidt of the Universität Leipzig, and
Stefan Weber of Cornell University
(585K PDF) -- 15 pages -- Q4 2008 Forecasting Extreme Financial Risk
by Kay Giesecke of Cornell University, and
Lisa Goldberg of MSCI Barra
(375K PDF) -- 22 pages -- April 11, 2005 Book Chapters: | Encyclopedia of Quantitative Finance (4-Volume Set)
Editor in Chief: Rama Cont
Wiley, (April 26, 2010), Hardcover, 2194 pages |  | Frontiers in Quantitative Finance: Volatility and Credit Risk Modeling
by Rama Cont (Editor),
Wiley, (November 7, 2008), Hardcover, 288 pages |  | Risk Management, Volume 1: A Modern Perspective
by Michael Ong (Editor),
Academic Press, (December 5, 2005), Hardcover, 768 pages |  | Credit Risk: Models and Management -- 2 nd Ed.
by David Shimko (Editor) Risk Books, 1999, Hardcover, 332 page |
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