.
Giesecke, Kay's
Scholarly Papers
Click on the title of any column to sort the table by that
column.
Aggregate Statistics
Total 17,957
Total Citations 390
1.
Giesecke, Kay Stanford University - Management Science & Engineering
5,115(523)
20
credit risk, default risk, structural approach, reduced form approach, incomplete information approach, trend, intensity, compensator
2.
Giesecke, Kay Stanford University - Management Science & Engineering
Posted:
28 Nov 08
Last Revised:
24 Oct 11
1,219(6,636)
1
Credit derivatives, default correlation, collateralized debt obligation, portfolio credit risk, credit swap
3.
Giesecke, Kay Stanford University - Management Science & Engineering
Goldberg, Lisa R. University of California at Berkeley
Posted:
08 Oct 03
Last Revised:
21 Apr 09
960(9,860)
2
risk premium, default event risk, jump risk, incomplete information, asymmetric information, measure change
4.
Errais, Eymen Stanford University
Giesecke, Kay Stanford University - Management Science & Engineering
Goldberg, Lisa R. University of California at Berkeley
Posted:
14 Jun 06
Last Revised:
15 Jun 10
795(13,237)
23
Self-exciting point process, affine jump diffusion, Hawkes process, transform, portfolio credit derivative, correlated default, index and tranche swap
5.
Goldberg, Lisa R. University of California at Berkeley
Giesecke, Kay Stanford University - Management Science & Engineering
703(15,848)
Extreme events, normal distribution, extreme value distribution, power law, Pareto distribution, peaks over thresholds, tail index, shortfall risk, Hurst exponent, clustering, contagion, point process
6.
Giesecke, Kay Stanford University - Management Science & Engineering
691(16,264)
32
incomplete information, trend, intensity, filtration
7.
Giesecke, Kay Stanford University - Management Science & Engineering
Goldberg, Lisa R. University of California at Berkeley
Ding, Xiaowei Stanford University
Posted:
15 Mar 05
Last Revised:
04 Mar 10
580(20,848)
33
correlated defaults, point process, random thinning, single-name hedging, top-down model
8.
Giesecke, Kay Stanford University - Management Science & Engineering
Kim, Baeho Korea University Business School
Posted:
12 Feb 09
Last Revised:
18 Mar 12
578(20,953)
6
Correlated default risk, collateralized debt obligation, portfolio credit derivative, actual measure, point process, intensity, re-sampling, thinning, acceptance/rejection sampling, exact simulation
9.
Giesecke, Kay Stanford University - Management Science & Engineering
Kim, Jack Stanford University - Management Science & Engineering
Posted:
03 Jul 09
Last Revised:
12 Jan 12
566(21,574)
1
credit swap, credit derivative, default risk, nested expectation, polynomial goal program, portfolio optimization
10.
Chan-Lau, Jorge A. International Monetary Fund (IMF) - International Capital Markets Department
Espinosa, Marco affiliation not provided to SSRN
Giesecke, Kay Stanford University - Management Science & Engineering
Sole, Juan A. International Monetary Fund (IMF)
554(22,174)
2
financial crisis, interconnectedness, network analysis, corisk, default intensity, perimeter of regulation, information gaps
11.
Goldberg, Lisa R. University of California at Berkeley
Giesecke, Kay Stanford University - Management Science & Engineering
541(22,893)
21
credit risk, incomplete information, pricing trend, short spreads, default barrier
12.
Giesecke, Kay Stanford University - Management Science & Engineering
533(23,366)
7
Portfolio credit risk, intensity, filtration, point process, credit derivative
13.
Giesecke, Kay Stanford University - Management Science & Engineering
Azizpour, Shahriar Stanford University - Management Science & Engineering
Kim, Baeho Korea University Business School
Posted:
25 Mar 08
Last Revised:
19 Mar 12
414(32,596)
14
Correlated default, risk premium, intensity, feedback, contagion, frailty, swap, CDX, tranche, index
14.
Giesecke, Kay Stanford University - Management Science & Engineering
Kim, Baeho Korea University Business School
Posted:
15 Sep 09
Last Revised:
18 Mar 12
402(33,772)
6
systemic risk, hazard model, spillover, covariates, intensity
15.
Giesecke, Kay Stanford University - Management Science & Engineering
387(35,413)
9
correlated defaults, multivariate exponential model, simulation
16.
Giesecke, Kay Stanford University - Management Science & Engineering
Azizpour, Shahriar Stanford University - Management Science & Engineering
Schwenkler, Gustavo Stanford University - Management Science & Engineering
Posted:
05 May 08
Last Revised:
10 Jan 12
376(36,695)
14
Correlated default, event feedback, contagion, frailty, self-exciting point process, intensity, point process filtering and smoothing, measure change
17.
Correlated Default with Incomplete Information
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Giesecke, Kay Stanford University - Management Science & Engineering
Posted:
27 Nov 01
Last Revised:
12 Jun 03
326(43,622)
52
Giesecke, Kay Stanford University - Management Science & Engineering
0
correlated defaults, default clustering, copulas, incomplete information
Giesecke, Kay Stanford University - Management Science & Engineering
326
52
correlated defaults, default clustering, copulas, incomplete information
18.
Goldberg, Lisa R. University of California at Berkeley
Giesecke, Kay Stanford University - Management Science & Engineering
321
8
correlated defaults; incomplete information, pricing trend, intensity, simulation, first-to-default
19.
Giesecke, Kay Stanford University - Management Science & Engineering
Schmidt, Thorsten Chemnitz University of Technology
Weber, Stefan ORIE, Cornell University
Posted:
01 Oct 05
Last Revised:
10 Jan 12
318(44,914)
Distribution-invariant risk measures, utility-based shortfall risk, average value at risk, value at risk, event risk, extreme events
20.
Cyclical Correlations, Credit Contagion, and Portfolio Losses
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Weber, Stefan ORIE, Cornell University
Giesecke, Kay Stanford University - Management Science & Engineering
Posted:
26 Mar 03
Last Revised:
17 Jun 04
286(50,855)
38
Weber, Stefan ORIE, Cornell University
Giesecke, Kay Stanford University - Management Science & Engineering
0
cyclical correlation, credit contagion, portfolio losses, voter model, Bernoulli mixture model
Weber, Stefan ORIE, Cornell University
Giesecke, Kay Stanford University - Management Science & Engineering
286
38
cyclical correlation, credit contagion, portfolio losses, voter model, Bernoulli mixture model
21.
Giesecke, Kay Stanford University - Management Science & Engineering
Ding, Xiaowei Stanford University
Tomecek, Pascal Cornell University
Posted:
05 Jan 07
Last Revised:
16 Jul 08
273(53,579)
19
Self-affecting point process, birth process, event feedback, time change, portfolio credit derivative
22.
Giesecke, Kay Stanford University - Management Science & Engineering
Zhu, Shilin Stanford University - Department of Statistics
Posted:
19 Oct 07
Last Revised:
10 Feb 12
258(57,082)
1
Point process, compensator, Laplace transform, measure change, credit derivative, portfolio credit risk
23.
Weber, Stefan ORIE, Cornell University
Giesecke, Kay Stanford University - Management Science & Engineering
185(80,554)
36
credit contagion, business partner network, credit portfolio loss distribution, portfolio loss volatility, voter model
24.
Kim, Baeho Korea University Business School
Giesecke, Kay Stanford University - Management Science & Engineering
160(92,217)
11
point process, simulation, credit derivative
25.
Giesecke, Kay Stanford University - Management Science & Engineering
Kim, Baeho Korea University Business School
Zhu, Shilin Stanford University - Department of Statistics
Posted:
16 Sep 10
Last Revised:
18 Mar 12
146(100,091)
3
26.
Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective
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Giesecke, Kay Stanford University - Management Science & Engineering
Longstaff, Francis A. University of California, Los Angeles (UCLA) - Finance Area
Schaefer, Stephen M. London Business School - Institute of Finance and Accounting
Strebulaev, Ilya A. Stanford University - Graduate School of Business
Posted:
09 Feb 12
Last Revised:
20 Feb 12
144(101,337)
Giesecke, Kay Stanford University - Management Science & Engineering
Longstaff, Francis A. University of California, Los Angeles (UCLA) - Finance Area
Schaefer, Stephen M. London Business School - Institute of Finance and Accounting
Strebulaev, Ilya A. Stanford University - Graduate School of Business
19
Giesecke, Kay Stanford University - Management Science & Engineering
Longstaff, Francis A. University of California, Los Angeles (UCLA) - Finance Area
Schaefer, Stephen M. London Business School - Institute of Finance and Accounting
Strebulaev, Ilya A. Stanford University - Graduate School of Business
125
financial markets, macroeconomy, corporate defaults, bank lending, collateral, business cycles
27.
Giesecke, Kay Stanford University - Management Science & Engineering
Kakavand, Hossein Stanford University
Mousavi, Mohammad Hossein Stanford University - Management Science & Engineering
Takada, Hideyuki Toho University
Posted:
01 Nov 09
Last Revised:
01 Oct 10
131(109,780)
3
Correlated Default Risk, Portfolio Credit Risk, Intensity, Simulation, Variance Reduction, Intensity Model
28.
Giesecke, Kay Stanford University - Management Science & Engineering
Kakavand, Hossein Stanford University
Mousavi, Mohammad Hossein Stanford University - Management Science & Engineering
Posted:
15 Feb 10
Last Revised:
13 Sep 10
124(114,792)
3
Point Process, Stochastic Intensity, Filtering, Filtration
29.
Giesecke, Kay Stanford University - Management Science & Engineering
Smelov, Dmitry Stanford University - Management Science & Engineering
Posted:
19 Aug 11
Last Revised:
12 Apr 13
117(120,175)
1
30.
Giesecke, Kay Stanford University - Management Science & Engineering
Kakavand, Hossein Stanford University
Mousavi, Mohammad Hossein Stanford University - Management Science & Engineering
114(122,697)
1
Point process simulation, exact simulation, stochastic intensity, affine point process
31.
Giesecke, Kay Stanford University - Management Science & Engineering
Kim, Jack Stanford University - Management Science & Engineering
Takada, Hideyuki Toho University
Posted:
29 Apr 12
Last Revised:
14 Aug 12
99(135,928)
profit and loss distribution, correlated defaults, mark-to-market, short-term approximation
32.
Giesecke, Kay Stanford University - Management Science & Engineering
Longstaff, Francis A. University of California, Los Angeles (UCLA) - Finance Area
Schaefer, Stephen M. London Business School - Institute of Finance and Accounting
Strebulaev, Ilya A. Stanford University - Graduate School of Business
96(138,767)
17
33.
Deng, Shaojie Stanford University - Department of Statistics
Giesecke, Kay Stanford University - Management Science & Engineering
Lai, Tze Stanford University - Department of Statistics
Posted:
09 Sep 10
Last Revised:
07 Mar 11
90(144,965)
1
34.
Giesecke, Kay Stanford University - Management Science & Engineering
Spiliopoulos, Konstantinos Brown University - Division of Applied Mathematics
Sowers, Richard University of Illinois at Urbana-Champaign - Department of Mathematics
Sirignano, Justin Stanford University - Management Science & Engineering
Posted:
06 Sep 11
Last Revised:
02 Jun 12
74(163,649)
2
law of large numbers, loss distribution, interacting point processes, portfolio credit risk
35.
Giesecke, Kay Stanford University - Management Science & Engineering
Spiliopoulos, Konstantinos Brown University - Division of Applied Mathematics
Sowers, Richard University of Illinois at Urbana-Champaign - Department of Mathematics
Posted:
09 Jan 11
Last Revised:
29 Apr 12
72(166,274)
2
Large Portfolio, Self-Exciting Defaults, Mean-Field, law of large numbers
36.
Giesecke, Kay Stanford University - Management Science & Engineering
Shkolnik, Alexander Stanford University - Management Science & Engineering
Posted:
08 Sep 11
Last Revised:
01 Nov 11
70(169,088)
37.
Giesecke, Kay Stanford University - Management Science & Engineering
Schwenkler, Gustavo Stanford University - Management Science & Engineering
Posted:
29 Jul 11
Last Revised:
12 Aug 12
58(186,637)
1
point process, filtering, parametric maximum likelihood, asymptotic theory, likelihood approximation
38.
Tsoukalas, Gerry Stanford University
Wang, Jiang Massachusetts Institute of Technology (MIT) - Sloan School of Management
Giesecke, Kay Stanford University - Management Science & Engineering
Posted:
24 Jun 12
Last Revised:
03 Mar 13
56(189,825)
39.
Spiliopoulos, Konstantinos Brown University - Division of Applied Mathematics
Sirignano, Justin Stanford University - Management Science & Engineering
Giesecke, Kay Stanford University - Management Science & Engineering
Posted:
03 Mar 13
Last Revised:
08 Apr 13
25(257,721)
40.
Goldberg, Lisa R. University of California at Berkeley
Giesecke, Kay Stanford University - Management Science & Engineering
Credit risk, leverage ratio, incomplete information model, Modigliani-Miller theorem, Merton model
