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Kay Giesecke

Stanford University - Management Science & Engineering

Assistant Professor

473 Via Ortega

Stanford, CA 94305-9025

United States

http://www.stanford.edu/~giesecke/

  • Stanford University - Management Science & Engineering

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    • Tel: (650) 723 9265
    • Fax: (650) 723 1614
SCHOLARLY PAPERS

49

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447

Scholarly Papers (49)

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1.

Credit Risk Modeling and Valuation: An Introduction

Number of pages: 67 Posted: 21 Dec 2003
Kay Giesecke
Stanford University - Management Science & Engineering
Downloads 5,791 (738)
Citation 20

Abstract:

credit risk, default risk, structural approach, reduced form approach, incomplete information approach, trend, intensity, compensator

2.

An Overview of Credit Derivatives

Number of pages: 32 Posted: 28 Nov 2008 Last Revised: 15 Jun 2016
Kay Giesecke
Stanford University - Management Science & Engineering
Downloads 1,330 (10,143)

Abstract:

Credit derivatives, default correlation, collateralized debt obligation, portfolio credit risk, credit swap

3.

The Market Price of Credit Risk: The Impact of Asymmetric Information

Number of pages: 24 Posted: 08 Oct 2003 Last Revised: 15 Jun 2016
Kay Giesecke and Lisa R. Goldberg
Stanford University - Management Science & Engineering and University of California, Berkeley
Downloads 1,051 (13,546)
Citation 2

Abstract:

risk premium, default event risk, jump risk, incomplete information, asymmetric information, measure change

4.

Affine Point Processes and Portfolio Credit Risk

Number of pages: 29 Posted: 14 Jun 2006 Last Revised: 15 Jun 2010
Eymen Errais, Kay Giesecke and Lisa R. Goldberg
Stanford University, Stanford University - Management Science & Engineering and University of California, Berkeley
Downloads 853 (19,991)
Citation 30

Abstract:

Self-exciting point process, affine jump diffusion, Hawkes process, transform, portfolio credit derivative, correlated default, index and tranche swap

5.

Default and Information

Number of pages: 25 Posted: 11 Jun 2003
Kay Giesecke
Stanford University - Management Science & Engineering
Downloads 744 (24,038)
Citation 35

Abstract:

incomplete information, trend, intensity, filtration

6.

Forecasting Extreme Financial Risk

Number of pages: 22 Posted: 01 Dec 2004
Lisa R. Goldberg and Kay Giesecke
University of California, Berkeley and Stanford University - Management Science & Engineering
Downloads 743 (24,692)

Abstract:

Extreme events, normal distribution, extreme value distribution, power law, Pareto distribution, peaks over thresholds, tail index, shortfall risk, Hurst exponent, clustering, contagion, point process

7.

Assessing the Systemic Implications of Financial Linkages

IMF Global Financial Stability Report, Vol. 2, April 2009
Number of pages: 38 Posted: 12 Jun 2009
Jorge A. Chan-Lau, Marco Espinosa, Kay Giesecke and Juan A. Solé
International Monetary Fund (IMF) - International Capital Markets Department, affiliation not provided to SSRN, Stanford University - Management Science & Engineering and International Monetary Fund (IMF)
Downloads 711 (21,921)
Citation 1

Abstract:

financial crisis, interconnectedness, network analysis, corisk, default intensity, perimeter of regulation, information gaps

8.

Risk Analysis of Collateralized Debt Obligations

Operations Research, Vol. 59, No. 1, pp. 32-49, 2011
Number of pages: 37 Posted: 12 Feb 2009 Last Revised: 15 Jun 2016
Kay Giesecke and Baeho Kim
Stanford University - Management Science & Engineering and Korea University Business School (KUBS)
Downloads 635 (29,099)
Citation 8

Abstract:

Correlated default risk, collateralized debt obligation, portfolio credit derivative, actual measure, point process, intensity, re-sampling, thinning, acceptance/rejection sampling, exact simulation

9.

Portfolio Credit Risk: Top-Down vs. Bottom-Up Approaches

Number of pages: 17 Posted: 17 Feb 2008
Kay Giesecke
Stanford University - Management Science & Engineering
Downloads 617 (28,349)
Citation 6

Abstract:

Portfolio credit risk, intensity, filtration, point process, credit derivative

10.

A Top-Down Approach to Multi-Name Credit

Operations Research, Forthcoming
Number of pages: 34 Posted: 15 Mar 2005 Last Revised: 15 Jun 2016
Kay Giesecke, Lisa R. Goldberg and Xiaowei Ding
Stanford University - Management Science & Engineering, University of California, Berkeley and Stanford University
Downloads 617 (31,692)
Citation 33

Abstract:

correlated defaults, point process, random thinning, single-name hedging, top-down model

11.

Optimal Credit Swap Portfolios

Number of pages: 32 Posted: 03 Jul 2009 Last Revised: 17 Dec 2013
Kay Giesecke, Baeho Kim, Jack Kim and Gerry Tsoukalas
Stanford University - Management Science & Engineering, Korea University Business School (KUBS), Stanford University - Management Science & Engineering and University of Pennsylvania - The Wharton School
Downloads 616 (16,551)

Abstract:

portfolio selection, credit swap, goal program, nested expectation

12.

Forecasting Default in the Face of Uncertainty

Journal of Derivatives, Vol. 12, No. 1, pp. 14-25, 2004
Number of pages: 15 Posted: 17 Mar 2003
Lisa R. Goldberg and Kay Giesecke
University of California, Berkeley and Stanford University - Management Science & Engineering
Downloads 581 (33,816)
Citation 22

Abstract:

credit risk, incomplete information, pricing trend, short spreads, default barrier

13.

Exploring the Sources of Default Clustering

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 72 Posted: 05 May 2008 Last Revised: 25 May 2017
Shahriar Azizpour, Kay Giesecke and Gustavo Schwenkler
Stanford University - Management Science & Engineering, Stanford University - Management Science & Engineering and Boston University - Department of Finance & Economics
Downloads 478 (29,153)
Citation 17

Abstract:

Correlated default, contagion, frailty, fitness test, time change

14.

Premia for Correlated Default Risk

Journal of Economic Dynamics and Control, Vol. 35, No. 8, pp. 1340-1357, 2011
Number of pages: 31 Posted: 25 Mar 2008 Last Revised: 15 Jun 2016
Kay Giesecke, Shahriar Azizpour and Baeho Kim
Stanford University - Management Science & Engineering, Stanford University - Management Science & Engineering and Korea University Business School (KUBS)
Downloads 453 (47,145)
Citation 16

Abstract:

Correlated default, risk premium, intensity, feedback, contagion, frailty, swap, CDX, tranche, index

15.

Systemic Risk: What Defaults are Telling Us

Management Science, Vol. 57, No. 8, pp. 1387-1405, 2011
Number of pages: 34 Posted: 15 Sep 2009 Last Revised: 18 Mar 2012
Kay Giesecke and Baeho Kim
Stanford University - Management Science & Engineering and Korea University Business School (KUBS)
Downloads 451 (45,098)
Citation 11

Abstract:

systemic risk, hazard model, spillover, covariates, intensity

16.

A Simple Exponential Model for Dependent Defaults

Number of pages: 30 Posted: 25 Jun 2002
Kay Giesecke
Stanford University - Management Science & Engineering
Downloads 436 (44,524)
Citation 7

Abstract:

correlated defaults, multivariate exponential model, simulation

17.

Measuring the Risk of Large Losses

Journal of Investment Management (JOIM), Fourth Quarter 2008
Number of pages: 19 Posted: 01 Oct 2005 Last Revised: 10 Jan 2012
Kay Giesecke, Thorsten Schmidt and Stefan Weber
Stanford University - Management Science & Engineering, Chemnitz University of Technology and ORIE, Cornell University
Downloads 350 (65,225)

Abstract:

Distribution-invariant risk measures, utility-based shortfall risk, average value at risk, value at risk, event risk, extreme events

18.

Correlated Default with Incomplete Information

Downloads 339 ( 71,300)
Citation 56

Correlated Default with Incomplete Information

Number of pages: 33 Posted: 27 Nov 2001
Kay Giesecke
Stanford University - Management Science & Engineering
Downloads 339 (70,755)
Citation 56

Abstract:

correlated defaults, default clustering, copulas, incomplete information

Correlated Default with Incomplete Information

Journal of Banking & Finance, Forthcoming
Posted: 09 Jun 2003
Kay Giesecke
Stanford University - Management Science & Engineering

Abstract:

correlated defaults, default clustering, copulas, incomplete information

19.

Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective

Downloads 333 ( 72,790)
Citation 2

Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective

Number of pages: 30 Posted: 09 Feb 2012
Kay Giesecke, Francis A. Longstaff, Stephen M. Schaefer and Ilya A. Strebulaev
Stanford University - Management Science & Engineering, University of California, Los Angeles (UCLA) - Finance Area, London Business School - Institute of Finance and Accounting and Stanford University - Graduate School of Business
Downloads 310 (78,374)
Citation 2

Abstract:

financial markets, macroeconomy, corporate defaults, bank lending, collateral, business cycles

Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective

NBER Working Paper No. w17854
Number of pages: 31 Posted: 20 Feb 2012
Kay Giesecke, Francis A. Longstaff, Stephen M. Schaefer and Ilya A. Strebulaev
Stanford University - Management Science & Engineering, University of California, Los Angeles (UCLA) - Finance Area, London Business School - Institute of Finance and Accounting and Stanford University - Graduate School of Business
Downloads 23 (439,004)
Citation 2

Abstract:

20.

Cyclical Correlations, Credit Contagion, and Portfolio Losses

Downloads 298 ( 82,427)
Citation 39

Cyclical Correlations, Credit Contagion, and Portfolio Losses

Number of pages: 34 Posted: 26 Mar 2003
Stefan Weber and Kay Giesecke
ORIE, Cornell University and Stanford University - Management Science & Engineering
Downloads 298 (81,969)
Citation 39

Abstract:

cyclical correlation, credit contagion, portfolio losses, voter model, Bernoulli mixture model

Cyclical Correlations, Credit Contagion, and Portfolio Losses

Journal of Banking and Finance, Forthcoming
Posted: 14 Dec 2003
Stefan Weber and Kay Giesecke
ORIE, Cornell University and Stanford University - Management Science & Engineering

Abstract:

cyclical correlation, credit contagion, portfolio losses, voter model, Bernoulli mixture model

21.

Transform Analysis for Point Processes and Applications in Credit Risk

Number of pages: 24 Posted: 19 Oct 2007 Last Revised: 22 Jun 2016
Kay Giesecke and Shilin Zhu
Stanford University - Management Science & Engineering and Stanford University - Department of Statistics
Downloads 287 (80,279)
Citation 2

Abstract:

Point process, compensator, Laplace transform, measure change, credit derivative, portfolio credit risk

22.

Time-Changed Birth Processes and Multi-Name Credit Derivatives

Operations Research, Forthcoming
Number of pages: 32 Posted: 05 Jan 2007 Last Revised: 15 Jun 2016
Kay Giesecke, Xiaowei Ding and Pascal Tomecek
Stanford University - Management Science & Engineering, Stanford University and Cornell University
Downloads 282 (84,039)
Citation 21

Abstract:

Self-affecting point process, birth process, event feedback, time change, portfolio credit derivative

23.

Credit Contagion and Aggregate Losses

Number of pages: 38 Posted: 15 Nov 2002
Stefan Weber and Kay Giesecke
ORIE, Cornell University and Stanford University - Management Science & Engineering
Downloads 190 (127,661)
Citation 37

Abstract:

credit contagion, business partner network, credit portfolio loss distribution, portfolio loss volatility, voter model

24.

Estimating Tranche Spreads by Loss Process Simulation

Number of pages: 10 Posted: 16 Jul 2007
Baeho Kim and Kay Giesecke
Korea University Business School (KUBS) and Stanford University - Management Science & Engineering
Downloads 188 (124,720)
Citation 11

Abstract:

point process, simulation, credit derivative

25.

Monte Carlo Algorithms for Default Timing Problems

Management Science, Vol. 57, No. 12, pp. 2115-2129, 2011
Number of pages: 31 Posted: 16 Sep 2010 Last Revised: 18 Mar 2012
Kay Giesecke, Baeho Kim and Shilin Zhu
Stanford University - Management Science & Engineering, Korea University Business School (KUBS) and Stanford University - Department of Statistics
Downloads 180 (122,427)
Citation 5

Abstract:

26.

Exact Sampling of Jump-Diffusions

Operations Research, Forthcoming
Number of pages: 40 Posted: 19 Aug 2011 Last Revised: 12 Apr 2013
Kay Giesecke and Dmitry Smelov
Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 170 (122,985)
Citation 4

Abstract:

27.

Corporate Bond Default Risk: A 150-Year Perspective

NBER Working Paper No. w15848
Number of pages: 46 Posted: 29 Mar 2010
Kay Giesecke, Francis A. Longstaff, Stephen M. Schaefer and Ilya A. Strebulaev
Stanford University - Management Science & Engineering, University of California, Los Angeles (UCLA) - Finance Area, London Business School - Institute of Finance and Accounting and Stanford University - Graduate School of Business
Downloads 163 (120,712)
Citation 24

Abstract:

28.

Exact and Efficient Simulation of Correlated Defaults

Number of pages: 36 Posted: 01 Nov 2009 Last Revised: 01 Oct 2010
Kay Giesecke, Hossein Kakavand, Mohammad Mousavi and Hideyuki Takada
Stanford University - Management Science & Engineering, Stanford University, Stanford University - Management Science & Engineering and Toho University
Downloads 146 (159,527)
Citation 5

Abstract:

Correlated Default Risk, Portfolio Credit Risk, Intensity, Simulation, Variance Reduction, Intensity Model

29.

Risk Analysis for Large Pools of Loans

Number of pages: 37 Posted: 24 Oct 2014 Last Revised: 23 Dec 2015
Justin Sirignano and Kay Giesecke
Imperial College London - Department of Mathematics and Stanford University - Management Science & Engineering
Downloads 144 (90,564)

Abstract:

Loans, loan default, default risk, prepayment risk, loan prepayment, loan risk, mortgages, mortgage-backed security, asset-backed security, mortgage default, mortgage prepayment, large pools, law of large numbers, central limit theorem, data-driven models, machine learning

30.

Dynamic Portfolio Execution

Management Science, Forthcoming
Number of pages: 44 Posted: 24 Jun 2012 Last Revised: 23 May 2017
Gerry Tsoukalas, Jiang Wang and Kay Giesecke
University of Pennsylvania - The Wharton School, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Stanford University - Management Science & Engineering
Downloads 142 (32,641)
Citation 1

Abstract:

31.

Exact Simulation of Point Processes with Stochastic Intensities

Number of pages: 31 Posted: 15 Feb 2010 Last Revised: 13 Sep 2010
Kay Giesecke, Hossein Kakavand and Mohammad Mousavi
Stanford University - Management Science & Engineering, Stanford University and Stanford University - Management Science & Engineering
Downloads 137 (161,366)
Citation 4

Abstract:

Point Process, Stochastic Intensity, Filtering, Filtration

32.

Simulating Point Processes by Intensity Projection

Number of pages: 9 Posted: 14 Jul 2008
Kay Giesecke, Hossein Kakavand and Mohammad Mousavi
Stanford University - Management Science & Engineering, Stanford University and Stanford University - Management Science & Engineering
Downloads 122 (185,745)
Citation 1

Abstract:

Point process simulation, exact simulation, stochastic intensity, affine point process

33.

Large Portfolio Asymptotics for Loss from Default

Downloads 108 (208,451)
Citation 4

Large Portfolio Asymptotics for Loss from Default

Mathematical Finance, Forthcoming
Number of pages: 29 Posted: 06 Sep 2011 Last Revised: 18 Oct 2013
Kay Giesecke, Konstantinos Spiliopoulos, Richard Sowers and Justin Sirignano
Stanford University - Management Science & Engineering, Brown University - Division of Applied Mathematics, University of Illinois at Urbana-Champaign - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 108 (209,509)
Citation 4

Abstract:

law of large numbers, loss distribution, interacting point processes, portfolio credit risk

Large Portfolio Asymptotics for Loss from Default

Mathematical Finance, Vol. 25, Issue 1, pp. 77-114, 2015
Number of pages: 38 Posted: 17 Jan 2015
Kay Giesecke, Richard Sowers and Justin Sirignano
Stanford University - Management Science & Engineering, University of Illinois at Urbana-Champaign - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 0
Citation 4

Abstract:

law of large numbers, interacting point process, credit risk

34.

Sequential Importance Sampling and Resampling for Dynamic Portfolio Credit Risk

Number of pages: 26 Posted: 09 Sep 2010 Last Revised: 07 Mar 2011
Shaojie Deng, Kay Giesecke and Tze Lai
Stanford University - Department of Statistics, Stanford University - Management Science & Engineering and Stanford University - Department of Statistics
Downloads 104 (197,801)
Citation 1

Abstract:

35.

Filtered Likelihood for Point Processes

Number of pages: 50 Posted: 29 Jul 2011 Last Revised: 10 Jun 2017
Kay Giesecke and Gustavo Schwenkler
Stanford University - Management Science & Engineering and Boston University - Department of Finance & Economics
Downloads 95 (189,222)
Citation 2

Abstract:

point process, filtering, parametric maximum likelihood, asymptotic theory, likelihood approximation

36.

Optimal Importance Sampling of Default Losses

Number of pages: 41 Posted: 08 Sep 2011 Last Revised: 08 Nov 2014
Kay Giesecke and Alexander Shkolnik
Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 87 (199,111)

Abstract:

37.

Default Clustering in Large Portfolios: Typical Events

Annals of Applied Probability, Forthcoming
Number of pages: 40 Posted: 09 Jan 2011 Last Revised: 29 Apr 2012
Kay Giesecke, Konstantinos Spiliopoulos and Richard Sowers
Stanford University - Management Science & Engineering, Brown University - Division of Applied Mathematics and University of Illinois at Urbana-Champaign - Department of Mathematics
Downloads 86 (215,590)
Citation 5

Abstract:

Large Portfolio, Self-Exciting Defaults, Mean-Field, law of large numbers

38.

Numerical Solution of Jump-Diffusion SDEs

Number of pages: 35 Posted: 02 Aug 2013 Last Revised: 01 Dec 2015
Kay Giesecke, Gerald Teng and Yexiang Wei
Stanford University - Management Science & Engineering, Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 58 (185,745)
Citation 4

Abstract:

discretization scheme, jump-diffusion, time-change, weak order of convergence

39.

Large-Scale Loan Portfolio Selection

Number of pages: 41 Posted: 08 Aug 2015 Last Revised: 12 Feb 2016
Justin Sirignano, Gerry Tsoukalas and Kay Giesecke
Imperial College London - Department of Mathematics, University of Pennsylvania - The Wharton School and Stanford University - Management Science & Engineering
Downloads 48 (43,108)

Abstract:

loan portfolio optimization, loan, mortgage, loan portfolio, portfolio optimization, default, prepayment, machine learning, law of large numbers, central limit theorem

40.

Fluctuation Analysis for the Loss from Default

Number of pages: 32 Posted: 03 Mar 2013 Last Revised: 06 Feb 2014
Konstantinos Spiliopoulos, Justin Sirignano and Kay Giesecke
Brown University - Division of Applied Mathematics, Imperial College London - Department of Mathematics and Stanford University - Management Science & Engineering
Downloads 39 (281,084)

Abstract:

CLT, fluctuations analysis, portfolio loss, risk management, approximation

41.

Variation-Based Tests for Volatility Misspecification

Journal of Econometrics, Forthcoming
Number of pages: 48 Posted: 16 Jun 2014 Last Revised: 25 Jan 2016
Alex Papanicolaou and Kay Giesecke
Integral Development Corporation and Stanford University - Management Science & Engineering
Downloads 24 (300,016)

Abstract:

volatility testing, diffusion processes, goodness-of-fit tests

42.

Simulated Likelihood Estimators for Discretely Observed Jump-Diffusions

Number of pages: 52 Posted: 03 Nov 2014 Last Revised: 11 Oct 2016
Kay Giesecke and Gustavo Schwenkler
Stanford University - Management Science & Engineering and Boston University - Department of Finance & Economics
Downloads 20 (333,498)

Abstract:

Density estimator, parameter estimator, exact simulation, simulated likelihood

43.

Reducing Bias in Event Time Simulation via Measure Changes

Number of pages: 41 Posted: 01 Nov 2016
Kay Giesecke and Alexander Shkolnik
Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 0 (430,691)

Abstract:

44.

Deep Learning for Mortgage Risk

Number of pages: 68 Posted: 23 Jun 2016 Last Revised: 09 Jul 2016
Justin Sirignano, Apaar Sadhwani and Kay Giesecke
Imperial College London - Department of Mathematics, Stanford University and Stanford University - Management Science & Engineering
Downloads 0 (8,737)

Abstract:

Deep Learning, Machine Learning, Mortgages, Loans, Credit Risk

45.

Securitization and the Growth of Subprime Mortgage Lending

Number of pages: 48 Posted: 18 May 2016
Michael Ohlrogge and Kay Giesecke
Stanford University - Management Science & Engineering, Students and Stanford University - Management Science & Engineering
Downloads 0 (234,333)

Abstract:

Mortgage Securitization, Natural Experiment, Ratings, Subprime Mortgages

46.

Transform Analysis for Point Processes and Applications in Credit Risk

Mathematical Finance, Vol. 23, Issue 4, pp. 742-762, 2013
Number of pages: 21 Posted: 06 Aug 2013
Kay Giesecke and Shilin Zhu
Stanford University - Management Science & Engineering and Stanford University - Department of Statistics
Downloads 0 (553,143)
Citation 2

Abstract:

point process, transform, compensator, equivalent measure change

47.

Analytical Approximations for Loan and Credit Derivatives Portfolios

Posted: 29 Apr 2012 Last Revised: 20 Jul 2015
Kay Giesecke, Jack Kim and Hideyuki Takada
Stanford University - Management Science & Engineering, Stanford University - Management Science & Engineering and Toho University

Abstract:

profit and loss distribution, correlated defaults, mark-to-market, short-term approximation

48.

In Search of A Modigliani-Miller Economy

Journal of Investment Management, Vol. 2, No. 3, Third Quarter 2004
Posted: 16 Sep 2004
Lisa R. Goldberg and Kay Giesecke
University of California, Berkeley and Stanford University - Management Science & Engineering

Abstract:

Credit risk, leverage ratio, incomplete information model, Modigliani-Miller theorem, Merton model

49.

Sequential Defaults And Incomplete Information

Number of pages: 30 Posted: 30 May 2004
Lisa R. Goldberg and Kay Giesecke
University of California, Berkeley and Stanford University - Management Science & Engineering
Downloads 0
Citation 9

Abstract:

correlated defaults; incomplete information, pricing trend, intensity, simulation, first-to-default

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