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

51

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340

Scholarly Papers (51)

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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 6,894 (845)
Citation 28

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

2.

Deep Learning for Mortgage Risk

Number of pages: 75 Posted: 23 Jun 2016 Last Revised: 22 Nov 2018
Justin Sirignano, Apaar Sadhwani and Kay Giesecke
Imperial College London - Department of Mathematics, Stanford University and Stanford University - Management Science & Engineering
Downloads 3,772 (2,435)
Citation 14

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Deep Learning, Machine Learning, Mortgages, Loans, Credit Risk, Prepayment Risk, Nonlinear Model

3.

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 1,435 (12,350)
Citation 1

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

4.

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 1,230 (15,747)
Citation 8

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

5.

Optimal Credit Swap Portfolios

Number of pages: 32 Posted: 03 Jul 2009 Last Revised: 20 Aug 2018
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 1,213 (16,077)
Citation 2

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portfolio selection, credit swap, goal program, nested expectation

6.

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 972 (22,415)

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

7.

Dynamic Portfolio Execution

Management Science, Forthcoming
Number of pages: 44 Posted: 24 Jun 2012 Last Revised: 01 Jul 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 951 (23,122)
Citation 2

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8.

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 945 (23,334)
Citation 10

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

9.

Exploring the Sources of Default Clustering

Journal of Financial Economics 129 (2018), 154-183
Number of pages: 73 Posted: 05 May 2008 Last Revised: 31 Jul 2018
Shahriar Azizpour, Kay Giesecke and Gustavo Schwenkler
Stanford University - Management Science & Engineering, Stanford University - Management Science & Engineering and Boston University - Questrom School of Business
Downloads 833 (27,995)
Citation 2

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

10.

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 821 (28,544)
Citation 5

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

11.

Default and Information

Number of pages: 25 Posted: 11 Jun 2003
Kay Giesecke
Stanford University - Management Science & Engineering
Downloads 813 (28,915)
Citation 5

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incomplete information, trend, intensity, filtration

12.

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 812 (28,956)

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

13.

Large-Scale Loan Portfolio Selection

Operations Research, 64, 1239-1255, 2016
Number of pages: 41 Posted: 08 Aug 2015 Last Revised: 03 Aug 2017
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 744 (32,666)
Citation 2

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

14.

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 711 (34,721)
Citation 6

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

15.

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 670 (37,648)
Citation 26

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

16.

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 660 (38,400)
Citation 14

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

17.

A Simple Exponential Model for Dependent Defaults

Number of pages: 30 Posted: 25 Jun 2002
Kay Giesecke
Stanford University - Management Science & Engineering
Downloads 533 (50,764)
Citation 3

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correlated defaults, multivariate exponential model, simulation

18.

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 530 (51,160)
Citation 9

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systemic risk, hazard model, spillover, covariates, intensity

19.

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 492 (56,179)
Citation 1

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

20.

Risk Analysis for Large Pools of Loans

Number of pages: 62 Posted: 24 Oct 2014 Last Revised: 06 Sep 2017
Justin Sirignano and Kay Giesecke
Imperial College London - Department of Mathematics and Stanford University - Management Science & Engineering
Downloads 402 (71,932)
Citation 1

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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

21.

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, University of Freiburg and ORIE, Cornell University
Downloads 384 (75,867)

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

22.

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

Downloads 380 ( 76,760)
Citation 6

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 352 (83,266)
Citation 1

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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 28 (488,108)

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23.

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 360
Citation 2

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

24.

Correlated Default with Incomplete Information

Downloads 353 ( 83,652)
Citation 13

Correlated Default with Incomplete Information

Number of pages: 33 Posted: 27 Nov 2001
Kay Giesecke
Stanford University - Management Science & Engineering
Downloads 353 (83,003)
Citation 13

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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:

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correlated defaults, default clustering, copulas, incomplete information

25.

Corporate Bond Default Risk: A 150-Year Perspective

NBER Working Paper No. w15848
Number of pages: 46 Posted: 29 Mar 2010 Last Revised: 26 Apr 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 321 (93,070)
Citation 1

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26.

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 312 (96,083)
Citation 1

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

27.

Cyclical Correlations, Credit Contagion, and Portfolio Losses

Downloads 307 ( 97,754)
Citation 4

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 307 (97,221)
Citation 4

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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

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

28.

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 301 (99,831)

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

29.

Numerical Solution of Jump-Diffusion SDEs

Number of pages: 39 Posted: 02 Aug 2013 Last Revised: 20 Mar 2018
Kay Giesecke, Alexander Shkolnik, Gerald Teng and Yexiang Wei
Stanford University - Management Science & Engineering, University of California, Santa Barbara (UCSB), Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 227 (133,884)
Citation 7

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

30.

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 225 (135,042)

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31.

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 222 (136,805)
Citation 6

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32.

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 210 (144,244)

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point process, simulation, credit derivative

33.

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 201 (150,262)
Citation 11

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

34.

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 165 (179,439)
Citation 1

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

35.

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 159 (185,222)

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Point Process, Stochastic Intensity, Filtering, Filtration

36.

Filtered Likelihood for Point Processes

Journal of Econometrics, Vol. 204, No. 1, 2018
Number of pages: 21 Posted: 29 Jul 2011 Last Revised: 08 Jun 2018
Kay Giesecke and Gustavo Schwenkler
Stanford University - Management Science & Engineering and Boston University - Questrom School of Business
Downloads 153 (191,334)
Citation 9

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

37.

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 University of California, Santa Barbara (UCSB)
Downloads 149 (195,543)
Citation 1

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38.

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 130 (218,238)

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

39.

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 121 (230,455)

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40.

Inference for Large Financial Systems

Boston University Questrom School of Business Research Paper
Number of pages: 56 Posted: 04 Aug 2017 Last Revised: 09 Jan 2019
Kay Giesecke, Gustavo Schwenkler and Justin Sirignano
Stanford University - Management Science & Engineering, Boston University - Questrom School of Business and Imperial College London - Department of Mathematics
Downloads 119 (233,318)
Citation 1

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Interacting stochastic systems, likelihood inference, weak limits, large system asymptotics, indirect inference

41.

Large Portfolio Asymptotics for Loss from Default

Downloads 118 (234,833)
Citation 14

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 118 (235,892)
Citation 2

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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 1
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law of large numbers, interacting point process, credit risk

42.

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 110 (246,899)
Citation 3

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

43.

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 96 (270,823)

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

44.

Simulated Likelihood Estimators for Discretely Observed Jump-Diffusions

Number of pages: 48 Posted: 03 Nov 2014 Last Revised: 30 Aug 2018
Kay Giesecke and Gustavo Schwenkler
Stanford University - Management Science & Engineering and Boston University - Questrom School of Business
Downloads 89 (284,321)
Citation 3

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Density estimator, parameter estimator, exact simulation, simulated likelihood

45.

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
University of California, Berkeley and Stanford University - Management Science & Engineering
Downloads 69 (330,192)

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

46.

Reducing Bias in Event Time Simulations via Measure Changes

Number of pages: 34 Posted: 01 Nov 2016 Last Revised: 17 Jan 2018
Kay Giesecke and Alexander Shkolnik
Stanford University - Management Science & Engineering and University of California, Santa Barbara (UCSB)
Downloads 53 (376,502)
Citation 2

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47.

Towards Explainable AI: Significance Tests for Neural Networks

Number of pages: 32 Posted: 07 Mar 2019
Enguerrand Horel and Kay Giesecke
Stanford University - Institute for Computational and Mathematical Engineering and Stanford University - Management Science & Engineering
Downloads 28 (474,840)
Citation 1

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48.

Securitization and the Growth of Subprime Mortgage Lending

Posted: 18 May 2016
Michael Ohlrogge and Kay Giesecke
New York University School of Law and Stanford University - Management Science & Engineering

Abstract:

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Mortgage Securitization, Natural Experiment, Ratings, Subprime Mortgages

49.

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 (666,984)
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point process, transform, compensator, equivalent measure change

50.

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

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

51.

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:

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