People

Kay Giesecke

Giesecke

Assistant Professor,
Management Science and Engineering

Office: Huang 307
Phone: 650.723.9265
Fax: 650.723.1614
Email: giesecke @ stanford.edu

Home | Publications | Research | CreditLab | Grants | Patent | Teaching | CV

Working Papers

  1. Importance Sampling for Event Timing Models (with A. Shkolnik)
  2. Exploring the Sources of Default Clustering (with S. Azizpour and G. Schwenkler)
  3. Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective (with F. Longstaff, S. Schaefer, I. Strebulaev)
  4. Dynamic Portfolio Execution With Correlated Supply/Demand Curves (with G. Tsoukalas and J. Wang)

Research Articles

  1. Filtered Likelihood for Point Processes (with G. Schwenkler)
    The Annals of Statistics, accepted subject to minor revisions
  2. Large Portfolio Asymptotics for Loss From Default (with K. Spiliopoulos, R. Sowers, and J. Sirignano)
    Mathematical Finance, accepted subject to minor revisions
  3. Exact Sampling of Jump-Diffusions (with D. Smelov)
    Operations Research, second round of review
  4. Fixed-Income Portfolio Selection (with J. Kim)
    Management Science, second round of review
  5. Default Clustering in Large Portfolios: Typical Events (with K. Spiliopoulos and R. Sowers)
    The Annals of Applied Probability, forthcoming
  6. Transform Analysis for Point Processes and Applications in Credit Risk (with S. Zhu)
    Mathematical Finance, forthcoming
  7. Sequential Importance Sampling And Resampling For Dynamic Portfolio Credit Risk (with S. Deng and T. L. Lai)
    Operations Research, forthcoming
  8. Monte Carlo Algorithms For Default Timing Problems (with B. Kim and S. Zhu)
    Management Science, 57(12), 2115-2129, 2011
  9. Exact Simulation of Point Processes With Stochastic Intensities (with H. Kakavand, M. Mousavi), e-companion
    Operations Research, 59(5), 1233-1245, 2011
  10. Corporate Bond Default Risk: A 150-Year Perspective (with F. Longstaff, S. Schaefer, I. Strebulaev)
    Journal of Financial Economics, 102(2), 233-250, 2011
  11. Systemic Risk: What Defaults Are Telling Us (with B. Kim)
    Management Science, 57(8), 1387-1405, 2011
  12. A Top-Down Approach to Multi-Name Credit (with L. Goldberg and X. Ding)
    Operations Research, 59(2), 283-300, 2011
  13. Premia for Correlated Default Risk (with S. Azizpour and B. Kim)
    Journal of Economic Dynamics and Control, 35(8), 1340-1357, 2011
  14. Risk Analysis of Collateralized Debt Obligations (with B. Kim), e-companion
    Operations Research, 59(1), 32-49, 2011
  15. Exact and Efficient Simulation of Correlated Defaults (with H. Kakavand, M. Mousavi, H. Takada)
    SIAM Journal on Financial Mathematics, 1, 868-896, 2010
  16. Affine Point Processes and Portfolio Credit Risk (with E. Errais and L. Goldberg)
    SIAM Journal on Financial Mathematics, 1, 642-665, 2010
  17. Time-Changed Birth Processes and Multi-Name Credit Derivatives (with X. Ding and P. Tomecek)
    Operations Research, 57(4), 990-1005, 2009
  18. Default and Information
    Journal of Economic Dynamics and Control, 30(11), 2281-2303, 2006
  19. Credit Contagion and Aggregate Losses (with S. Weber)
    Journal of Economic Dynamics and Control, 30(5), 741-767, 2006
  20. Cyclical Correlations, Credit Contagion, and Portfolio Losses (with S. Weber)
    Journal of Banking and Finance, 28(12), 3009-3036, 2004
  21. Sequential Defaults and Incomplete Information (with L. Goldberg)
    Journal of Risk, 7(1), 1-26, 2004
  22. Correlated Default with Incomplete Information
    Journal of Banking and Finance 28(7), 1521-1545, 2004
  23. Forecasting Default in the Face of Uncertainty (with L. Goldberg)
    Journal of Derivatives, 12(1), 14-25, 2004

Conference Publications

  1. Importance Sampling For Indicator Markov Chains (with A. Shkolnik)
    Proceedings of the 2010 Winter Simulation Conference, IEEE Press, 2742-2750, 2010
  2. 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
  3. Simulating Point Processes by Intensity Projection (with H. Kakavand and M. Mousavi)
    Proceedings of the 2008 Winter Simulation Conference, IEEE Press, 560-568, 2008
  4. Estimating Tranche Spreads by Loss Process Simulation (with B. Kim)
    Proceedings of the 2007 Winter Simulation Conference, IEEE Press, 967-975, 2007

Survey, Introductory, Practitioner and Policy 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, Presentation Slides
    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. The Market Price of Credit Risk: The Impact of Asymmetric Information (with L. Goldberg)
  2. Dependent Events and Changes of Time (with P. Tomecek)