Kay Giesecke

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Publications

1. Working Papers

1. Exact and Efficient Simulation of Correlated Defaults (with H. Kakavand, M. Mousavi, H. Takada)
2. Systemic Risk: What Defaults Are Telling Us (with B. Kim)
3. Fixed-Income Portfolio Selection (with J. Kim)
4. Risk Analysis of Collateralized Debt Obligations (with B. Kim)
5. Self-Exciting Corporate Defaults: Contagion vs. Frailty (with S. Azizpour)
6. Premia for Correlated Default Risk (with S. Azizpour)
7. The Correlation-Neutral Measure for Portfolio Credit
8. Affine Point Processes and Portfolio Credit Risk (with E. Errais and L. Goldberg)
9. A Top-Down Approach to Multi-Name Credit (with L. Goldberg and X. Ding)
10. The Market Price of Credit Risk: The Impact of Asymmetric Information (with L. Goldberg)
11. Dependent Events and Changes of Time (with P. Tomecek)
12. Forecasting Corporate Liquidation (with X. Ding and E. Errais)
13. Pricing Equity Default Swaps (with P. Tomecek and S. Weber)

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2. Published Articles

1. Simulating Point Processes by Intensity Projection (with H. Kakavand and M. Mousavi)
   Proceedings of the 2008 Winter Simulation Conference, IEEE Press, 2008
   
2. Time-Changed Birth Processes and Multi-Name Credit Derivatives (with X. Ding and P. Tomecek)
   Operations Research, 57(4), 990-2005, 2009
   
3. Estimating Tranche Spreads by Loss Process Simulation (with B. Kim)
   Proceedings of the 2007 Winter Simulation Conference, IEEE Press, 967--975, 2007
   
4. Default and Information
   Journal of Economic Dynamics and Control, 30(11), 2281-2303, 2006
   
5. Credit Contagion and Aggregate Losses (with S. Weber)
   Journal of Economic Dynamics and Control, 30(5), 741-767, 2006
   
6. Sequential Defaults and Incomplete Information (with L. Goldberg)
   Journal of Risk, 7(1), 1-26, 2004
   
7. Cyclical Correlations, Credit Contagion, and Portfolio Losses (with S. Weber)
   Journal of Banking and Finance, 28(12), 3009-3036, 2004
   
8. Forecasting Default in the Face of Uncertainty (with L. Goldberg)
   Journal of Derivatives, 12(1), 14-25, 2004
   
9. Correlated Default with Incomplete Information
   Journal of Banking and Finance 28(7), 1521-1545, 2004
   

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3. Survey, Introductory, and Other Articles

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
   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. In Search of a Modigliani-Miller Economy (with L. Goldberg)
   Journal of Investment Management, 2(3), 1-6, 2004
   
8. Credit Risk Modeling (with L. Goldberg and T. Backshall)
   Handbook of Fixed Income Securities, F. Fabozzi (Ed.), Wiley, 2004
   
9. A Simple Exponential Model for Dependent Defaults
   Journal of Fixed Income 13(3), 74-83, 2003
   

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Teaching

MS&E 242H Investment Science Honors. Course Website. Syllabus.

Introduction to the basic concepts of modern quantitative finance and investments. The course starts with developing the basic concepts under certainty. This includes arbitrage, term structure of interest rates and bond portfolio immunization. We then extend to a situation of uncertainty in one period. Topics: arbitrage; fundamental theorems of asset pricing; pricing measures; derivative securities; financial risk measures: basic theory, applications and estimation; mean-variance portfolio analysis, equilibrium and the capital asset pricing model. Group projects involving financial market data. Prerequisites: knowledge of basic probability, statistics and economics (MSE 120, 121, MATH51, ENGR 60, or equivalents). No prior knowledge of finance is assumed. Autumn.

MS&E 347 Credit Risk: Modeling and Management. Course Website.
Syllabus.

Introduction to credit risk modeling, valuation and hedging emphasizing underlying economic, probabilistic, and statistical concepts. Point processes and their compensators. Structural, incomplete information and reduced form approaches. Single name products: corporate bonds, equity, equity options, credit and equity default swaps, forwards and swaptions. Multi name modeling: index and tranche swaps, index and tranche options, collateralized debt obligations. Implementation, calibration and testing of models. Industry and market practice. Data and implementation driven group projects that focus on actual problems in the financial industry. Prerequisites: knowledge of stochastic processes at the level of MSE 321, 322 or equivalent, and knowledge of financial engineering at the level of MSE 342, MATH 180, MATH 240, F 622 or similar. Spring.

MS&E 444 Investment Practice. Course Website.

This is a projects course. If needed, there will be occasional lectures on background material. Students will work in small teams to tackle projects co-developed with EvA, a San Francisco based hedge fund. No prior knowledge in finance necessary, but strong quantitative skills for tackling market data-rich problems are key. At the end of the quarter, each team presents the project to the class and quantitative researchers and traders from the hedge fund. Spring.

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