Kay Giesecke Assistant Professor Office: Terman 414 | Phone: 650-723-9265 | Fax: 650-723-1614 Email: giesecke @ stanford.edu

Forthcoming Working Papers

1. Systemic Risk: What Defaults Are Telling Us (with B. Kim)
   
2. Near-Exact Simulation of Point Processes with Stochastic Intensities (with B. Kim)
   
3. Markov Valuation of Credit Swaptions (with S. Azizpour and W. Wong)
   
4. Testing Continuous-Time Models of Asset Prices (with M. Leduc)
   
5. Exact Simulation of Point Processes with Stochastic Intensities (with H. Kakavand, M. Mousavi)
   
6. Exact and Efficient Simulation of Correlated Defaults (with H. Kakavand, M. Mousavi, H. Takada)
   

Completed Working Papers

1. Optimizing the Mark-to-Market of a Fixed-Income Portfolio: A Closed-Form Moment Approach (with J. Kim)
   
2. Risk Analysis of Collateralized Debt Obligations (with B. Kim)
   
3. Self-Exciting Corporate Defaults: Contagion vs. Frailty (with S. Azizpour)
   
4. Premia for Correlated Default Risk (with S. Azizpour)
   
5. The Correlation-Neutral Measure for Portfolio Credit
   
6. Affine Point Processes and Portfolio Credit Risk (with E. Errais and L. Goldberg)
   
7. A Top-Down Approach to Multi-Name Credit (with L. Goldberg)
   
8. The Market Price of Credit Risk: The Impact of Asymmetric Information (with L. Goldberg)
   
9. Dependent Events and Changes of Time (with P. Tomecek)
   
10. Forecasting Corporate Liquidation (with X. Ding and E. Errais)
11. Pricing Equity Default Swaps (with P. Tomecek and S. Weber)

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

Survey, Introductory, and Other Articles

1. An Overview of Credit Derivatives
   Jahresbericht der Deutschen Mathematiker-Vereinigung, 111, 2009
2. Measuring the Risk of Large Losses (with T. Schmidt and S. Weber)
   Journal of Investment Management, 6(4), 1-15, 2008 
3. Portfolio Credit Risk: Top-Down vs. Bottom-Up Approaches
   Frontiers in Quantitative Finance: Credit Risk and Volatility Modeling, R. Cont (Ed.), Wiley, 2008
   
4. Credit Risk Modeling and Valuation: An Introduction
   Credit Risk: Models and Management, Vol. 2, D. Shimko (Ed.), Risk Books, 2004
   
5. Forecasting Extreme Financial Risk (with L. Goldberg)
   Risk Management: A Modern Perspective, M. Ong (Ed.), Wiley, 2004
   
6. In Search of a Modigliani-Miller Economy (with L. Goldberg)
   Journal of Investment Management, 2(3), 1-6, 2004
   
7. Credit Risk Modeling (with L. Goldberg and T. Backshall)
   Handbook of Fixed Income Securities, F. Fabozzi (Ed.), Wiley, 2004
   
8. A Simple Exponential Model for Dependent Defaults
   Journal of Fixed Income 13(3), 74-83, 2003