
|
|
|
| |
 |
Kay
Giesecke
Assistant Professor
Office: Terman 414 | Phone:
650-723-9265 | Fax: 650-723-1614
Email: giesecke @ stanford.edu
|
| |
Working Papers
- Self-Exciting Corporate Defaults (with S. Azizpour)
- Premia for Correlated Default Risk (with S. Azizpour)
- The Correlation-Neutral Measure for Portfolio Credit
- Time-Changed Birth Processes and Multi-Name Credit (with X. Ding and P. Tomecek)
- Pricing Credit from the Top Down with Affine Point Processes (with E. Errais and L. Goldberg)
- A Top Down Approach to Multi-Name Credit (with L. Goldberg)
- The Market Price of Credit Risk (with L. Goldberg)
- Dependent Events and Changes of Time (with P. Tomecek)
- Forecasting Liquidation (with X. Ding and E. Errais) Under Revision.
Publications
- Estimating Tranche Spreads by Loss Process Simulation (with B. Kim)
Proceedings of the 2007 Winter Simulation Conference, 2007
- Default and Information
Journal of Economic Dynamics and Control, 30(11), 2281-2303, 2006
- Credit Contagion and Aggregate Losses
(with S. Weber)
Journal of Economic Dynamics and Control, 30(5), 741-767, 2006
- Sequential Defaults and Incomplete Information (with L. Goldberg)
Journal of Risk, 7(1), 1-26, 2004
- Forecasting Default in the
Face of Uncertainty (with L. Goldberg)
Journal of Derivatives, 12(1), 14-25,
2004
- Cyclical Correlations,
Credit Contagion, and Portfolio Losses (with
S. Weber)
Journal of Banking and Finance, 28(12),
3009-3036, 2004
- In Search of a Modigliani-Miller
Economy (with L. Goldberg)
Journal of Investment Management, 2(3),
1-6, 2004
- Correlated Default with
Incomplete Information
Journal of Banking and Finance 28(7),
1521–1545, 2004
- A Simple Exponential Model for
Dependent Defaults
Journal of Fixed Income 13(3), 74-83,
2003
- Measuring the Risk of Large Losses (with
T. Schmidt and
S. Weber)
Journal of Investment Management, 6, 2008
Contributions to Books
- Portfolio Credit: Top Down vs. Bottom Up
Frontiers in Quantitative Finance: Credit Risk and Volatility Modeling, R. Cont (Ed.), Wiley, 2008
- Credit Risk Modeling and Valuation: An Introduction
Credit Risk: Models and Management, Vol. 2, D. Shimko (Ed.), Risk Books, 2004
- Forecasting Extreme Financial Risk (with L. Goldberg)
Risk Management: A Modern Perspective, M. Ong (Ed.), Wiley, 2004
- Credit Risk Modeling (with L. Goldberg and T. Backshall)
Handbook of Fixed Income Securities, F. Fabozzi (Ed.), Wiley, 2004
|