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

Working Papers

1. Self-Exciting Corporate Defaults (with S. Azizpour)
   
2. Premia for Correlated Default Risk (with S. Azizpour)
   
3. The Correlation-Neutral Measure for Portfolio Credit
   
4. Time-Changed Birth Processes and Multi-Name Credit (with X. Ding and P. Tomecek)
   
5. Pricing Credit from the Top Down with Affine Point Processes (with E. Errais and L. Goldberg)
   
6. A Top Down Approach to Multi-Name Credit (with L. Goldberg)
   
7. The Market Price of Credit Risk (with L. Goldberg)
   
8. Dependent Events and Changes of Time (with P. Tomecek)
   
9. Forecasting Liquidation (with X. Ding and E. Errais) Under Revision.

Publications

1. Estimating Tranche Spreads by Loss Process Simulation (with B. Kim)
   Proceedings of the 2007 Winter Simulation Conference, 2007
   
2. Default and Information
   Journal of Economic Dynamics and Control, 30(11), 2281-2303, 2006
   
3. Credit Contagion and Aggregate Losses (with S. Weber)
   Journal of Economic Dynamics and Control, 30(5), 741-767, 2006
   
4. Sequential Defaults and Incomplete Information (with L. Goldberg)
   Journal of Risk, 7(1), 1-26, 2004
   
5. Forecasting Default in the Face of Uncertainty (with L. Goldberg)
   Journal of Derivatives, 12(1), 14-25, 2004
   
6. Cyclical Correlations, Credit Contagion, and Portfolio Losses (with S. Weber)
   Journal of Banking and Finance, 28(12), 3009-3036, 2004
   
7. In Search of a Modigliani-Miller Economy (with L. Goldberg)
   Journal of Investment Management, 2(3), 1-6, 2004
   
8. Correlated Default with Incomplete Information
   Journal of Banking and Finance 28(7), 1521–1545, 2004
   
9. A Simple Exponential Model for Dependent Defaults
   Journal of Fixed Income 13(3), 74-83, 2003
   
10. Measuring the Risk of Large Losses (with T. Schmidt and S. Weber)
    Journal of Investment Management, 6, 2008 

Contributions to Books

1. Portfolio Credit: Top Down vs. Bottom Up
   Frontiers in Quantitative Finance: Credit Risk and Volatility Modeling, R. Cont (Ed.), Wiley, 2008
   
2. Credit Risk Modeling and Valuation: An Introduction
   Credit Risk: Models and Management, Vol. 2, D. Shimko (Ed.), Risk Books, 2004
   
3. Forecasting Extreme Financial Risk (with L. Goldberg)
   Risk Management: A Modern Perspective, M. Ong (Ed.), Wiley, 2004
   
4. Credit Risk Modeling (with L. Goldberg and T. Backshall)
   Handbook of Fixed Income Securities, F. Fabozzi (Ed.), Wiley, 2004