Kay Giesecke
6th Most Prolific Credit Author in DefaultRisk.com
2nd Most Popular Author in DefaultRisk.com
Department of Management
Science and Engineering
Stanford University
Terman 414
Stanford, CA 94305-4026
USA
- Humboldt-Universität zu Berlin, Ph.D. (Finance) (2001)
- Kay Giesecke is an Assistant Professor of Management Science & Engineering at Stanford University. He is on the faculty of Stanford's Financial Mathematics Program. Kay specializes in the quantitative modeling of financial risk, in particular credit risk. Before joining Stanford in 2005, he taught for two years financial engineering at Cornell University's School of Operations Research and Industrial Engineering.
| Contact: | | Email address secured by Enkoder. |
| Phone | +1 (650) 723-9265 |
| Fax | +1 (650) 723-1614 |
| e-mail |
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Publications: that are posted on DefaultRisk.com
Credit Pricing
The Market Price of Credit Risk: The impact of asymmetric information
by Kay Giesecke of Stanford University, and
Lisa R. Goldberg of MSCI Barra
(245K PDF) -- 24 pages -- July 7, 2008
Default and Information
by Kay Giesecke of Stanford University
(433K PDF) -- 23 pages -- November 2006
Credit Modeling
Portfolio Credit Risk: Top Down vs. Bottom Up Approaches
by Kay Giesecke of Stanford University
(170K PDF) -- 17 pages -- February 8, 2008
The Correlation-Neutral Measure for Portfolio Credit
by Kay Giesecke of Stanford University
(225K PDF) -- 22 pages -- November 14, 2007
Dependent Events and Changes of Time
by Kay Giesecke of Cornell University, and
Pascal Tomecek of Cornell University
(243K PDF) -- 28 pages -- July 7, 2005
Credit Risk Modeling and Valuation: An Introduction
by Kay Giesecke of Cornell University
(305K PDF) -- 39 pages -- October 24, 2004
Collateralized Debt Obligations
Risk Analysis of Collateralized Debt Obligations
by Kay Giesecke of Stanford University, and
Baeho Kim of Stanford University
(598K PDF) -- 37 pages -- June 17, 2009
Affine Point Processes and Portfolio Credit Risk
by Eymen Errais of Calypso,
Kay Giesecke of Stanford University, and
Lisa R. Goldberg of MSCI Barra
(334K PDF) -- 32 pages -- March 30, 2009
An Overview of Credit Derivatives
by Kay Giesecke of Stanford University
(364K PDF) -- 29 pages -- March 3, 2009
A Top-down Approach to Multi-name Credit
by Kay Giesecke of Stanford University,
Lisa R. Goldberg of MSCI Barra, and
Xiaowei Ding of Stanford University
(285K PDF) -- 34 pages -- August 11, 2009
Estimating Tranche Spreads by Loss Process Simulation
by Kay Giesecke of Stanford University, and
Baeho Kim of Stanford University
(252K PDF) -- 10 pages -- July 15, 2007
Credit Correlation
Self-exciting Corporate Defaults: Contagion vs. frailty
by Shahriar Azizpour of Stanford University, and
Kay Giesecke of Stanford University
(512K PDF) -- 40 pages -- August 29, 2008
Premia for Correlated Default Risk
by Shahriar Azizpour of Stanford University, and
Kay Giesecke of Stanford University
(692K PDF) -- 31 pages -- June 26, 2008
Time-changed Birth Processes and Multi-name Credit Derivatives
by Xiaowei Ding of Stanford University,
Kay Giesecke of Stanford University, and
Pascal I. Tomecek of J.P. Morgan Securities
(795K PDF) -- 32 pages -- February 29, 2008
Credit Contagion and Aggregate Losses
by Kay Giesecke of Cornell University, and
Stefan Weber of the Technische Universität Berlin
(374K PDF) -- 27 pages -- May 2006
Cyclical Correlations, Credit Contagion, and Portfolio Losses
by Kay Giesecke of Cornell University, and
Stefan Weber of Humboldt-Universität zu Berlin
(351K PDF) -- 28 pages -- December 2004
Correlated Default with Incomplete Information
by Kay Giesecke of Cornell University
(339K PDF) -- 25 pages -- July 2004
A Simple Exponential Model for Dependent Defaults
by Kay Giesecke of Cornell University
(213K PDF) -- 20 pages -- December 2003
Other Credit
Fixed-Income Portfolio Selection
by Kay Giesecke of Stanford University, and
Jack Kim of Stanford University
(403K PDF) -- 37 pages -- August 24, 2009
Measuring the Risk of Large Losses
by Kay Giesecke of Stanford University,
Thorsten Schmidt of the Universität Leipzig, and
Stefan Weber of Cornell University
(585K PDF) -- 15 pages -- Q4 2008
Forecasting Extreme Financial Risk
by Kay Giesecke of Cornell University, and
Lisa Goldberg of MSCI Barra
(375K PDF) -- 22 pages -- April 11, 2005
Book Chapters:
 | Frontiers in Quantitative Finance: Volatility and Credit Risk Modeling
by Rama Cont (Editor),
Wiley, (November 7, 2008), Hardcover, 288 pages |
 | Risk Management, Volume 1: A Modern Perspective
by Michael Ong (Editor),
Academic Press, (December 5, 2005), Hardcover, 768 pages |
 | Credit Risk: Models and Management -- 2nd Ed.
by David Shimko (Editor) Risk Books, 1999, Hardcover, 332 page |
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