Bio


Kay Giesecke is an Associate Professor of Management Science & Engineering at Stanford University and the Paul Pigott Faculty Scholar in the School of Engineering. He is the Director of Stanford's Center for Financial and Risk Analytics, the Director of Stanford's Quantitative Finance Certificate Program in Hong Kong, and the Co-Director of Stanford's Mathematical and Computational Finance Program. He is also the Vice-Chair of the SIAM Activity Group on Financial Mathematics and Engineering.

Kay's research addresses the quantification and management of financial risks. He is particularly interested in the stochastic modeling, valuation and hedging of financial risks; the development of statistical tools to estimate and predict these risks; and the methods for solving the significant computational problems that arise in this context. Kay's research contributions enable more effective hedging of financial risks, better risk management at financial institutions, and more accurate measurement of systemic risk in financial markets. They have won the 2011 Fama/DFA Prize for the Best Asset Pricing Paper in the Journal of Financial Economics and the 2003 Gauss Prize of the Society for Actuarial and Financial Mathematics of Germany. Kay's research has been funded by grants from the National Science Foundation, JP Morgan, Morgan Stanley, Mizuho, Moody's, Credit Suisse, American Express, and other organizations.

Kay has served as a consultant to banks, investment and risk management firms, governmental agencies, and supranational organizations in the area of risk management and derivatives valuation and hedging. He holds a U.S. patent on a method for the quantification of credit risk in the presence of incomplete information.

Academic Appointments


  • Associate Professor, Management Science and Engineering

Administrative Appointments


  • Vice-Chair, SIAM Activity Group on Financial Mathematics and Engineering (2013 - Present)
  • Director, Stanford Center for Financial and Risk Analytics (2013 - Present)
  • Co-Director, Mathematical and Computational Finance Program, Stanford (2013 - Present)
  • Director, Stanford Quantitative Finance Certificate Program, Hong Kong (2013 - Present)

Honors & Awards


  • Fama/DFA Prize for the Best Asset Pricing Paper, Journal of Financial Economics (2011)
  • Paul Pigott Faculty Scholar, Stanford School of Engineering (2013)
  • Gauss Prize, Society for Actuarial and Financial Mathematics of Germany (2003)
  • Graduate Teaching Award, Stanford University (2007)
  • Deutsche Bundesbank Fellow, Deutsche Bundesbank (2002)

Boards, Advisory Committees, Professional Organizations


  • Vice Chair, SIAM Activity Group on Financial Mathematics and Engineering (2013 - Present)
  • Associate Editor, Operations Research (2008 - Present)
  • Associate Editor, SIAM Journal on Financial Mathematics (2013 - Present)
  • Associate Editor, Mathematical Finance (2013 - Present)
  • Associate Editor, Journal of Banking and Finance (2011 - Present)
  • Associate Editor, IIE Transactions (2009 - Present)
  • Associate Editor, Operations Research Letters (2009 - 2012)
  • Editorial Board, SIAM Book Series on Financial Mathematics (2013 - Present)

Professional Education


  • PhD, Humboldt University Berlin, Germany, Economics (2001)

Patents


  • Kay Giesecke. "United States Patent 7536329 Method and Apparatus for an Incomplete Information Model of Credit Risk", Nov 11, 2004

Current Research and Scholarly Interests


Kay's research addresses the quantification and management of financial risks. He is particularly interested in the stochastic modeling, valuation and hedging of financial risks; the development of statistical tools to estimate and predict these risks; and the methods for solving the significant computational problems that arise in this context. Kay's research contributions enable more effective hedging of financial risks, better risk management at financial institutions, and more accurate measurement of systemic risk in financial markets.

2013-14 Courses


Journal Articles


  • Optimal Credit Swap Portfolios Management Science, forthcoming Giesecke, K., Kim, B., Kim, J., Tsoukalas, G.
  • Optimal Credit Swap Portfolios MANAGEMENT SCIENCE Giesecke, K., et al 2014
  • TRANSFORM ANALYSIS FOR POINT PROCESSES AND APPLICATIONS IN CREDIT RISK MATHEMATICAL FINANCE Giesecke, K., Zhu, S. 2013; 23 (4): 742-762
  • Exact Sampling of Jump Diffusions OPERATIONS RESEARCH Giesecke, K., Smelov, D. 2013; 61 (4): 894-907
  • DEFAULT CLUSTERING IN LARGE PORTFOLIOS: TYPICAL EVENTS ANNALS OF APPLIED PROBABILITY Giesecke, K., Spiliopoulos, K., Sowers, R. B. 2013; 23 (1): 348-385

    View details for DOI 10.1214/12-AAP845

    View details for Web of Science ID 000315310800009

  • Exact Sampling of Jump-Diffusions , e-companion Operations Research Giesecke, K., Smelov, D. 2013; 4 (61):  894-907
  • Sequential Importance Sampling and Resampling for Dynamic Portfolio Credit Risk OPERATIONS RESEARCH Deng, S., Giesecke, K., Lai, T. L. 2012; 60 (1): 78-91
  • Monte Carlo Algorithms for Default Timing Problems MANAGEMENT SCIENCE Giesecke, K., Kim, B., Zhu, S. 2011; 57 (12): 2115-2129
  • Corporate bond default risk: A 150-year perspective JOURNAL OF FINANCIAL ECONOMICS Giesecke, K., Longstaff, F. A., Schaefer, S., Strebulaev, I. 2011; 102 (2): 233-250
  • Exact Simulation of Point Processes with Stochastic Intensities OPERATIONS RESEARCH Giesecke, K., Kakavand, H., Mousavi, M. 2011; 59 (5): 1233-1245
  • Premia for correlated default risk JOURNAL OF ECONOMIC DYNAMICS & CONTROL Azizpour, S., Giesecke, K., Kim, B. 2011; 35 (8): 1340-1357
  • Systemic Risk: What Defaults Are Telling Us MANAGEMENT SCIENCE Giesecke, K., Kim, B. 2011; 57 (8): 1387-1405
  • A Top-Down Approach to Multiname Credit OPERATIONS RESEARCH Giesecke, K., Goldberg, L. R., Ding, X. 2011; 59 (2): 283-300
  • Risk Analysis of Collateralized Debt Obligations OPERATIONS RESEARCH Giesecke, K., Kim, B. 2011; 59 (1): 32-49
  • IMPORTANCE SAMPLING FOR INDICATOR MARKOV CHAINS PROCEEDINGS OF THE 2010 WINTER SIMULATION CONFERENCE Giesecke, K., Shkolnik, A. D. 2010: 2742-2750
  • Exact and Efficient Simulation of Correlated Defaults SIAM JOURNAL ON FINANCIAL MATHEMATICS Giesecke, K., Kakavand, H., Mousavi, M., Takada, H. 2010; 1 (1): 868-896

    View details for DOI 10.1137/090778055

    View details for Web of Science ID 000208691600033

  • Affine Point Processes and Portfolio Credit Risk SIAM JOURNAL ON FINANCIAL MATHEMATICS Errais, E., Giesecke, K., Goldberg, L. R. 2010; 1 (1): 642-665

    View details for DOI 10.1137/090771272

    View details for Web of Science ID 000208691600026

  • Time-Changed Birth Processes and Multiname Credit Derivatives OPERATIONS RESEARCH Ding, X., Giesecke, K., Tomecek, P. I. 2009; 57 (4): 990-1005
  • RARE EVENT SIMULATION FOR A GENERALIZED HAWKES PROCESS PROCEEDINGS OF THE 2009 WINTER SIMULATION CONFERENCE (WSC 2009 ), VOL 1-4 Zhang, X., Glynn, P. W., Giesecke, K., Blanchet, J. 2009: 1271-1278
  • Assessing the Systemic Implications of Financial Linkages Global Financial Stability Report, International Monetary Fund Giesecke, K., Chan-Lau, J., Chan-Lau, J., Espinosa-Vega, M., Sole, J. 2009
  • An Overview of Credit Derivatives, Presentation Slides Jahresbericht der Deutschen Mathematiker-Vereinigung Giesecke, K. 2009; 111
  • SIMULATING POINT PROCESSES BY INTENSITY PROJECTION 2008 WINTER SIMULATION CONFERENCE, VOLS 1-5 Giesecke, K., Kakavand, H., Mousavi, M. 2008: 560-568
  • Measuring the Risk of Large Losses Journal of Investment Management Giesecke, K., Schmidt, T., Weber, S. 2008; 4 (6): 1-15
  • Estimating tranche spreads by loss process simulation PROCEEDINGS OF THE 2007 WINTER SIMULATION CONFERENCE, VOLS 1-5 Giesecke, K., Kim, B. 2007: 946-954
  • Default and information JOURNAL OF ECONOMIC DYNAMICS & CONTROL Giesecke, K. 2006; 30 (11): 2281-2303
  • Credit contagion and aggregate losses JOURNAL OF ECONOMIC DYNAMICS & CONTROL Giesecke, K., Weber, S. 2006; 30 (5): 741-767
  • Cyclical correlations, credit contagion, and portfolio losses JOURNAL OF BANKING & FINANCE Giesecke, K., Weber, S. 2004; 28 (12): 3009-3036
  • Correlated default with incomplete information JOURNAL OF BANKING & FINANCE Giesecke, K. 2004; 28 (7): 1521-1545
  • Sequential Defaults and Incomplete Information Journal of Risk Giesecke, K., Goldberg, L., Goldberg, L. 2004 ; 1 (7): 1-26
  • Forecasting Default in the Face of Uncertainty Journal of Derivatives Giesecke, K., Goldberg, L., Goldberg, L. 2004 ; 1 (12): 14-25
  • In Search of a Modigliani-Miller Economy Journal of Investment Management Giesecke, K., Goldberg, L. 2004 ; 3 (2): 1-6
  • A Simple Exponential Model for Dependent Defaults Journal of Fixed Income Giesecke, K. 2003; 3 (13): 74-83

Books and Book Chapters


  • Portfolio Credit Risk: Top-Down vs. Bottom-Up Approaches  Frontiers in Quantitative Finance: Credit Risk and Volatility Modeling Giesecke, K. edited by Cont, R. Wiley. 2008: 1
  • Credit Risk Modeling and Valuation: An Introduction  Credit Risk: Models and Management Giesecke, K. edited by Shimko, D. Risk Books. 2004 : 1
  • Forecasting Extreme Financial Risk Risk Management: A Modern Perspective Giesecke, K., Goldberg, L. edited by Ong, M. Wiley. 2004 : 1
  • Credit Risk Modeling Handbook of Fixed Income Securities Giesecke, K. edited by Fabozzi, F. Wiley. 2004 : 1

Conference Proceedings


  • Rare-Event Simulation For a Generalized Hawkes Process Giesecke, K., Blanchet, J., Glynn, P., Zhang, X. 2009 
  • Estimating Tranche Spreads by Loss Process Simulation Giesecke, K., Kim, B. 2007