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 directs the Center for Financial and Risk Analytics, the Quantitative Finance Certificate Program in Hong Kong, the Stanford-NUS Financial Analytics Program in Singapore, and co-directs the Mathematical and Computational Finance Program. He is a member of the Institute for Computational and Mathematical Engineering.

Kay's research addresses the management of financial risk. He develops stochastic models and statistical tools for measuring risk, and designs numerical methods for solving the significant computational problems that arise in this context. His work has been funded by grants from the National Science Foundation, JP Morgan, Morgan Stanley, Moody's, Credit Suisse, Mizuho, American Express, and other organizations.

Kay is the recipient of the Fama/DFA Prize for the Best Asset Pricing Paper in the Journal of Financial Economics (2011),the Management Science & Engineering Graduate Teaching Award (2007), and the Gauss Prize of the Society for Actuarial and Financial Mathematics of Germany (2003). He holds a U.S. patent on a method for the quantification of credit risk in the presence of incomplete information. He serves on the editorial boards of Mathematical Finance,Operations Research, SIAM Journal on Financial Mathematics, Journal of Risk, and other journals.

Kay advises several financial technology startups and has served as a consultant to banks, investment and risk management firms, governmental agencies, and supranational organizations.

Academic Appointments


  • Associate Professor, Management Science and Engineering

Administrative Appointments


  • 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


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

Boards, Advisory Committees, Professional Organizations


  • Associate Editor, Operations Research (2008 - Present)
  • Associate Editor, Mathematical Finance (2013 - Present)
  • Associate Editor, SIAM Journal on Financial Mathematics (2013 - Present)
  • Associate Editor, Journal of Risk (2015 - Present)
  • Associate Editor, Journal of Credit Risk (2016 - Present)
  • Editorial Board, SIAM Book Series on Financial Mathematics (2013 - Present)
  • Vice Chair, SIAM Activity Group on Financial Mathematics and Engineering (2013 - 2015)
  • Associate Editor, IIE Transactions (2009 - 2015)
  • Associate Editor, Journal of Banking and Finance (2011 - 2015)
  • Associate Editor, Operations Research Letters (2009 - 2012)

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.

2016-17 Courses


Stanford Advisees


All Publications


  • LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT MATHEMATICAL FINANCE Giesecke, K., Spiliopoulos, K., Sowers, R. B., Sirignano, J. A. 2015; 25 (1): 77-114

    View details for DOI 10.1111/mafi.12011

    View details for Web of Science ID 000348060500004

  • Optimal Credit Swap Portfolios MANAGEMENT SCIENCE Giesecke, K., Kim, B., Kim, J., Tsoukalas, G. 2014; 60 (9): 2291-2307
  • Fluctuation analysis for the loss from default STOCHASTIC PROCESSES AND THEIR APPLICATIONS Spiliopoulos, K., Sirignano, J. A., Giesecke, K. 2014; 124 (7): 2322-2362
  • Macroeconomic effects of corporate default crisis: A long-term perspective JOURNAL OF FINANCIAL ECONOMICS Giesecke, K., Longstaff, F. A., Schaefer, S., Strebulaev, I. A. 2014; 111 (2): 297-310
  • 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
  • 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

  • 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

  • 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
  • Rare-Event Simulation For a Generalized Hawkes Process Giesecke, K., Blanchet, J., Glynn, P., Zhang, X. 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
  • 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
  • Estimating tranche spreads by loss process simulation PROCEEDINGS OF THE 2007 WINTER SIMULATION CONFERENCE, VOLS 1-5 Giesecke, K., Kim, B. 2007: 946-954
  • Estimating Tranche Spreads by Loss Process Simulation Giesecke, K., Kim, B. 2007 
  • 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
  • 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
  • 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
  • Credit Risk Modeling Handbook of Fixed Income Securities Giesecke, K. edited by Fabozzi, F. Wiley. 2004 : 1
  • A Simple Exponential Model for Dependent Defaults Journal of Fixed Income Giesecke, K. 2003; 3 (13): 74-83