Stanford
Kay Giesecke

Publications

Working Papers

  1. Unbiased Simulation Estimators for Multivariate Jump-Diffusions (with G. Chen, A. Shkolnik)
  2. Asymptotically Optimal Importance Sampling for Event Timing (with A. Shkolnik)
  3. Learning Home Price Dynamics (with B. Ramos and Y. Wei)
  4. Specified Pool Pay-Ups (with Y. Fan and J. Zou) 
  5. Learning Path-Dependency: The Set-Sequence Model (with E. Epstein and A. Sadhwani) 
  6. Physical Climate Risk and Mortgage Securities Markets

Research Articles

  1. Advances in Blockchain and Crypto Economics (with B. Biais, A. Capponi, W. Cong, V. Gaur)
    Management Science, 69(11):6417-6426
  2. Computationally Efficient Feature Significance for Machine Learning Models (with E. Horel)
    Proceedings of the Third ACM International Conference on AI in Finance (ICAIF 2022)
  3. Reducing Bias in Event Time Simulations via Measure Changes (with A. Shkolnik)
    Mathematics of Operations Research, 47(2), 847-1705, 2022
  4. Significance Tests for Neural Networks (with E. Horel)
    Journal of Machine Learning Research, 21(227), 1−29, 2020
  5. Deep Learning for Mortgage Risk (with J. Sirignano and A. Sadhwani) 
    Journal of Financial Econometrics, 19(2), 313–368, 2021
  6. Numerical Solution of Jump-Diffusion SDEs (with A. Shkolnik, G. Teng, Y. Wei)
    Operations Research, forthcoming
  7. Inference for Large Financial Systems (with J. Sirignano and G. Schwenkler)
    Mathematical Finance, 30(1), 3-46, 2020
  8. Simulated Likelihood Estimators for Discretely-Observed Jump-Diffusions (with G. Schwenkler)  
    Journal of Econometrics, 213(2), 297-320, 2019 R code 
  9. Exploring the Sources of Default Clustering (with S. Azizpour and G. Schwenkler)
    Journal of Financial Economics, 129(1), 154-183, 2018
  10. Filtered Likelihood for Point Processes (with G. Schwenkler) 
    Journal of Econometrics, 204 (1), 33-53, 2018
  11. Risk Analysis for Large Pools of Loans (with J. Sirignano)  
    Winner of the inaugural SIAM FME Conference Paper Prize 
    Management Science, 65(1), 107-121, 2019
  12. Dynamic Portfolio Execution (with G. Tsoukalas and J. Wang)  
    Management Science, 65(5), 1949-2443, 2019
  13. Large-Scale Loan Portfolio Selection (with J. Sirignano and G. Tsoukalas)
    Operations Research, 64, 1239-1255, 2016
  14. Variation-Based Tests for Volatility Misspecification (with A. Papanicolaou)  
    Journal of Econometrics,191(1), 217-2310, 2016
  15. Affine Point Processes: Approximation and Efficient Simulation (with X. Zhang, J. Blanchet, P. Glynn)  
    Mathematics of Operations Research, 40(4), 797-819, 2015
  16. Large Portfolio Asymptotics for Loss From Default (with K. Spiliopoulos, R. Sowers, and J. Sirignano)  
    Mathematical Finance,  25(1), 77-114, 2015
  17. Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective (with F. Longstaff, S. Schaefer, I. Strebulaev)
    Journal of Financial Economics,111(2), 297-310, 2014
  18. Fluctuation Analysis for the Loss From Default (with K. Spiliopoulos and J. Sirignano)  
    Stochastic Processes and Their Applications,124(7), 2322-2362, 2014
  19. Optimal Credit Swap Portfolios (with B. Kim, J. Kim, and G. Tsoukalas)
    Management Science, 60(9), 2291-2307, 2014
  20. Exact Sampling of Jump-Diffusions (with D. Smelov), e-companion  
    Operations Research, 61(4), 894-907, 2013
  21. Default Clustering in Large Portfolios: Typical Events (with K. Spiliopoulos and R. Sowers)  
    Annals of Applied Probability, 23(1), 348-385, 2013
  22. Transform Analysis for Point Processes and Applications in Credit Risk (with S. Zhu)  
    Mathematical Finance, 23(4), 742-762, 2013
  23. Sequential Importance Sampling And Resampling For Dynamic Portfolio Credit Risk (with S. Deng and T. L. Lai)  
    Operations Research, 60(1), 78-91, 2012
  24. Monte Carlo Algorithms For Default Timing Problems (with B. Kim and S. Zhu)
    Management Science, 57(12), 2115-2129, 2011
  25. Exact Simulation of Point Processes With Stochastic Intensities (with H. Kakavand, M. Mousavi), e-companion  
    Operations Research, 59(5), 1233-1245, 2011
  26. Corporate Bond Default Risk: A 150-Year Perspective (with F. Longstaff, S. Schaefer, I. Strebulaev)      
    Winner of the 2011 Fama/DFA Prize  
    Journal of Financial Economics,102(2), 233-250, 2011
  27. Systemic Risk: What Defaults Are Telling Us (with B. Kim)  
    Management Science, 57(8), 1387-1405, 2011
  28. A Top-Down Approach to Multi-Name Credit (with L. Goldberg and X. Ding) 
    Operations Research, 59(2), 283-300, 2011
  29. Premia for Correlated Default Risk (with S. Azizpour and B. Kim)  
    Journal of Economic Dynamics and Control, 35(8), 1340-1357, 2011
  30. Risk Analysis of Collateralized Debt Obligations (with B. Kim)
    Operations Research, 59(1), 32-49, 2011, e-companion
  31. Exact and Efficient Simulation of Correlated Defaults (with H. Kakavand, M. Mousavi, H. Takada)  
    SIAM Journal on Financial Mathematics,1, 868-896, 2010
  32. Affine Point Processes and Portfolio Credit Risk (with E. Errais and L. Goldberg)
    SIAM Journal on Financial Mathematics,1, 642-665, 2010
  33. Time-Changed Birth Processes and Multi-Name Credit Derivatives (with X. Ding and P. Tomecek)  
    Operations Research, 57(4), 990-1005, 2009
  34. Default and Information  
    Journal of Economic Dynamics and Control, 30(11), 2281-2303, 2006
  35. Credit Contagion and Aggregate Losses (with S. Weber)   
    Winner of the 2003 Gauss Prize  
    Journal of Economic Dynamics and Control, 30(5), 741-767, 2006
  36. Cyclical Correlations, Credit Contagion, and Portfolio Losses (with S. Weber) 
    Journal of Banking and Finance, 28(12), 3009-3036, 2004
  37. Sequential Defaults and Incomplete Information (with L. Goldberg)   
    Journal of Risk,7(1), 1-26, 2004
  38. Correlated Default with Incomplete Information  
    Journal of Banking and Finance, 28(7), 1521-1545, 2004
  39. Forecasting Default in the Face of Uncertainty (with L. Goldberg)  
    Journal of Derivatives,12(1), 14-25, 2004 

Conferences

  1. Explainable clustering and application to wealth management compliance (with E. Horel, V. Storchan, N. Chittar)
    Proceedings of the First ACM International Conference on AI in Finance (ICAIF 2020)
  2. Unbiased Simulation Estimators for Path Integrals of Diffusions (with G. Chen, A. Shkolnik)
    Proceedings of the 2020 Winter Simulation Conference, IEEE Press, 2020
  3. Unbiased Simulation Estimators for Jump-Diffusions (with G. Chen, A. Shkolnik)
    Proceedings of the 2019 Winter Simulation Conference, IEEE Press, 2019
  4. Sensitivity Based Neural Networks Explanations (with E. Horel, V. Mison, L. Mangu, T. Xiong)
    32nd Conference on Neural Information Processing Systems (NIPS 2018)
  5. Importance Sampling For Indicator Markov Chains (with A. Shkolnik) 
    Proceedings of the 2010 Winter Simulation Conference, IEEE Press, 2742-2750, 2010
  6. Rare-Event Simulation For a Generalized Hawkes Process (with J. Blanchet, P. Glynn, X. Zhang) 
    Proceedings of the 2009 Winter Simulation Conference, IEEE Press, 1291-1298, 2009 
  7. Simulating Point Processes by Intensity Projection (with H. Kakavand and M. Mousavi) 
    Proceedings of the 2008 Winter Simulation Conference, IEEE Press, 560-568, 2008
  8. Estimating Tranche Spreads by Loss Process Simulation (with B. Kim) 
    Proceedings of the 2007 Winter Simulation Conference, IEEE Press, 967-975, 2007 

Survey, Introductory, and Practitioner Papers

  1. Assessing the Systemic Implications of Financial Linkages (with J. Chan-Lau, M. Espinosa-Vega, J. Sole)
    Global Financial Stability Report, International Monetary Fund, 2009
  2. An Overview of Credit Derivatives
    Jahresbericht der Deutschen Mathematiker-Vereinigung,111, 2009
  3. Measuring the Risk of Large Losses (with T. Schmidt and S. Weber)
    Journal of Investment Management,6(4), 1-15, 2008
  4. Portfolio Credit Risk: Top-Down vs. Bottom-Up Approaches 
    Frontiers in Quantitative Finance: Credit Risk and Volatility Modeling, R. Cont (Ed.), Wiley, 2008
  5. Credit Risk Modeling and Valuation: An Introduction 
    Credit Risk: Models and Management,Vol. 2, D. Shimko (Ed.), Risk Books, 2004 
  6. Forecasting Extreme Financial Risk (with L. Goldberg) 
    Risk Management: A Modern Perspective, M. Ong (Ed.), Wiley, 2004
  7. Credit Risk Modeling (with L. Goldberg and T. Backshall)
    Handbook of Fixed Income Securities, F. Fabozzi (Ed.), Wiley, 2004 
  8. In Search of a Modigliani-Miller Economy (with L. Goldberg) 
    Journal of Investment Management,2(3), 1-6, 2004 
  9. A Simple Exponential Model for Dependent Defaults
    Journal of Fixed Income,13(3), 74-83, 2003

Permanent Working Papers

  1. Securitization and the Growth of Subprime Mortgage Lending (with M. Ohlrogge)
  2. Analytical Approximations For Loan and Credit Derivatives Portfolios (with J. Kim and H. Takada)
  3. The Market Price of Credit Risk: The Impact of Asymmetric Information (with L. Goldberg)
  4. Dependent Events and Changes of Time (with P. Tomecek)