Kay Giesecke
Kay Giesecke
Professor of Management Science and Engineering, Stanford University
Verified email at stanford.edu - Homepage
Title
Cited by
Cited by
Year
Correlated default with incomplete information
K Giesecke
Journal of Banking & Finance 28 (7), 1521-1545, 2004
3602004
Credit risk modeling and valuation: An introduction
K Giesecke
Credit Risk: Models and Management,Vol. 2, D. Shimko (Ed.), Risk Books, 2004, 2004
3552004
Affine point processes and portfolio credit risk
E Errais, K Giesecke, LR Goldberg
SIAM Journal on Financial Mathematics 1 (1), 642-665, 2010
3102010
Corporate bond default risk: A 150-year perspective
K Giesecke, FA Longstaff, S Schaefer, I Strebulaev
Journal of Financial Economics 102 (2), 233-250, 2011
3002011
Default and information
K Giesecke
Journal of Economic Dynamics and Control 30 (11), 2281-2303, 2006
2712006
Cyclical correlations, credit contagion, and portfolio losses
K Giesecke, S Weber
Journal of Banking & Finance 28 (12), 3009-3036, 2004
2422004
Credit contagion and aggregate losses
K Giesecke, S Weber
Journal of Economic Dynamics and Control 30 (5), 741-767, 2006
2202006
A top-down approach to multiname credit
K Giesecke, LR Goldberg, X Ding
Operations Research 59 (2), 283-300, 2011
2062011
A simple exponential model for dependent defaults
K Giesecke
The Journal of Fixed Income 13 (3), 74-83, 2003
1662003
Exploring the sources of default clustering
S Azizpour, K Giesecke, G Schwenkler
Journal of Financial Economics, 2016
1602016
Forecasting default in the face of uncertainty
K Giesecke, LR Goldberg
The Journal of Derivatives 12 (1), 11-25, 2004
1482004
Systemic risk: What defaults are telling us
K Giesecke, B Kim
Management Science 57 (8), 1387-1405, 2011
1312011
Sequential defaults and incomplete information
K Giesecke, LR Goldberg
Journal of Risk 7, 1-26, 2004
113*2004
Pricing credit from the top down with affine point processes
E Errais, K Giesecke, LR Goldberg, M Barra
Numerical Methods for Finance, 195-201, 2007
1072007
Assessing the systemic implications of financial linkages
JA Chan-Lau, M Espinosa, K Giesecke, JA Solé
Global Financial Stability Report, International Monetary Fund, 2009, 2009
1032009
Self-Exciting Corporate Defaults: Contagion or Frailty?
K Giesecke, S Azizpour
Available at SSRN 1127792, 2008
88*2008
Method and apparatus for an incomplete information model of credit risk
LR Goldberg, K Giesecke
US Patent 7,536,329, 2009
852009
Deep learning for mortgage risk
K Giesecke, J Sirignano, A Sadhwani
arXiv preprint arXiv:1607.02470, 2016
84*2016
Premia for correlated default risk
S Azizpour, K Giesecke, B Kim
Journal of Economic Dynamics and Control 35 (8), 1340-1357, 2011
802011
Default clustering in large portfolios: typical events
K Giesecke, K Spiliopoulos, R Sowers
The Annals of Applied Probability,23(1), 348-385, 2013, 2011
622011
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