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Kay Giesecke
Kay Giesecke
Professor of Management Science and Engineering, Stanford University
Verified email at stanford.edu - Homepage
Title
Cited by
Cited by
Year
Credit risk modeling and valuation: An introduction
K Giesecke
Credit Risk: Models and Management,Vol. 2, D. Shimko (Ed.), Risk Books, 2004, 2004
4542004
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
4412011
Affine point processes and portfolio credit risk
E Errais, K Giesecke, LR Goldberg
SIAM Journal on Financial Mathematics 1 (1), 642-665, 2010
4352010
Correlated default with incomplete information
K Giesecke
Journal of Banking & Finance 28 (7), 1521-1545, 2004
4032004
Default and information
K Giesecke
Journal of Economic Dynamics and Control 30 (11), 2281-2303, 2006
3052006
Cyclical correlations, credit contagion, and portfolio losses
K Giesecke, S Weber
Journal of Banking & Finance 28 (12), 3009-3036, 2004
3002004
Exploring the sources of default clustering
S Azizpour, K Giesecke, G Schwenkler
Journal of Financial Economics, 2016
2932016
Credit contagion and aggregate losses
K Giesecke, S Weber
Journal of Economic Dynamics and Control 30 (5), 741-767, 2006
2562006
A top-down approach to multiname credit
K Giesecke, LR Goldberg, X Ding
Operations Research 59 (2), 283-300, 2011
2282011
Systemic risk: What defaults are telling us
K Giesecke, B Kim
Management Science 57 (8), 1387-1405, 2011
2082011
Deep learning for mortgage risk
K Giesecke, J Sirignano, A Sadhwani
arXiv preprint arXiv:1607.02470, 2016
206*2016
A simple exponential model for dependent defaults
K Giesecke
Available at SSRN 315088, 2003
1962003
Forecasting default in the face of uncertainty
K Giesecke, LR Goldberg
The Journal of Derivatives 12 (1), 11-25, 2004
1472004
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
1382009
Method and apparatus for an incomplete information model of credit risk
LR Goldberg, K Giesecke
US Patent 7,536,329, 2009
1372009
Sequential defaults and incomplete information
K Giesecke, LR Goldberg
Journal of Risk 7, 1-26, 2004
123*2004
Pricing credit from the top down with affine point processes
E Errais, K Giesecke, LR Goldberg
Numerical Methods for Finance, 195-202, 2007
1132007
Macroeconomic effects of corporate default crisis: A long-term perspective
K Giesecke, FA Longstaff, S Schaefer, IA Strebulaev
Journal of Financial Economics 111 (2), 297-310, 2014
1092014
Self-exciting corporate defaults: contagion vs frailty
K Giesecke, S Azizpour
Stanford University working paper series, 2008
98*2008
Significance tests for neural networks
E Horel, K Giesecke
Journal of Machine Learning Research 21 (227), 1-29, 2020
912020
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Articles 1–20