Kay Giesecke

Research Statement

Kay Giesecke is an Assistant Professor of Management Science & Engineering at Stanford University. He is on the faculty of Stanford's Financial Mathematics Program. Prior to joining Stanford in 2005, he was with Cornell University's School of Operations Research and Information Engineering. Kay's research addresses the quantification and management of financial risks, especially the risk of default (credit risk). He is particularly interested in

• The stochastic modeling, valuation and hedging of credit 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.

His research contributions enable more effective hedging of credit risks, better risk management at financial institutions, and more accurate measurement of systemic risk in financial markets. They also inform the design of regulatory policies. Kay's research group CreditLab has been funded by grants from JP Morgan, Morgan Stanley, Mizuho, Moody's, Credit Suisse and American Express. In 2003, Kay received the Gauss Prize of the Society for Actuarial and Financial Mathematics of Germany.

Kay teaches three courses, MS&E 242H Investment Science Honors, MS&E 347 Credit Risk: Modeling and Management, and MS&E 444 Investment Practice. He is the recipient of the 2007 Stanford Graduate Teaching Award.

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. Kay serves on the editorial boards of Operations Research, the Journal of Banking and Finance, Operations Research Letters, and IIE Transactions.

Curriculum Vitae
Publications
Research Statement
Research Group CreditLab
Research Grants
Patent