MS&E People

personnel profile

Kay Giesecke

 
Title:Assistant Professor
Department(s):Management Science and Engineering
Location:Terman 414
Mail Code:4026
Phone:650.723.9265       
Fax:650.723.1614
E-mail: giesecke@stanford.edu
URL: http://www.stanford.edu/~giesecke/
http://creditlab.stanford.edu/creditLab.htm
Administrator: Yvonne J. Hankins

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 and teaching address the quantitative modeling and estimation of financial risk, in particular credit risk. His research group CreditLab has been funded by grants from JP Morgan, Morgan Stanley, Mizuho, Moody's, Credit Suisse and American Express. He was awarded the Gauss Prize of the German Society for Actuarial and Financial Mathematics in 2003, and is the recipient of the 2007 Stanford Graduate Teaching Award.

Kay has served as a consultant to banks, investment and risk management firms, and governmental agencies in the area of risk management and derivatives valuation and hedging. He is a member of the Scientific Advisory Board of Julius Finance, and serves on the editorial boards of Operations Research, Operations Research Letters, and IIE Transactions.

Kay's curriculum vitae.

For a complete list of Giesecke's publications and teachings, see his publications page.

Course NumberCourse TitleLink
MS&E 242H Investment Science Honors https://ccnet.stanford.edu/msande242h/
MS&E 347 Credit Risk: Modeling and Management https://ccnet.stanford.edu/msande347/
MS&E 444 Investment Practice http://www.stanford.edu/class/msande444/
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Academic Honors & Awards

  • Graduate Teaching Award, Stanford University, 2007
  • Gauss Prize, German Society for Actuarial and Financial Mathematics, 2003
  • Doctoral Fellowship, Deutsche Forschungsgemeinschaft, 1998-2003
  • Post-Doctoral Fellowship, Deutsche Forschungsgemeinschaft, 2002-2003
  • Deutsche Bundesbank Fellow, 2002

Patent

Method and Apparatus for an Incomplete Information Model of Credit Risk

Co-Inventors: Kay Giesecke and Lisa Goldberg

This is the foundation of BarraCredit, a commercial software suite of credit asset analytics tools for the financial industry.