Kay Giesecke How Can We Combine Loans into Balanced Loan Portfolios?

Kay Giesecke is an Associate Professor of Management Science and Engineering, as well as the Director of the Stanford Centre for Financial and Risk Analysis, at Stanford University. Giesecke’s research seeks to explain and improve risk management at financial institutions, particularly systemic risks in financial markets. For instance, Giesecke seeks to find a method which addresses the issue of loan portfolios. He advises several private and public institutions and organizations on matters of financial risks and holds a U.S. patent on a method for qualifying credit risk with incomplete information.

Area of Research

Management of Financial Risk, Stochastic Models, Statistical Tools for Measuring Risk, Design of Numerical Methods for Solving Significant Computational Problems

Kay Giesecke, Konstantinos Spiliopoulos, Richard B. Sowers and Justin A. Sirignano. "Large Portfolio Asymptotics for Loss From Default." Mathematical Finance 25 (2015): 77-114.  
Kay Giesecke and Shilin Zhu. "Transform Analysis for Point Processes and Applications in Credit Risk." Mathematical Finance 23 (2013): 742-762.  
Kay Giesecke, Francis A. Longstaff, Stephen Schaefer and Ilya Strebulaev. "Corporate Bond Default Risk: A 150-Year Perspective." Journal of Financial Economics 102 (2011): 233-250.  
Eymen Errais, Kay Giesecke and Lisa R. Goldberg. "Affine Point Processes and Portfolio Credit Risk." SIAM Journal on Financial Mathematics 1 (2010): 642-665.  
Kay Giesecke. "Default and Information." Journal of Economic Dynamics and Control 30 (2006): 2281-2303.  

since 2012

Associate Professor

Stanford University

Department of Management Science and Engineering
Institute for Computational and Mathematical Engineering

since 2013


Stanford University

Stanford Quantitative Finance Certificate Program, Hong Kong

since 2013


Stanford University

Mathematical and Computational Finance Program

since 2013


Stanford University

Center for Financial and Risk Analytics


Visiting Assistant Professor

University of California, Los Angeles

Anderson School of Management


Visiting Scholar

Monetary and Capital Markets Department, International Monetary Fund, Washington


Assistant Professor

Stanford University

Department of Management Science and Engineering


PhD in Economics

Humboldt University of Berlin (Humboldt-Universität zu Berlin)


Diploma in Electrical Engineering and Economics

Ilmenau University of Technology (Technische Universität Ilmenau)


- Paul Pigott Faculty Scholar, Stanford University (2012)

- David Morgenthaler II Faculty Scholar, Stanford University (2005)

- Post-Doctoral Fellowship, Deutsche Forschungsgemeinschaft (2002-2003)

- Deutsche Bundesbank Fellow (2002)

- Doctoral Fellowship, Deutsche Forschungsgemeinschaft (1998-2001)


- Fama/DFA Prize for the Best Asset Pricing Paper in the Journal of Financial Economics (2011)

- Meritorious Service Award, Operations Research (2009, 2010, 2012)

- Graduate Teaching Award, Stanford University (2007)

- Gauss Prize, German Society for Actuarial and Financial Mathematics (2003)

- National Science Foundation (2013-2015)

- Integral Development Corp. (2013)

- Morgan Stanley (2010)

- Mericos Foundation (2010)

- Mizuho-DL Financial Technology (2008-2010)

- J.P. Morgan Chase Academic Outreach Program (2004-2008)

- Global Association of Risk Professionals (2007)

- Econa AG (2006)

- Moody’s (2006)

- American Express (2005-2006)

The paper presented in this video, from the field of financial mathematics, addresses the problem of building optimal loan portfolios and develops a novel computational method to do so even if with an infinite number of loans. The new tool was tested on a data-set of 120 million mortgage loans, and was able to solve this high-dimensional problem. As KAY GIESECKE explains, the applied method is an asymptotic approximation approach: To solve the problem at hand, the solution to a problem with fewer dimensions is computed, and as the portfolio grows larger again, the solution “grows” into the solution of the actual problem.

LT Video Publication DOI: https://doi.org/10.21036/LTPUB10111

Large-Scale Loan Portfolio Selection

  • Justin Sirignano, Gerry Tsoukalas and Kay Giesecke
  • Stanford University
  • Published in 2016
Justin Sirignano, Gerry Tsoukalas and Kay Giesecke. "Large-Scale Loan Portfolio Selection." Stanford University (2016).