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
since 2012
Associate Professor
Stanford University
Department of Management Science and Engineering
Institute for Computational and Mathematical Engineering
since 2013
Director
Stanford University
Stanford Quantitative Finance Certificate Program, Hong Kong
since 2013
Co-Chair
Stanford University
Mathematical and Computational Finance Program
since 2013
Director
Stanford University
Center for Financial and Risk Analytics
2009
Visiting Assistant Professor
University of California, Los Angeles
Anderson School of Management
2009
Visiting Scholar
Monetary and Capital Markets Department, International Monetary Fund, Washington
2005-2012
Assistant Professor
Stanford University
Department of Management Science and Engineering
2001
PhD in Economics
Humboldt University of Berlin (Humboldt-Universität zu Berlin)
1998
Diploma in Electrical Engineering and Economics
Ilmenau University of Technology (Technische Universität Ilmenau)
Fellowships
- 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)
Prizes
- 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
