Kenneth J Singleton
Adams Distinguished Professor of Management
Professor of Economics (by courtesy), School of Humanities and Sciences
Kenneth Singleton’s research focuses on econometric methods for estimation and testing of dynamic asset pricing models; modeling of term structures of government and defaultable bond yields; pricing credit derivatives; measuring and managing market, credit, and liquidity risks; and debt financing in emerging economies.
Kenneth Singleton is the Adams Distinguished Professor of Finance, and a former Senior Associate Dean at the Graduate School of Business, Stanford University.
He previously taught in the Economics Department at the University of Virginia and the Graduate School of Industrial Administration at Carnegie Mellon, and held short-term visiting positions at the University of Chicago and University of Tokyo. While on leave from Stanford, in 1991-92, he was a vice president in the Fixed Income Research Department of Goldman Sachs and Co.
Singleton's research interests are in econometric methods for estimation and testing of dynamic asset pricing models; modeling of term structures of government and defaultable bond yields; measuring and managing market, credit and liquidity risks; and debt financing in emerging economies. His papers have appeared in the leading journals in finance and economics, he is coauthor of the book Credit Risk, and author of the book Empirical Dynamic Asset Pricing Models.
Singleton is a fellow of the Econometric Society and the Journal of Econometrics, and is a Research Associate of the NBER. He is the recipient of the Frisch Prize from the Econometric Society and two Smith-Breeden Distinguished Paper Awards from the Journal of Finance. He was an Editor of the Review of Financial Studies and an Associate Editor of the Econometrica, the Journal of Econometrics, and the Journal of Finance; is a past president of the Western Finance Association; and has served on the Board of Directors of the American Finance Association.
Singleton received his bachelor's degree from Reed College, and his master's degree and doctorate in economics from the University of Wisconsin.
PhD, Univ. of Wisconsin, Madison, 1977; MS, Univ. of Wisconsin, Madison, 1975; BA, Reed College, 1973.
At Stanford since 1987. Vice-President, Goldman Sachs & Co., 1991-1993 (on leave from Stanford); CRSP Visiting Prof. of Finance, Univ. of Chicago, 1986; Asst. Prof.-Prof., Carnegie Mellon Univ., 1980-87; Asst. Prof., Univ. of Virginia, 1977-80.
- Empirical Dynamic Asset Pricing: Princeton University Press, 2006
- Specification Analysis of Affine Term Structure Models (with Qiang Dai): Journal of Finance LV:1943-1978, 2000
- Modeling Term Structures of Defaultable Bond Yields (with Darrell Duffie): Review of Financial Studies 12:687-720, 1999
- Simulated Moments Estimation of Markov Models of Asset Prices (with D. Duffie): Econometrica 61:929-952, 1993
- Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Modesl (with L. Hansen): Econometrica 50:1269-1286, 1982
- An Econometric Model of the Term Structure of Interest Rate Swap Yields: Journal of Finance, 1997
- Japanese Corporate Investment and Bank of Japan Guidance of Commercial Bank Lending, Japanese Monetary Policy, ed. K. Singleton: University of Chicago Press, 1993
- Modern Sovereign Yield Spreads: A Case Study of Russian Debt: Journal of Finance, 2002
- FINANCE 625: Empirical Asset Pricing
- Fellow: The Econometric Society
- Research Associate: Natl. Bureau of Economic Research