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Kenneth J. Singleton
Kenneth J. Singleton
Professor Emeritus, Finance
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+1 (650) 723-5753
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KennethJ.Singleton
The Adams Distinguished Professor of Management, Emeritus
Academic Area: 
Finance

Additional Administrative Titles

  • Director, FinTech: Navigating Its Evolving Competitive and Regulatory Landscapes
Director, FinTech Executive Program

Research Statement

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.

Bio

Kenneth Singleton is the Adams Distinguished Professor of Management, Emeritus at the Graduate School of Business at Stanford University. He has published widely on financial risks and their impacts on economic decision-making, including books on credit risk and dynamic asset pricing. His professional awards include the Smith-Breeden Prize (Journal of Finance), Frisch Medal (Econometrica), and the Stephen A. Ross Prize in Financial Economics (Foundation for the Advancement of Research in Financial Economics), and he is a Fellow of the Econometric Society, the Journal of Econometrics, and the Society for Financial Econometrics.

Ken is currently a faculty advisor to, and serves on the Investment Committee of, the Stanford GSB Impact Fund; and is a faculty advisor to Stanford Angels and Entrepreneurs. He was the Executive Editor of the Journal of Finance from 2012 to 2016; served as a Senior Associate Dean for Academic Affairs at the Stanford GSB from 2005 to 2008; was a special advisor to the chief economist at the IMF during the crisis in 2009; and co-led the Fixed Income Research group of Goldman Sachs, Asia while on leave from Stanford in the early 1990’s.

He is President of the Board of the 501(c)3 nonprofit 1 Grain to 1000 Grains that leads programs for low-income communities through which families discover intuitive and actionable plans for more healthful eating and for building financial capacity.

Ken holds a BA in Mathematics from Reed College and a PhD in Economics from the University of Wisconsin-Madison.

Academic Degrees

  • PhD, University of Wisconsin, Madison, 1977
  • MS, University of Wisconsin, Madison, 1975
  • BA, Reed College, 1973

Academic Appointments

  • At Stanford University since 1987
  • CRSP Visiting Professor of Finance, University of Chicago, 1986
  • Assistant Professor-Professor, Carnegie Mellon University, 1980-1987
  • Assistant Professor, University of Virginia, 1977-1980

Professional Experience

  • Vice-President, Goldman Sachs & Co., 1991-1993 (on leave from Stanford)

Awards and Honors

  • Susan Ford Dorsey Faculty Fellow, 2018-2019
  • Susan Ford Dorsey Faculty Fellow, 2017-2018
  • Coulter Family Faculty Fellow, 2015-2016
  • Spence Faculty Fellow, Stanford Graduate School of Business, 2014-2015

Publications

Journal Articles

Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
Kenneth J. Singleton, Scott Joslin, Marcel Priebsch. Journal of Finance. June 2014, Vol. 69, Issue 3, Pages 1197-1233.
Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs
Kenneth J. Singleton, Scott Joslin, Anh Lee. Journal of Financial Economics. September 2013, Vol. 109, Issue 3, Pages 604-622.
Gaussian macro-finance Term Structure Models with Lags
Kenneth J. Singleton, Scott Joslin, Anh Le. Journal of Financial Economics. 2013, Vol. 11, Issue 4, Pages 581-609.
Term structure models and the zero bound: An empirical investigation of Japanese yields
Kenneth J. Singleton, Don H. Kim. Journal of Econometrics. September 2012, Vol. 170, Issue 1, Pages 32-49.
Estimation and Evaluation of Conditional Asset Pricing Models
Kenneth J. Singleton, Stefan Nagel. Journal of Finance. June 2011, Vol. 66, Issue 3, Pages 873-909.
How Sovereign Is Sovereign Credit Risk?
Kenneth J. Singleton, Francis A. Longstaff, Jun Pan, Lasse H. Pedersen. American Economic Journal: Macroeconomics. April 2011, Vol. 3, Issue 2, Pages 75-103.
A New Perspective on Gaussian Dynamic Term Structure Models
Kenneth J. Singleton, Scott Joslin, Haoxiang Zhu. Review of Financial Studies. March 2011, Vol. 24, Issue 3, Pages 926.
Discrete-Time Affine[Q] Term Structure Models with Generalized Market Prices of Risk
Kenneth J. Singleton, Anh Le. Review of Financial Studies. May 2010, Vol. 23, Issue 5, Pages 2184.
Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads
Kenneth J. Singleton, Jun Pan. Journal of Finance. October 2008, Vol. 63, Issue 5, Pages 2345-2384.
Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields
Kenneth J. Singleton, Qiang Dai, Wei Yang. Review of Financial Studies. September 2007, Vol. 20, Issue 5, Pages 1669.
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt
Darrell Duffie, Lasse Heje Pedersen, Kenneth J. Singleton. Journal of Finance. 2003, Vol. 58, Issue 1, Pages 119-159.
Term Structure Dynamics in Theory and Reality
Kenneth J. Singleton, Qiang Dai. Review of Financial Studies. 2003, Vol. 16, Issue 3, Pages 631.
Expectation puzzles, time-varying risk premia, and affine models of the term structure
Kenneth J. Singleton, Qiang Dai. Journal of Financial Economics. March 2002, Vol. 63, Issue 3, Pages 415.
Estimation of affine asset pricing models using the empirical characteristic function
Kenneth J. Singleton. Journal of Econometrics. May 2001, Vol. 102, Issue 1, Pages 111-141.
Specification Analysis of Affine Term Structure Models
Qiang Dai, Kenneth J. Singleton. Journal of Finance. 2000, Vol. 55, Issue 5, Pages 1943-1978.
Transform Analysis and Asset Pricing for Affine Jump-Diffusions
Darrell Duffie, Jun Pan, Kenneth J. Singleton. Econometrica. 2000, Vol. 68, Issue 6 , Pages 1343 - 1376.

Books

Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment
Kenneth J. Singleton Princeton: Princeton University Press, 2006.

Working Papers

Learning and Risk Premiums in an Arbitrage-free Term Structure Model | PDF
Marco Giacoletti, Kristoffer T. Laursen, Kenneth J. Singleton, May 202018

Teaching

Degree Courses

2019-20

FINANCE 315: Innovating for Financial Inclusion

This MBA elective explores innovative ways that start-ups are expanding the financial capacities of households and small businesses. What are the financial frictions that household/business facing impactful FinTech startups are addressing? What...

2018-19

FINANCE 315: Innovating for Financial Inclusion

This MBA elective explores innovative ways that start-ups are expanding the financial capacities of households and small businesses. What are the financial frictions that household/business facing impactful FinTech startups are addressing? What...

Executive Education & Other Non-Degree Programs

Stanford University Affiliations

Stanford GSB

Service to the Profession

  • Fellow, The Econometric Society
  • Research Associate, Natl. Bureau of Economic Research

Insights by Stanford Business

writtenKenneth Singleton: New Research Could Give Policymakers More Tools to Foresee Economic Calamity
February 10, 2015
A better way to measure risk premiums in bond markets and, maybe, understand the links between economic activity and yields.
writtenInvestor Flows Were Behind the 2008 Oil Price Wild Ride
September 15, 2011
Research says there was an "economically and statistically significant effect of investor flows on futures prices."
writtenTax Shield May Make Convertible Bonds Attractive
November 1, 2001
Research suggests that companies are issuing these newly popular securities with more than raising capital in mind.

School News

writtenLearning by Doing, While Doing Good
October 16, 2018
Students take the lead in Stanford GSB Impact Fund to manage investments in mission-driven startups.
writtenStudents Try Surviving in the Field With Only Alternative Financial Services
November 30, 2017
A new MBA elective shows how households cope outside the traditional banking system, and explores the innovations that can enhance financial wellness.
writtenStanford GSB Impact Fund’s First Investment Focuses on Personalized Medicine
December 5, 2016
A hands-on learning opportunity for students to manage a fund focused on social and environmental impact, Stanford GSB Impact Fund has made its first investment.
writtenKenneth Singleton Named Editor of Journal of Finance
September 5, 2011
"Finance is becoming increasingly integrated with economics, and is drawing more widely from other disciplines," observes Singleton.