Kay's research addresses the quantification and management of financial risks. He is particularly interested in
- The stochastic modeling, valuation and hedging of financial risks,
- The development of statistical tools to estimate and predict these risks, and
- The methods for solving the significant computational problems that arise in this context.
His research contributions enable more effective hedging of financial risks, better risk management at financial institutions, and more accurate measurement of systemic risk in financial markets. They have won the 2011 Fama/DFA Prize for the Best Asset Pricing Paper in the Journal of Financial Economics and the 2003 Gauss Prize of the Society for Actuarial and Financial Mathematics of Germany. Kay's research group CreditLab has been funded by grants from the National Science Foundation, JP Morgan, Morgan Stanley, Mizuho, Moody's, Credit Suisse, and American Express.