Fan Yu

Claremont McKenna College - Robert Day School of Economics and Finance

Professor of Financial Economics

500 E. Ninth St.

Claremont, CA 91711-6420

United States

http://www.cmc.edu/academic/faculty/profile.asp?Fac=553

  • Claremont McKenna College - Robert Day School of Economics and Finance

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SCHOLARLY PAPERS

26

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SSRN CITATIONS
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178

CROSSREF CITATIONS

281

Scholarly Papers (26)

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1.

Risk and Return in Fixed Income Arbitrage: Nickels in Front of a Steamroller?

Number of pages: 53 Posted: 28 Dec 2005
Jefferson Duarte, Francis A. Longstaff and Fan Yu
Rice University, University of California, Los Angeles (UCLA) - Finance Area and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 2,822 (4,594)
Citation 36

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2.

How Profitable is Capital Structure Arbitrage?

Number of pages: 40 Posted: 22 Mar 2005
Fan Yu
Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 2,054 (7,773)
Citation 10

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3.

Default Risk and Diversification: Theory and Empirical Implications

Downloads 1,596 ( 11,747)
Citation 89

Default Risk and Diversification: Theory and Empirical Implications

Number of pages: 34 Posted: 01 Jan 2001
Robert A. Jarrow, David Lando and Fan Yu
Cornell University - Samuel Curtis Johnson Graduate School of Management, Copenhagen Business School and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 1,580 (11,699)
Citation 24

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Default Risk and Diversification: Theory and Empirical Implications

Number of pages: 26 Posted: 30 Dec 2004
Robert A. Jarrow, David Lando and Fan Yu
Cornell University - Samuel Curtis Johnson Graduate School of Management, Copenhagen Business School and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 16 (614,153)
Citation 3
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4.

The Information Content of Option-Implied Volatility for Credit Default Swap Valuation

FDIC Center for Financial Research, Working Paper No. 2007-08
Number of pages: 38 Posted: 11 Mar 2006 Last Revised: 15 Nov 2012
Charles Cao, Zhaodong Zhong and Fan Yu
Pennsylvania State University, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 1,274 (16,699)
Citation 26

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Credit default swap spread, option-implied volatility, volatility risk premium, informed trading

5.

Counterparty Risk and the Pricing of Defaultable Securities

Number of pages: 46 Posted: 01 Jan 2000
Robert A. Jarrow and Fan Yu
Cornell University - Samuel Curtis Johnson Graduate School of Management and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 1,047 (22,418)
Citation 23

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6.

Default Correlation in Reduced-Form Models

Number of pages: 17 Posted: 06 May 2005
Fan Yu
Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 753 (35,797)
Citation 12

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7.

Modeling Expected Return on Defaultable Bonds

Number of pages: 27 Posted: 18 Dec 2001
Fan Yu
Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 640 (44,567)
Citation 5

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8.

The Determinants of Operational Risk in U.S. Financial Institutions

Journal of Financial and Quantitative Analysis (JFQA), 46(6), pp. 1683-1725, 2011
Number of pages: 43 Posted: 17 Mar 2009 Last Revised: 24 Sep 2012
Anna Chernobai, Philippe Jorion and Fan Yu
Syracuse University - M. J. Whitman School of Management, University of California, Irvine - Paul Merage School of Business and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 621 (46,354)
Citation 12

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operational risk, financial institution, credit risk, corporate governance, executive compensation

9.

Accounting Transparency and the Term Structure of Credit Spreads

Number of pages: 48 Posted: 23 Jan 2003
Fan Yu
Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 603 (48,182)
Citation 60

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10.

Credit Derivatives and Analyst Behavior

Claremont McKenna College Robert Day School of Economics and Finance Research Paper No. 2012-03
Number of pages: 59 Posted: 11 Mar 2012 Last Revised: 09 Dec 2015
George E. Batta, Jiaping Qiu and Fan Yu
Claremont McKenna College - Robert Day School of Economics and Finance, McMaster University - Michael G. DeGroote School of Business and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 594 (49,113)
Citation 16

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credit default swap; informed trading; earnings announcement; analyst forecast; buy/sell recommendation; rating downgrade

11.

Correlated Defaults in Intensity-Based Models

Downloads 444 ( 70,691)
Citation 24

Correlated Defaults in Intensity-Based Models

Number of pages: 24 Posted: 28 Dec 2005
Fan Yu
Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 429 (73,012)
Citation 1

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Correlated Defaults in Intensity-Based Models

Mathematical Finance, Vol. 17, No. 2, pp. 155-173, April 2007
Number of pages: 19 Posted: 19 Mar 2007
Fan Yu
Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 15 (621,560)
Citation 3
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12.

Endogenous Liquidity in Credit Derivatives

AFA 2012 Chicago Meetings Paper
Number of pages: 47 Posted: 15 Mar 2011
Jiaping Qiu and Fan Yu
McMaster University - Michael G. DeGroote School of Business and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 438 (71,841)
Citation 13

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13.

Why Does Corporate Governance Explain Credit Spreads?

Number of pages: 33 Posted: 26 Mar 2008 Last Revised: 29 Mar 2008
Jefferson Duarte, Fan Yu and Lance A. Young
Rice University, Claremont McKenna College - Robert Day School of Economics and Finance and University of Washington - Department of Finance and Business Economics
Downloads 430 (73,470)
Citation 7

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Credit Spreads, Information Asymmetry, Corporate Governance

14.

The Market for Corporate Control and the Cost of Debt

Journal of Financial Economics, Forthcoming, Robert Day School of Economics and Finance Research Paper No. 2009-11
Number of pages: 51 Posted: 19 Jan 2009
Jiaping Qiu and Fan Yu
McMaster University - Michael G. DeGroote School of Business and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 382 (84,412)
Citation 2

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15.

Implicit Government Guarantee and the Pricing of Chinese LGFV Debt

Claremont McKenna College Robert Day School of Economics and Finance Research Paper No. 2922946
Number of pages: 33 Posted: 24 Feb 2017
Laura Xiaolei Liu, Yuanzhen Lyu and Fan Yu
Guanghua School of Management, Peking University, Hong Kong University of Science & Technology (HKUST) and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 364 (89,247)
Citation 14

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Chinese LGFV debt, chengtou bonds, implicit government guarantee, yield spread, city and provincial debt ratios

16.

Credit Derivatives and Firm Investment

Claremont McKenna College Robert Day School of Economics and Finance Research Paper No. 2923236
Number of pages: 55 Posted: 25 Feb 2017 Last Revised: 15 Feb 2019
George E. Batta and Fan Yu
Claremont McKenna College - Robert Day School of Economics and Finance and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 260 (128,788)
Citation 4

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Credit default swaps, firm investment, acquisitions, debt issuance, bankruptcy risk, debt overhang

17.

Credit Risk Spillovers and Cash Holdings

Claremont McKenna College Robert Day School of Economics and Finance Research Paper No. 3140958
Number of pages: 52 Posted: 19 Mar 2018 Last Revised: 27 Jan 2020
Jin Lei, Jiaping Qiu, Chi Wan and Fan Yu
Brock University - Goodman School of Business, McMaster University - Michael G. DeGroote School of Business, University of Massachusetts Boston - Department of Accounting and Finance and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 190 (173,872)

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credit risk contagion; product market rivalry; financial distress; cash holdings; payout ratio; bank loan contracting

18.

Modeling Municipal Yields with (and without) Bond Insurance

Forthcoming, Management Science, Claremont McKenna College Robert Day School of Economics and Finance Research Paper
Number of pages: 61 Posted: 12 Oct 2015 Last Revised: 30 Oct 2018
Albert Lee Chun, Ethan Namvar, Xiaoxia Ye and Fan Yu
University of Queensland - Business School, University of California, Berkeley - Haas School of Business, University of Liverpool Management School and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 151 (212,110)
Citation 1

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Municipal bonds; bond insurance; monoline; default risk; liquidity risk; term structure modeling

19.

Property Investment and Rental Rates Under Housing Price Uncertainty: A Real Options Approach

HKIMR Working Paper No.24/2013
Number of pages: 44 Posted: 27 Nov 2013 Last Revised: 12 Oct 2015
Honglin Wang, Fan Yu and Yinggang Zhou
Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), Claremont McKenna College - Robert Day School of Economics and Finance and Xiamen University - Department of Finance
Downloads 106 (277,312)

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Investment Under Uncertainty, Real Options, Housing Price, Rent, China

20.

Unifying Gaussian Dynamic Term Structure Models from a Heath-Jarrow-Morton Perspective

Forthcoming, European Journal of Operational Research
Number of pages: 43 Posted: 04 Aug 2016 Last Revised: 13 Apr 2020
Haitao Li, Xiaoxia Ye and Fan Yu
Cheung Kong Graduate School of Business, University of Liverpool Management School and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 70 (357,905)
Citation 1

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Gaussian Dynamic Term Structure Models, HJM, Finite Dimensional Realizations, Interest Rate Derivatives

21.

Bond Volatility and CDS Auctions

Number of pages: 55 Posted: 24 Dec 2019 Last Revised: 13 Jan 2020
Jennifer Mace, Fan Yu and Ran Zhao
Independent, Claremont McKenna College - Robert Day School of Economics and Finance and Claremont Graduate University, Drucker School of Management
Downloads 46 (436,563)

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bond volatility, corporate default, CDS auction, market manipulation

22.

A Re-Examination of Rating Shopping and Catering Using Post-Crisis Data on CDOs

Claremont McKenna College Robert Day School of Economics and Finance Research Paper No. 2828789
Number of pages: 13 Posted: 25 Aug 2016
Robert Owlett and Fan Yu
Claremont McKenna College and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 41 (456,676)

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collateralized debt obligations, credit rating agencies, credit spread, rating shopping, rating catering

23.

Property Investment and Rental Rate Under Housing Price Uncertainty: A Real Options Approach

Real Estate Economics, Forthcoming, Claremont McKenna College Robert Day School of Economics and Finance Research Paper No. 3113143
Number of pages: 50 Posted: 15 Feb 2018
Honglin Wang, Fan Yu and Yinggang Zhou
Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), Claremont McKenna College - Robert Day School of Economics and Finance and Department of Finance at School of Economics (SOE), and Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
Downloads 35 (482,952)

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Investment under uncertainty, real options, housing price, rent, Hong Kong, China

24.

Credit Derivatives and Corporate Default Prediction

Number of pages: 41 Posted: 12 May 2020
Xiaoxia Ye, Fan Yu and Ran Zhao
University of Liverpool Management School, Claremont McKenna College - Robert Day School of Economics and Finance and Claremont Graduate University, Drucker School of Management
Downloads 27 (523,689)

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Credit default swap, corporate default prediction, default risk, CDS liquidity

25.

A Unified HJM Approach to Non-Markov Gaussian Dynamic Term Structure Models: International Evidence

Posted: 02 Oct 2012 Last Revised: 24 Feb 2019
Haitao Li, Xiaoxia Ye and Fan Yu
University of Michigan - Stephen M. Ross School of Business, University of Liverpool Management School and Claremont McKenna College - Robert Day School of Economics and Finance

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Non-Markov; Gaussian Dynamic Term Structure Models; Excess Returns; International Bond Markets; Moving Averages; Forecasting

26.

Pricing Credit Default Swaps with Option-Implied Volatility

Financial Analysts Journal, Vol. 67, No. 4, 2011
Posted: 09 Aug 2011 Last Revised: 11 Sep 2011
Charles Cao, Fan Yu and Zhaodong Zhong
Pennsylvania State University, Claremont McKenna College - Robert Day School of Economics and Finance and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick

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Derivatives, Credit Derivatives Markets and Instruments, Modeling and Pricing Credit Derivatives, Options Markets and Instruments, Volatility Issues