Author Page for Fan Yu

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 2,756 (4,452)

Citation 30

Abstract:

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 2,042 (7,324)

Citation 11

Abstract:

3.

Default Risk and Diversification: Theory and Empirical Implications

Downloads 1,586 ( 11,166)

Citation 84

2

Default Risk and Diversification: Theory and Empirical Implications

EFA 2001 Barcelona Meetings

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 1,570 (11,132)

Citation 20

Abstract:

Default Risk and Diversification: Theory and Empirical Implications

Mathematical Finance, Vol. 15, No. 1, pp. 1-26, January 2005

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 (587,140)

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Abstract:

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 1,267 (15,856)

Citation 24

Abstract:

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 1,040 (21,263)

Citation 21

Abstract:

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 747 (34,090)

Citation 12

Abstract:

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 632 (42,801)

Citation 4

Abstract:

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 603 (45,638)

Citation 4

Abstract:

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 602 (45,638)

Citation 54

Abstract:

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 584 (47,701)

Citation 10

Abstract:

11.

Correlated Defaults in Intensity-Based Models

Downloads 438 ( 67,950)

Citation 24

2

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 423 (70,260)

Citation 1

Abstract:

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 (594,062)

Citation 4

Add to Cart

Abstract:

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 435 (68,529)

Citation 6

Abstract:

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 425 (70,527)

Citation 7

Abstract:

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 378 (80,891)

Citation 3

Abstract:

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 324 (96,707)

Citation 10

Abstract:

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 247 (128,754)

Citation 3

Abstract:

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 173 (180,759)

Abstract:

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 142 (212,390)

Citation 1

Abstract:

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 105 (266,149)

Abstract:

20.

Unifying Gaussian Dynamic Term Structure Models from an HJM Perspective

Claremont McKenna College Robert Day School of Economics and Finance Research Paper No. 2817599

Number of pages: 32 Posted: 04 Aug 2016

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 66 (352,492)

Citation 1

Abstract:

21.

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 (436,231)

Abstract:

22.

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 33 (470,554)

Abstract:

23.

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 32 (475,225)

Abstract:

24.

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

Abstract:

25.

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

Fan Yu

Claremont McKenna College - Robert Day School of Economics and Finance

Professor of Financial Economics

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Scholarly Papers (25)

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Default Risk and Diversification: Theory and Empirical Implications

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Correlated Defaults in Intensity-Based Models

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