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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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    • Tel: (909)607-3345
SCHOLARLY PAPERS

22

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CITATIONS
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411

Scholarly Papers (22)

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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 2,221 (4,089)
Citation 43

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 1,971 (5,673)
Citation 31

Abstract:

3.

Default Risk and Diversification: Theory and Empirical Implications

Downloads 1,534 ( 8,743)
Citation 71

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 - Department of Finance and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 1,518 (8,717)
Citation 71

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 - Department of Finance and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 16 (484,237)
Citation 71
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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 University and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 1,143 (13,076)
Citation 35

Abstract:

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 990 (17,424)
Citation 104

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 709 (28,431)
Citation 10

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 591 (36,340)
Citation 10

Abstract:

8.

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 572 (37,958)
Citation 59

Abstract:

9.

Correlated Defaults in Intensity-Based Models

Downloads 429 ( 54,536)
Citation 22

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 414 (56,453)
Citation 22

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 (490,048)
Citation 22
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10.

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 365 (60,370)
Citation 4

Abstract:

Credit Spreads, Information Asymmetry, Corporate Governance

11.

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 341 (61,307)
Citation 7

Abstract:

12.

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 322 (70,807)
Citation 10

Abstract:

13.

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 286 (46,370)

Abstract:

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

14.

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 250 (51,783)
Citation 5

Abstract:

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

15.

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

Number of pages: 65 Posted: 02 Oct 2012 Last Revised: 01 Aug 2016
Haitao Li, Xiaoxia Ye and Fan Yu
University of Michigan - Stephen M. Ross School of Business, University of Bradford - School of Management and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 69 (212,317)

Abstract:

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

16.

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 58 (238,729)

Abstract:

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

17.

Credit Derivatives and Firm Investment

Claremont McKenna College Robert Day School of Economics and Finance Research Paper No. 2923236
Number of pages: 50 Posted: 25 Feb 2017
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 0 (221,196)

Abstract:

Credit default swaps, firm investment, mergers and acquisitions, debt issuance, empty creditors

18.

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 0 (322,512)

Abstract:

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

19.

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 H. Owlett and Fan Yu
Claremont McKenna College and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 0 (405,935)

Abstract:

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

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 Bradford - School of Management and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 0 (337,258)

Abstract:

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

21.

Modeling Municipal Yields with (and without) Bond Insurance

Claremont McKenna College Robert Day School of Economics and Finance Research Paper
Number of pages: 61 Posted: 12 Oct 2015 Last Revised: 16 Jun 2017
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 Bradford - School of Management and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 0 (275,394)

Abstract:

22.

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 University

Abstract:

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

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