Jun Yang

Bank of Canada

234 Wellington Street

Ontario, Ottawa K1A 0G9

Canada

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 18,610

SSRN RANKINGS

Top 18,610

in Total Papers Downloads

2,034

CITATIONS
Rank 27,030

SSRN RANKINGS

Top 27,030

in Total Papers Citations

9

Scholarly Papers (5)

Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads

Number of pages: 66 Posted: 21 Mar 2012 Last Revised: 05 Aug 2013
Hui Chen, Yu Xu and Jun Yang
Massachusetts Institute of Technology, The University of Hong Kong - Faculty of Business and Economics and Bank of Canada
Downloads 1,075 (14,782)
Citation 4

Abstract:

credit risk, term structure, business cycle, maturity dynamics, liquidity

Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads

NBER Working Paper No. w18367
Number of pages: 62 Posted: 08 Sep 2012
Hui Chen, Yu Xu and Jun Yang
Massachusetts Institute of Technology, The University of Hong Kong - Faculty of Business and Economics and Bank of Canada
Downloads 8 (521,145)
Citation 4

Abstract:

2.

Default Dependence: The Equity Default Relationship

EFA 2008 Athens Meetings Paper
Number of pages: 40 Posted: 31 Jan 2008
Stuart M. Turnbull and Jun Yang
University of Houston - C.T. Bauer College of Business and Bank of Canada
Downloads 386 (59,845)
Citation 1

Abstract:

credit default swaps, default risk, structural models, jump

Default Risk, Idiosyncratic Coskewness and Equity Returns

Charles A. Dice Center Working Paper No. 2009-18 , Fisher College of Business Working Paper No. 2009-03-018
Number of pages: 50 Posted: 18 Mar 2009 Last Revised: 27 Sep 2010
Fousseni Chabi-Yo and Jun Yang
University of Massachusetts Amherst - Isenberg School of Management and Bank of Canada
Downloads 200 (123,560)
Citation 2

Abstract:

Financial Distress, Higher Moment Returns, Default Risk, Idiosyncratic Coskewness Beta, Cross-Sectional Equity Returns

Default Risk, Idiosyncratic Coskewness and Equity Returns

Number of pages: 50 Posted: 17 Mar 2010
Fousseni Chabi-Yo and Jun Yang
University of Massachusetts Amherst - Isenberg School of Management and Bank of Canada
Downloads 118 (194,795)
Citation 2

Abstract:

Financial distress, Higher moment returns

4.

A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate

Number of pages: 36 Posted: 27 Feb 2007 Last Revised: 17 Nov 2009
Jun Yang and Fousseni Chabi-Yo
Bank of Canada and University of Massachusetts Amherst - Isenberg School of Management
Downloads 127 (175,675)
Citation 2

Abstract:

Exchange rates, Interest rates, Financial markets, Econometric and statistical methods

5.

Costly External Finance, Liquidity Risk, and Default Risk

Number of pages: 37 Posted: 18 Mar 2011
Jun Yang
Bank of Canada
Downloads 99 (206,956)

Abstract:

default risk, liquidity risk, financial crisis, short-term debt, cash reserves