Yildiray Yildirim

Zicklin School of Business, Baruch College - The City University of New York

Professor

55 Lexington Ave., Box B13-260

New York, NY 10010

United States

SCHOLARLY PAPERS

43

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6,291

CITATIONS
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SSRN RANKINGS

Top 4,148

in Total Papers Citations

130

Scholarly Papers (43)

1.

Evidence of Competition in the Leveraged Buyout Market

Number of pages: 28 Posted: 20 Mar 2007
Jeffrey Oxman and Yildiray Yildirim
Syracuse University - Whitman School of Management and Zicklin School of Business, Baruch College - The City University of New York
Downloads 499 (54,207)
Citation 2

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Leveraged buyouts, corporate control

2.

Dynamic Correlations Among Asset Classes: REIT and Stock Returns

Journal of Real Estate Finance and Economics, Forthcoming
Number of pages: 41 Posted: 08 Feb 2011
Brad Case, Yawei Yang and Yildiray Yildirim
Fannie Mae, affiliation not provided to SSRN and Zicklin School of Business, Baruch College - The City University of New York
Downloads 422 (66,670)
Citation 6

Abstract:

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DCC-GARCH, REITs, Correlation, Volatility, Portfolio optimization, Asset allocation

3.

Pricing Treasury Inflation Protected Securities and Related Derivatives Using an Hjm Model

Journal of Financial and Quantitative Analysis (JFQA), Vol. 38, No. 2, pp. 337-359, June 2003
Number of pages: 34 Posted: 06 Oct 2004 Last Revised: 03 Feb 2011
Robert A. Jarrow and Yildiray Yildirim
Cornell University - Samuel Curtis Johnson Graduate School of Management and Zicklin School of Business, Baruch College - The City University of New York
Downloads 418 (67,585)
Citation 29

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Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance

Number of pages: 66 Posted: 30 Aug 2012
Brad Case, Massimo Guidolin and Yildiray Yildirim
Fannie Mae, Bocconi University - Department of Finance and Zicklin School of Business, Baruch College - The City University of New York
Downloads 409 (68,590)

Abstract:

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REITs, Markov switching, Multivariate GARCH, Dynamic conditional correlations

Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance

Real Estate Economics, Vol. 42, Issue 2, pp. 279-342, 2014
Number of pages: 64 Posted: 20 May 2014
Brad Case, Massimo Guidolin and Yildiray Yildirim
Fannie Mae, Bocconi University - Department of Finance and Zicklin School of Business, Baruch College - The City University of New York
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5.

Governance Effects of LBO Events

Number of pages: 35 Posted: 17 Mar 2008
Jeffrey Oxman and Yildiray Yildirim
Syracuse University - Whitman School of Management and Zicklin School of Business, Baruch College - The City University of New York
Downloads 295 (100,376)

Abstract:

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LBOs, buyouts, governance, directors, compensation

6.

Estimating Default Probabilities Implicit in Commercial Mortgage Backed Securities (CMBS)

Journal of Real Estate Finance and Economics, Vol. 39, No. 2, 2009
Number of pages: 21 Posted: 27 Feb 2009 Last Revised: 11 Feb 2011
James B. Kau, Donald C. Keenan and Yildiray Yildirim
University of Georgia - Department of Insurance, Legal Studies, Real Estate, University of Cergy-Pontoise and Zicklin School of Business, Baruch College - The City University of New York
Downloads 260 (114,759)
Citation 3

Abstract:

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CMBS, default, structural model

Government Policies, Residential Mortgage Defaults, and the Boom and Bust Cycle of Housing Prices

Johnson School Research Paper Series No. 18-2011
Number of pages: 39 Posted: 04 Dec 2010 Last Revised: 25 May 2015
Goethe University Frankfurt, Cornell University - Samuel Curtis Johnson Graduate School of Management, Goethe University Frankfurt and Zicklin School of Business, Baruch College - The City University of New York
Downloads 250 (119,059)

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Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices

Real Estate Economics, Vol. 42, Issue 3, pp. 627-661, 2014
Number of pages: 35 Posted: 28 Aug 2014
Goethe University Frankfurt, Cornell University - Samuel Curtis Johnson Graduate School of Management, Goethe University Frankfurt and Zicklin School of Business, Baruch College - The City University of New York
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Government Policies, Residential Mortgage Defaults, and the Boom and Bust Cycle of Housing Prices

Real Estate Economics, Forthcoming
Posted: 07 Feb 2013 Last Revised: 25 May 2015
Goethe University Frankfurt, Cornell University - Samuel Curtis Johnson Graduate School of Management, Goethe University Frankfurt and Zicklin School of Business, Baruch College - The City University of New York

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subprime, home prices, mortgage defaults

8.

The Term Structure of Lease Rates with Endogenous Default Triggers and Tenant Capital Structure: Theory and Evidence

Number of pages: 39 Posted: 25 May 2009
National University of Singapore, Pennsylvania State University, National Central University at Taiwan and Zicklin School of Business, Baruch College - The City University of New York
Downloads 241 (124,012)
Citation 3

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leasing valuation, credit risk, endogenous default

9.

Default and Idiosyncratic Risk Anomalies Revisited

Number of pages: 42 Posted: 15 Nov 2011
Björn Bick, Christian W. Hirsch, Holger Kraft and Yildiray Yildirim
Goethe University Frankfurt, University of Frankfurt, Goethe University Frankfurt and Zicklin School of Business, Baruch College - The City University of New York
Downloads 236 (126,698)

Abstract:

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Risk Premium, Default Risk, Fama-French Regressions, IVOL anomaly

10.

The Cost of Operational Risk Loss Insurance

Review of Derivatives Research, Vol. 13, No. 3, 2010, Johnson School Research Paper Series No. 19-2011
Number of pages: 27 Posted: 07 Feb 2011 Last Revised: 27 Mar 2011
Robert A. Jarrow, Jeffrey Oxman and Yildiray Yildirim
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of St. Thomas and Zicklin School of Business, Baruch College - The City University of New York
Downloads 219 (136,306)
Citation 1

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11.

Operational Risk and Equity Prices

Number of pages: 43 Posted: 21 Nov 2011 Last Revised: 07 Sep 2018
Michael Shafer and Yildiray Yildirim
Providence College and Zicklin School of Business, Baruch College - The City University of New York
Downloads 197 (150,577)

Abstract:

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Operational risk, stock prices, stock returns

12.

Affine Model of Inflation-Indexed Derivatives and Inflation Risk Premium

Number of pages: 51 Posted: 18 Oct 2011 Last Revised: 12 Nov 2012
Hsiao-Wei Ho, Henry Hongren Huang and Yildiray Yildirim
Shih Chien University, National Central University at Taiwan and Zicklin School of Business, Baruch College - The City University of New York
Downloads 196 (151,332)

Abstract:

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inflation-indexed derivatives, inflation risk premium

13.

Modeling Credit Risk with Partial Information

Annals of Applied Probability, Forthcoming, Johnson School Research Paper Series No. 4-2013
Number of pages: 14 Posted: 14 Nov 2012 Last Revised: 07 Feb 2013
Umut Cetin, Robert A. Jarrow, Philip Protter and Yildiray Yildirim
Cornell University - Cornell Theory Center (CTC), Cornell University - Samuel Curtis Johnson Graduate School of Management, Columbia University and Zicklin School of Business, Baruch College - The City University of New York
Downloads 180 (163,528)
Citation 22

Abstract:

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Default risk, Azema martinglae, Brownian excursion

14.

Empirical Investigation of Covered Interest Rate Parity in Developed and Emerging Markets

Number of pages: 54 Posted: 02 Jul 2012
Emrah Sener, Sait Satiroglu and Yildiray Yildirim
Ozyegin University, Center For Computational Finance and Zicklin School of Business, Baruch College - The City University of New York
Downloads 177 (165,960)

Abstract:

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Interest Rate Parity, Swap Markets, Financial Constraints, Law of One Price

15.

Pricing of Firm Specific Jump Risk

Number of pages: 47 Posted: 19 Sep 2012 Last Revised: 24 Oct 2012
Marius Ascheberg, Holger Kraft and Yildiray Yildirim
Goethe University Frankfurt, Goethe University Frankfurt and Zicklin School of Business, Baruch College - The City University of New York
Downloads 172 (170,297)

Abstract:

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cross-section of stock returns, idiosyncratic risk

16.

The Subprime Virus: Theory and Evidence

Number of pages: 36 Posted: 21 May 2010 Last Revised: 03 Feb 2011
Sumit Agarwal, Brent W. Ambrose and Yildiray Yildirim
National University of Singapore, Pennsylvania State University and Zicklin School of Business, Baruch College - The City University of New York
Downloads 171 (171,139)

Abstract:

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Subprime, Default, Portfolio Risk

17.

Estimating Default Probabilities of CMBS Loans With Clustering and Heavy Censoring

Journal of Real Estate Finance and Economics, Vol. 37, No. 2, 2008
Number of pages: 27 Posted: 16 Nov 2007 Last Revised: 03 Feb 2011
Yildiray Yildirim
Zicklin School of Business, Baruch College - The City University of New York
Downloads 166 (175,657)
Citation 7

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multilevel mixture model, credit risk, CMBS

18.

Default and Prepayment Modelling in Participating Mortgages

Number of pages: 30 Posted: 09 Jun 2014 Last Revised: 28 Dec 2015
Yusuf Varli and Yildiray Yildirim
Borsa ?stanbul - Research Dept. and Zicklin School of Business, Baruch College - The City University of New York
Downloads 162 (179,256)

Abstract:

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Participating mortgages, credit risk, prepayment risk

19.

Housing Prices and the Optimal Time-on-The-Market Decision

Number of pages: 14 Posted: 13 Apr 2011 Last Revised: 07 Jun 2011
University of Melbourne, Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Cincinnati - Department of Finance - Real Estate and Zicklin School of Business, Baruch College - The City University of New York
Downloads 136 (206,998)

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Real estate market, Price evolution, Optimal waiting time

20.

A Reduced-Form Model for Lease Contract Valuation with Embedded Options

Number of pages: 62 Posted: 21 Oct 2011 Last Revised: 20 Dec 2017
National Central University at Taiwan - Department of Finance, Shih Chien University, National Central University at Taiwan and Zicklin School of Business, Baruch College - The City University of New York
Downloads 135 (208,236)

Abstract:

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Lease Contracts, Embedded Options, Default Risk, Adjustable Rate

21.

The Effects of LBO Events on Industry Rivals

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 40 Posted: 21 Feb 2011 Last Revised: 02 Oct 2011
Jeffrey Oxman and Yildiray Yildirim
University of St. Thomas and Zicklin School of Business, Baruch College - The City University of New York
Downloads 135 (208,236)

Abstract:

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Company finance, Corporate investment, Leveraged buyouts, Firm behavior

22.

Portfolio Balance Effects and the Federal Reserve's Large-Scale Asset Purchases

Number of pages: 37 Posted: 26 Apr 2014 Last Revised: 26 Jan 2018
Thomas Emmerling, Robert A. Jarrow and Yildiray Yildirim
Zicklin School of Business, Baruch College - The City University of New York, Cornell University - Samuel Curtis Johnson Graduate School of Management and Zicklin School of Business, Baruch College - The City University of New York
Downloads 131 (213,361)

Abstract:

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Quantitative easing, portfolio balance, equity risk premium, bond risk premium

23.

Soft Liquidity Constraints and Consumption: Evidence from Macro Prudential Policy in Turkey

Number of pages: 50 Posted: 26 Feb 2015 Last Revised: 13 Dec 2017
Sumit Agarwal, Muris Hadzic, Changcheng Song and Yildiray Yildirim
National University of Singapore, Whitman School of Management, Syracuse University, National University of Singapore (NUS) and Zicklin School of Business, Baruch College - The City University of New York
Downloads 125 (221,165)

Abstract:

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Liquidity Constraints, Credit Constraints, Consumption, Spending, Debt, Credit Cards, Household Finance, Fiscal Policy.

24.

Modelling Default Risk: A New Structural Approach

Finance Research Letters, Forthcoming
Number of pages: 12 Posted: 08 Feb 2011
Yildiray Yildirim
Zicklin School of Business, Baruch College - The City University of New York
Downloads 125 (221,165)
Citation 1

Abstract:

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Credit risk, Structural model, Brownian area

25.

Credit Risk and the Term Structure of Lease Rates: A Reduced Form Approach

Journal of Real Estate Finance and Economics, Vol. 37, No. 3, 2008
Number of pages: 26 Posted: 01 Oct 2008 Last Revised: 03 Feb 2011
Brent W. Ambrose and Yildiray Yildirim
Pennsylvania State University and Zicklin School of Business, Baruch College - The City University of New York
Downloads 112 (239,833)
Citation 2

Abstract:

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leasing valuation, credit risk, reduced form model

26.

Estimating Expected Losses and Liquidity Discounts Implicit in Debt Prices

Journal of Risk, Vol. 5, No. 1, Fall 2002
Number of pages: 39 Posted: 06 Oct 2004 Last Revised: 01 Jun 2013
Robert A. Jarrow, Tibor Janosi and Yildiray Yildirim
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cornell University - Department of Computer Science and Zicklin School of Business, Baruch College - The City University of New York
Downloads 110 (242,894)
Citation 34

Abstract:

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Credit Risk

27.

Estimating Default Probabilities Implicit in Equity Prices

Journal of Investment Management, Vol. 1, No 1, First Quarter 2003
Number of pages: 38 Posted: 02 Apr 2004 Last Revised: 12 Nov 2012
Robert A. Jarrow, Tibor Janosi and Yildiray Yildirim
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cornell University - Department of Computer Science and Zicklin School of Business, Baruch College - The City University of New York
Downloads 106 (249,356)
Citation 9

Abstract:

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Credit risk

28.

The Dynamics of Operational Loss Clustering

Journal of Banking and Finance, Forthcoming
Number of pages: 30 Posted: 07 Feb 2011
Anna Chernobai and Yildiray Yildirim
Syracuse University - M. J. Whitman School of Management and Zicklin School of Business, Baruch College - The City University of New York
Downloads 92 (273,902)
Citation 1

Abstract:

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Operational risk, Basel II, shot noise, Cox process, aggregate los

29.

Price Discovery in Real Estate Markets: A Dynamic Analysis

Journal of Real Estate Finance and Economics, Vol. 42, No. 1, 2011
Number of pages: 49 Posted: 29 Aug 2010 Last Revised: 11 Feb 2011
Abdullah Yavas and Yildiray Yildirim
University of Wisconsin - School of Business - Department of Real Estate and Urban Land Economics and Zicklin School of Business, Baruch College - The City University of New York
Downloads 90 (277,686)
Citation 4

Abstract:

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price discovery, REIT returns, NAV returns

30.

Leverage, Options Liabilities, and Corporate Bond Pricing

Review of Derivatives Research, Vol. 11, No. 3, 2008
Number of pages: 37 Posted: 07 Feb 2011
Henry Hongren Huang and Yildiray Yildirim
National Central University at Taiwan and Zicklin School of Business, Baruch College - The City University of New York
Downloads 64 (337,799)

Abstract:

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31.

Portfolio Balance Effects and the Equity Market

Number of pages: 32 Posted: 29 Oct 2015
Thomas Emmerling, Robert A. Jarrow and Yildiray Yildirim
Zicklin School of Business, Baruch College - The City University of New York, Cornell University - Samuel Curtis Johnson Graduate School of Management and Zicklin School of Business, Baruch College - The City University of New York
Downloads 60 (348,910)

Abstract:

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Quantitative easing, portfolio balance channel, equity risk premium

32.

Drafting and Securitizing Participation Mortgages: A Re-Introduction

Number of pages: 37 Posted: 23 Feb 2015
Spencer Coopchik and Yildiray Yildirim
Independent and Zicklin School of Business, Baruch College - The City University of New York
Downloads 56 (360,829)

Abstract:

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Participation Mortgages; Securitization

33.

To Accept or Not Accept: Optimal Strategy for Sellers in Real Estate

Number of pages: 42 Posted: 02 Jun 2013 Last Revised: 28 Jan 2018
Thomas Emmerling, Abdullah Yavas and Yildiray Yildirim
Zicklin School of Business, Baruch College - The City University of New York, University of Wisconsin - School of Business - Department of Real Estate and Urban Land Economics and Zicklin School of Business, Baruch College - The City University of New York
Downloads 55 (363,900)

Abstract:

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Real estate, Optimal selling strategy

34.

The Impact of Policy Decisions on Global Liquidity During the Recent Financial Crisis

Number of pages: 22 Posted: 10 Feb 2015
Sait Satiroglu, Emrah Sener, Michael Shafer and Yildiray Yildirim
Center For Computational Finance, Ozyegin University, Providence College and Zicklin School of Business, Baruch College - The City University of New York
Downloads 42 (407,517)

Abstract:

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Covered Interest Rate Parity, Economic Policy, Financial Crisis, Currency Liquidity, Foreign Exchange Rates

35.

The Choice of Public vs. Private Equity: Evidence from the SEO and Pipe Markets

Number of pages: 41 Posted: 18 Mar 2008 Last Revised: 06 Apr 2016
Milena T. Petrova, Ya-Wei Yang and Yildiray Yildirim
Bocconi University, Syracuse University - Whitman School of Management and Zicklin School of Business, Baruch College - The City University of New York
Downloads 31 (452,137)
Citation 1

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36.

Why Do Public Firms Issue Private Equity?

Posted: 22 Mar 2009
Yildiray Yildirim, Ya-Wei Yang and Milena T. Petrova
Zicklin School of Business, Baruch College - The City University of New York, Syracuse University - Whitman School of Management and Bocconi University
Downloads 10 (567,581)

Abstract:

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private equity, SEOs, performance, abnormal returns

37.

Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information

Real Estate Economics, Vol. 36, Issue 3, pp. 441-498, Fall 2008
Number of pages: 58 Posted: 04 Aug 2008
affiliation not provided to SSRN, Cornell University - Samuel Curtis Johnson Graduate School of Management and Zicklin School of Business, Baruch College - The City University of New York
Downloads 5 (597,805)
Citation 5
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38.

The Subprime Virus

Real Estate Economics, Vol. 43, Issue 4, pp. 891-915, 2015
Number of pages: 25 Posted: 26 Oct 2015
Sumit Agarwal, Brent W. Ambrose and Yildiray Yildirim
National University of Singapore, Pennsylvania State University and Zicklin School of Business, Baruch College - The City University of New York
Downloads 1 (633,030)
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39.

Capital Structure and the Substitutability versus Complementarity Nature of Leases and Debt

Review of Finance, 2018, 1–37
Posted: 06 Mar 2018
Pennsylvania State University, Zicklin School of Business, Baruch College - The City University of New York, National Central University at Taiwan and Zicklin School of Business, Baruch College - The City University of New York

Abstract:

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Leasing valuation, Credit risk, Endogenous default

40.

The Impact of Tenant Diversification on Spreads and Default Rates for Mortgages on Retail Properties

Journal of Real Estate Finance and Economics, Vol. 56, No. 1, 2018, Baruch College Zicklin School of Business Research Paper No. 2018-02-07
Posted: 08 Feb 2018 Last Revised: 27 Feb 2018
Brent W. Ambrose, Michael Shafer and Yildiray Yildirim
Pennsylvania State University, Providence College and Zicklin School of Business, Baruch College - The City University of New York

Abstract:

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Commercial Mortgages; Mortgage Spreads; Mortgage Default Rates; Tenant Diversification

41.

Cash Demand and Consumption Response to Unanticipated Monetary Policy Shock: Evidence from Turkey

Georgetown McDonough School of Business Research Paper No. 2913973
Posted: 09 Feb 2017 Last Revised: 05 Aug 2018
National University of Singapore, Office of the Comptroller of the Currency (OCC), Zicklin School of Business, Baruch College - The City University of New York and Hong Kong Baptist University (HKBU) - Department of Finance and Decision Sciences

Abstract:

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Cash Demand, Interest Shock, Liquidity Constraint, Consumption, Big Data, Household Finance

42.

Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence

Real Estate Economics, Forthcoming
Posted: 28 Sep 2012
Brad Case, Massimo Guidolin and Yildiray Yildirim
Fannie Mae, Bocconi University - Department of Finance and Zicklin School of Business, Baruch College - The City University of New York

Abstract:

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REITs, Markov switching, Multivariate GARCH, Dynamic conditional correlations

43.

Dynamic Correlations Among Classes: REIT and Stock Returns

Journal of Real Estate Finance and Economics, Vol. 44, No. 3, 2012
Posted: 22 Feb 2012
Brad Case, Yawei Yang and Yildiray Yildirim
Fannie Mae, affiliation not provided to SSRN and Zicklin School of Business, Baruch College - The City University of New York

Abstract:

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DCC-GARCH, REITs, Volatility, Portfolio optimization, Asset allocation