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Fan Yu
The Robert Day School of Economics and Finance
Claremont McKenna College
500 E. Ninth Street
Claremont, CA 91711
USA - Cornell University, Ph.D. (Economics) (1999)
- Professor Yu's research interests are in the area of financial derivatives, specializing in the modeling of credit risk.
- Fan is an Associate Professor of Financial Economics in the Robert Day School of Economics and Finance at Claremont McKenna College in Claremont, California, USA. His research interests are in derivative securities, credit risk modeling, fixed income and credit arbitrage strategies, credit and operational risk management, corporate governance and the cost of debt, and real options.
Publications: that are posted on DefaultRisk.com Credit Pricing Yu, Fan, " Accounting Transparency and the Term Structure of Credit Spreads", Journal of Financial Economics, Vol. 75, No. 1, (January 2005), pp. 53-84. Counterparty Risk and the Pricing of Defaultable Securities
by Robert A. Jarrow of Cornell University, and
Fan Yu of the University of California, Irvine
(628K PDF) -- 44 pages -- October 2001 Credit Derivatives The Information Content of Option-Implied Volatility for Credit Default Swap Valuation
by Charles Cao of the Pennsylvania State University & China Center for Financial Research,
Fan Yu of the Claremont McKenna College, and
Zhaodong Zhong of the Rutgers University
(276K PDF) -- 38 pages -- September 9, 2009 Credit Correlation Correlated Defaults in Intensity-Based Models
by Fan Yu of the University of California, Irvine
(277K PDF) -- 24 pages -- November 8, 2005 Default Correlation in Reduced-Form Models
by Fan Yu of the University of California, Irvine
(192K PDF) -- 18 pages -- April 16, 2005 Default Risk and Diversification: Theory and Empirical Implications
by Robert A. Jarrow of Cornell University,
David Lando of the University of Copenhagen, and
Fan Yu of the University of California, Irvine
(197K PDF) -- 26 pages -- January 2005 Liquidity Risk Qui, Jiaping, Fan Yu, "Endogenous Liquidity in Credit Derivatives", Journal of Financial Economics, Vol. 103, No. 3, (March 2012), pp. 611-631. Other Credit Yu, Fan, " How Profitable Is Capital Structure Arbitrage?", Financial Analysts Journal, Vol. 62, No. 5, (September/October 2006), pp. 47-62. Risk and Return in Fixed-income Arbitrage: Nickels in front of a steamroller?
by Jefferson Duarte of the University of Washington,
Francis Longstaff of the University of California, Los Angeles, and
Fan Yu of the University of California, Irving
(532K PDF) -- 43 pages -- July 6, 2006 Yu, Fan, " Modeling Expected Return on Defaultable Bonds", Journal of Fixed Income, Vol. 12, No. 2, (September 2002), pp. 69-81. [Home] [Credit Researchers] [Top Ten Most Prolific]
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