Fan Yu

Michigan State University – Department of Finance
Eli Broad College of Business
322 Eppley Center
East Lansing, MI 48824-1121
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 Yu received a PhD in Economics from Cornell University in 1999. Prior to his career as a financial economist, he studied physics at Nanjing, McMaster, and Harvard Universities. His research interests are in the areas of credit risk, fixed income, and derivative securities. He has published in top finance journals such as the Journal of Finance, the Journal of Financial Economics, and the Review of Financial Studies. His work has been supported by Moody's Credit Market Research Fund and the FDIC's Center for Financial Research. He currently serves as an associate editor of the Review of Derivatives Research. Before joining MSU, he was an assistant professor at UC-Irvine.

Publications: that are posted on DefaultRisk.com

Credit Pricing

Yu, Fan, "Accounting Transparency and the Term Structure of Credit Spreads", Journal of Financial Economics, (January 2005), Vol. 75, No. 1, pp 53-84. [Abstract]

Counterparty Risk and the Pricing of Defaultable Securities
by Robert A. Jarrow of Cornell University, and
Fan Yu of University of California at 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 Pennsylvania State University,
Fan Yu of the University of California, Irvine, and
Zhaodong Zhong of Pennsylvania State University
(396K PDF) –- 42 pages -- March 15, 2007

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 at Irvine
(197K PDF) -- 26 pages -- January 2005

Other

Yu, Fan, "How Profitable Is Capital Structure Arbitrage?", Financial Analysts Journal, Vol. 62, No. 5, (September/October 2006), pp. 47-62. [Abstract]

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 at Los Angeles, and
Fan Yu of University of California at Irvine
(532K PDF) -– 53 pages -- March 2006

Yu, Fan, "Modeling Expected Return on Defaultable Bonds", Journal of Fixed Income, Vol. 12, No. 2, (September 2002), pp. 69-81. [Abstract]

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