Fan Yu, Ph.D.
Department
Areas of Expertise
Education
Ph.D., Cornell University; B.Sc., McMaster University
Research and Publications
"Government Support and the Term Structure of Yield Spreads for Chinese SOEs," with Yuanzhen Lyu (2023), R&R at Management Science
"Modeling Municipal Yields with (and without) Bond Insurance," with Albert Lee Chun, Ethan Namvar, and Xiaoxia Ye, Management Science 65(8), 3694-3713 (2019)
"Credit Derivatives and Analyst Behavior," with George Batta and Jiaping Qiu, Accounting Review 91(5), 1315-1343 (2016)
"Endogenous Liquidity in Credit Derivatives," with Jiaping Qiu, Journal of Financial Economics 103(3), 611-631 (2012)
"The Determinants of Operational Risk in U.S. Financial Institutions," with Anna Chernobai and Philippe Jorion, Journal of Financial and Quantitative Analysis 46(6), 1683-1725 (2011)
"The Market for Corporate Control and the Cost of Debt,” with Jiaping Qiu, Journal of Financial Economics 93(3), 505-524 (2009)
"Risk and Return in Fixed Income Arbitrage: Nickels in Front of a Steamroller?" with Jefferson Duarte and Francis Longstaff, Review of Financial Studies 20(3), 769-811 (2007)
"Accounting Transparency and the Term Structure of Credit Spreads," Journal of Financial Economics 75(1), 53-84 (2005)
"Counterparty Risk and the Pricing of Defaultable Securities,” with Robert Jarrow, Journal of Finance 56(5), 1765-1799 (2001)