Fan Yu, Ph.D.

Gordon C. Bjork Professor of Financial Economics and George R. Roberts Fellow


Robert Day School of Economics and Finance

Areas of Expertise

Financial Economics


Ph.D., Cornell University; B.Sc., McMaster University

Research and Publications

"Credit Derivatives and Corporate Default Prediction," with Xiaoxia Ye and Ran Zhao (2021), forthcoming, Journal of Banking and Finance

"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)

M 12:00-1:00
W 4:00-5:00