Fan Yu

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

Fan Yu
(909) 607-3345
Bauer Center 319

Office Hours

MW 2:45-3:45PM
  • Education
  • Research and Publications
Ph.D., Cornell University; B.Sc., McMaster University
  • "Modeling Municipal Yields with (and without) Bond Insurance," with Albert Lee Chun, Ethan Namvar, and Xiaoxia Ye (2017), forthcoming, Management Science

  • "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)

  • "Correlated Defaults in Intensity-Based Models," Mathematical Finance 17(2), 155-173 (2007)

  • "How Profitable Is Capital Structure Arbitrage?" Financial Analysts Journal 62(5), 47-62 (2006)

  • "Accounting Transparency and the Term Structure of Credit Spreads," Journal of Financial Economics 75(1), 53-84 (2005)

  • "Default Risk and Diversification: Theory and Empirical Implications," with Robert Jarrow and David Lando, Mathematical Finance 15(1), 1-26 (2005)

  • "Counterparty Risk and the Pricing of Defaultable Securities,” with Robert Jarrow, Journal of Finance 56(5), 1765-1799 (2001)