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Fan Yu
Fan Yu
Professor of Financial Economics, Claremont McKenna College
Verified email at cmc.edu - Homepage
Title
Cited by
Cited by
Year
Counterparty risk and the pricing of defaultable securities
RA Jarrow, F Yu
the Journal of Finance 56 (5), 1765-1799, 2001
11242001
Accounting transparency and the term structure of credit spreads
F Yu
Journal of Financial Economics 75 (1), 53-84, 2005
5922005
Default risk and diversification: Theory and empirical implications
RA Jarrow, D Lando, F Yu
Mathematical Finance 15 (1), 1-26, 2005
4082005
Risk and return in fixed-income arbitrage: Nickels in front of a steamroller?
J Duarte, FA Longstaff, F Yu
The Review of Financial Studies 20 (3), 769-811, 2007
3852007
The determinants of operational risk in US financial institutions
A Chernobai, P Jorion, F Yu
Journal of Financial and Quantitative Analysis 46 (6), 1683-1725, 2011
315*2011
The information content of option-implied volatility for credit default swap valuation
C Cao, F Yu, Z Zhong
Journal of Financial Markets 13 (3), 321-343, 2010
2882010
CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
F Yu
Mathematical Finance 17 (2), 155-173, 2007
235*2007
Endogenous liquidity in credit derivatives
J Qiu, F Yu
Journal of Financial Economics 103 (3), 611-631, 2012
2262012
How profitable is capital structure arbitrage?
F Yu
Financial Analysts Journal 62 (5), 47-62, 2006
1982006
The market for corporate control and the cost of debt
J Qiu, F Yu
Journal of Financial Economics 93 (3), 505-524, 2009
1632009
Default correlation in reduced-form models
F Yu
Journal of Investment Management 3 (4), 33-42, 2005
133*2005
Credit derivatives and analyst behavior
GE Batta, J Qiu, F Yu
The Accounting Review 91 (5), 1315-1343, 2016
121*2016
Modeling expected return on defaultable bonds
F Yu
Available at SSRN 291065, 2002
842002
Local government implicit debt and the pricing of lgfv bonds
LX Liu, Y Lyu, F Yu
Available at SSRN 4075341, 2021
53*2021
Pricing credit default swaps with option-implied volatility
C Cao, F Yu, Z Zhong
Financial Analysts Journal 67 (4), 67-76, 2011
382011
Is investor misreaction economically significant? Evidence from short‐and long‐term S&P 500 index options
C Cao, H Li, F Yu
Journal of Futures Markets 25 (8), 717-752, 2005
322005
Social learning and parameter uncertainty in irreversible investments: evidence from greenhouse adoption in northern China
H Wang, F Yu, T Reardon, J Huang, S Rozelle
China Economic Review 27, 104-120, 2013
302013
Modeling municipal yields with (and without) bond insurance
AL Chun, E Namvar, X Ye, F Yu
Management Science 65 (8), 3694-3713, 2019
292019
Are credit ratings relevant in China’s corporate bond market?
R Dhawan, F Yu
The Chinese Economy 48 (3), 235-250, 2015
282015
Credit risk spillovers and cash holdings
J Lei, J Qiu, C Wan, F Yu
Journal of Corporate Finance 68, 101965, 2021
242021
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