Faculty

Institution

Unit

Venue

Fan Yu

Claremont McKenna College

Affiliations

Claremont McKenna College

Robert Day School of Economics and Finance

The Berger Institute for Individual and Social Development

The Keck Center for International and Strategic Studies

The Randall Lewis Center for Innovation and Entrepreneurship

Department Of Government

Department Of Literature

Department Of Political Science

NoneFan Yu is currently serving as a Claremont Mckenna College faculty at Claremont Mckenna College.

Honors

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Experiences

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Education

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Fan Yu

Claremont McKenna College

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finance financial economics economics asset pricing financial stability empirical finance mathematical finance credit derivatives risk management international financial markets finance research social science research statistics applied mathematics international finance capital structure financial analysis statistical models statistical methodology computational statistics economic research economic analysis financial studies option pricing credit markets option-implied volatility economic behavior theoretical economics decision science economic dynamics housing studies quantitative science studies general systems volatility modeling market microstructure market trends market manipulation trade-off analysis financial data financial statements financial structure retail banking derivative pricing security markets bond markets term structure model information content operational risk irreversible investments parameter uncertainty greenhouse adoption social learning northern china index options investor misreaction urban study cds price informativeness central clearing credit spreads corporate default prediction

Notable Scholarly Works

Notable Federal Grants

Collaborators

Accounting Transparency and the Implied Volatility Skew. SSRN Electronic Journal (2022)

Hitesh DoshiJan EricssonStephen SzauraFan Yu

financial economicssocial science researchimplied volatility skewaccounting transparencysocial scienceseconomics

Corporate Credit Derivatives. Oxford Research Encyclopedia of Economics and Finance (2022)

financial stabilitycorporate credit derivativesfinance researchcorporate financecredit marketsfinancial studiesfinance

Credit Derivatives and Corporate Default Prediction. Journal of Banking & Finance (2022)

Xiaoxia YeFan YuRan Zhao

financial economicscredit derivativescorporate default predictionempirical financeretail bankingfinancemathematical finance

Customer-Supplier Relationships and Corporate Diversification. SSRN Electronic Journal (2022)

State Ownership and the Term Structure of Yield Spreads: Evidence From China. SSRN Electronic Journal (2022)

Local Government Implicit Debt and the Pricing of Lgfv Bonds. SSRN Electronic Journal (2021)

Unifying Gaussian Dynamic Term Structure Models From a Heath–Jarrow–Morton Perspective. European Journal of Operational Research (2020)

statistical mechanicsfunctional data analysisstatistical methodologyapplied mathematicsnonlinear dynamicsstatistical theorystatisticsgeneral systemscomputational statisticsstochastic partial differential equationsdata scienceapplied statisticshigh-dimensional statisticsquantitative science studiesbayesian analysistime seriesstatistical models

Bond Volatility and Cds Auctions. SSRN Electronic Journal (2019)

Jennifer MaceFan YuRan Zhao

financial economicssocial science researchsecurity marketsbond marketsbond volatilityasset pricingsocial sciencescds auctionsfinance

The Impact of Trade Reporting and Central Clearing on Cds Price Informativeness. Journal of Financial Stability (2019)

Miriam MarraFan YuLu Zhu

financial economicsfinancial stabilitycds price informativenessinternational financial marketsasset pricinginternational financecentral clearingempirical financefinancemathematical finance

Modeling Municipal Yields With (and Without) Bond Insurance. Management Science (2018)

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Fan Yu

Claremont McKenna College

Affiliations

Claremont McKenna College

Robert Day School of Economics and Finance

The Berger Institute for Individual and Social Development

The Keck Center for International and Strategic Studies

The Randall Lewis Center for Innovation and Entrepreneurship

Department Of Government

Department Of Literature

Department Of Political Science

NoneFan Yu is currently serving as a Claremont Mckenna College faculty at Claremont Mckenna College.

Honors

Create free account to unlock more features

Experiences

Create free account to unlock more features

Education

Create free account to unlock more features

Fan Yu

Claremont McKenna College

You can click a keyword to filter the displayed items

Notable Scholarly Works

Notable Federal Grants

Collaborators

Accounting Transparency and the Implied Volatility Skew. SSRN Electronic Journal (2022)

Hitesh DoshiJan EricssonStephen SzauraFan Yu

financial economicssocial science researchimplied volatility skewaccounting transparencysocial scienceseconomics

Corporate Credit Derivatives. Oxford Research Encyclopedia of Economics and Finance (2022)

financial stabilitycorporate credit derivativesfinance researchcorporate financecredit marketsfinancial studiesfinance

Credit Derivatives and Corporate Default Prediction. Journal of Banking & Finance (2022)

Xiaoxia YeFan YuRan Zhao

financial economicscredit derivativescorporate default predictionempirical financeretail bankingfinancemathematical finance

Customer-Supplier Relationships and Corporate Diversification. SSRN Electronic Journal (2022)

State Ownership and the Term Structure of Yield Spreads: Evidence From China. SSRN Electronic Journal (2022)

Local Government Implicit Debt and the Pricing of Lgfv Bonds. SSRN Electronic Journal (2021)

Unifying Gaussian Dynamic Term Structure Models From a Heath–Jarrow–Morton Perspective. European Journal of Operational Research (2020)

Bond Volatility and Cds Auctions. SSRN Electronic Journal (2019)

Jennifer MaceFan YuRan Zhao

financial economicssocial science researchsecurity marketsbond marketsbond volatilityasset pricingsocial sciencescds auctionsfinance

The Impact of Trade Reporting and Central Clearing on Cds Price Informativeness. Journal of Financial Stability (2019)

Miriam MarraFan YuLu Zhu

financial economicsfinancial stabilitycds price informativenessinternational financial marketsasset pricinginternational financecentral clearingempirical financefinancemathematical finance

Modeling Municipal Yields With (and Without) Bond Insurance. Management Science (2018)

1
2
3
10 / page