Yildirim_Yildiray_2014_pic

 

Yildiray Yildirim
Michael Falcone Chair in Real Estate,  Professor of Finance

Director, James D. Kuhn Real Estate Center

 

(315) 443-4885
Room 120D
Whitman School of Management

 

 

 

 

 

 PhD, Cornell University

Curriculum Vitae.

His research interests are fixed income securities, inflation modeling, credit risk and rating (theoretical and empirical), structured finance, real estate in particular securitization and commercial leasing. He was a visiting scholar at Princeton University, Office of Comptroller of the Currency, and Borsa Istanbul. He provided consultancy at the U.S. Department of Housing regarding issues concerning multifamily mortgage default and foreclosure, and most recently received a grant from JP Morgan Chase on commercial mortgage origination and tenant risk. He developed the undergraduate real estate program at Syracuse University in 2009. He has taught finance and real estate courses, including real estate finance and investment, real estate capital markets, case studies in real estate investment, fixed income securities, and corporate finance. He graduated from Yildiz Technical University with a B.Sc. in Computer Science and Engineering. He received both his M.A. in Economics and Ph.D. in Statistics at Cornell University.

 

Publications

 

 Government Policies, Residential Mortgage Defaults, and the Boom and Bust Cycle of Housing Prices 

 (With Marius Ascheberg, Robert Jarrow and Holger Kraft)

 Real Estate Economic, Vol 42, No. 3, pp. 627-661, 2014.

 

 Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance 

 (With Brad Case and Massimo Guidolin)

 Real Estate Economic, Vol 42, No. 2, pp. 279-342, 2014.

 

 Affine Model of Inflation-Indexed Derivatives and Inflation Risk Premium

 (With Hsia-Wei Ho and Henry H. Huang)

 European Journal of Operational Research, Vol. 235, Issue 1, pg. 159-169, May 2014.

 

 Operational Risk and Equity Prices

 (With Michael Shafer)

 Finance Research Letters, Volume 10, Issue 4, pg 157-168, December 2013.

 

 Dynamic Correlation Among Asset Classes: REIT and Stock Returns

 (With Brad Case and Yawei Yang)

 The Journal of Real Estate Finance and Economics, Vol. 44, No. 3, 2012.

 

 Housing Prices and the Optimal Time-on-the-Market Decision

 (With Hazer Inaltekin, Robert Jarrow, and Mehmet Saglam)

 Finance Research Letters, Volume 8, Issue 4, pp. 171-226, 2011.

 

 The Term Structure of Lease Rates with Endogenous Default Triggers and Tenant Capital Structure: Theory and Evidence

 (With Sumit Agarwal, Brent Ambrose and Hongming Huang)

 Journal of Financial and Quantitative Analysis, Vol. 46, No. 2, April 2011.

 

 Price Discovery in Real Estate Markets: A Dynamic Analysis of the REIT Premium

 (With Abdullah Yavas)

 The Journal of Real Estate Finance and Economics, Vol. 42, No. 1, 2011.

 

 The Cost of Operational Risk Loss Insurance

 (With Jeffrey Oxman and Robert Jarrow)

 Review of Derivatives Research, Volume 13, Issue 3, pp. 273-295, 2010.

 

 Estimating Default Probabilities Implicit in CMBS

 (With James Kau and Donald Keenan)

 The Journal of Real Estate Finance and Economics, Vol 39, No. 2, 2009.

 

 Leverage, Option Liabilities and Corporate Bond Pricing

 (With Hongming Huang)

 Review of Derivatives Research, Volume 11, Issue 3, pp. 245-276, 2008.

 

 The Dynamics of Operational Loss Clustering

 (With Anna Chernobai)

 Journal of Banking & Finance, Vol 32/12, pp. 2655-2666, 2008.

 

 Valuing TIPS Bond Futures in Jarrow-Yildirim Model

 (With Hongming Huang)

 Risk, June 2008.

 

 Credit Risk and Term Structure of Lease Rates: A Reduced Form Model

 (With Brent Ambrose)

 The Journal of Real Estate Finance and Economic, Vol 37, No. 3, pp. 281-298, 2008.

  

 Commercial Mortgage Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information

 (With Andreas Christopoulos and Robert Jarrow)

 Real Estate Economic, Vol 36, No. 3, pp. 441-498, 2008.

 

 Estimating Default Probabilities of CMBS with Clustering and Heavy Censoring

 The Journal of Real Estate Finance and Economics, Vol 37, No. 2, 2008.

 

 Modeling Default Risk: A New Structural Approach

 Finance Research Letters, 3, pp. 165-172, 2006.

 

 Modeling Default Risk with Partial Information

 (With Umut Cetin, Robert Jarrow and Philip Protter)

 Annals of Applied Probability , Vol. 14, No. 3, 1167-1178, 2004.

·         Reprinted, Financial Derivatives Pricing, 2008, World Scientific Publishing.

 

 How Valuable is Credit Card Lending?

 (With Arkadev Chatterjea, Robert Neal and Robert Jarrow)

 Journal of Derivatives, Volume 11, Number 2, Pages 39 – 52, Winter 2003.

 

 Pricing Treasury Inflation Protected Securities and Related Derivative securities using an HJM Model

 (With Robert Jarrow) 

 Journal of Financial and Quantitative Analysis, Vol. 38, No. 2, June 2003.

·         Reprinted, Financial Derivatives Pricing, 2008, World Scientific Publishing.

 

 Estimating Default Probabilities Implicit in Equity Prices

 (With Tibor Janosi and Robert Jarrow)

 Journal of Investment Management, Vol. 1, No. 1, 2003.

·         Reprinted, The Credit Market Handbook: Advanced modeling Issues, ed. G. Fong, 2005, Wiley.

 

 Estimating Expected Losses and Liquidity Discounts Implicit in Debt Prices

 (With Tibor Janosi and Robert Jarrow)

 Journal of Risk, Volume 5 / Number 1, Fall 2002.

·         Reprinted, Innovations in Risk Management, ed. P. Jorion, Risk Books: London, 2004.

 

 A Simple Model for Valuing Default Swaps when both Market and Credit Risk are Correlated

 (With Robert Jarrow)

 Journal of Fixed Income, 11 (4), March 2002.

 

Courses

FIN  256

Corporate Finance

RES 462

Real Estate Finance and Investment

RES 443

RES 472

Real Estate Capital Markets

Case Studies In Real Estate Finance and Development

FIN  455

Financial Management

FIN  456

Investment

FIN  468

Advanced Financial Management

RES 743

Real Estate Capital Markets

FIN  600

Topics in Finance and Investment

FIN  600

Risk Management: Credit Risk

FIN  660

Fixed Income Securities

FIN  751

Financial Control in Business

FIN  960

Doctoral Seminar

 

    2002:  Corporate Finance

 

    2004:  Asset Pricing

 

    2006:  Real Estate Finance

    2010:  Empirical Asset Pricing

 

 

Links

 AREUEA

 ULI
 American Finance Association
 Finance Related Sites
 JSTOR
 DeafultRisk.com
 Soccer

Syracuse University
Martin J. Whitman School of Management

Finance Department

721 University Avenue Syracuse, NY 13244
Office: 315-443 4885    Fax: 315-443 5457
E-Mail:
Yildiray

 

Last update: September, 2014