User profiles for Yildiray Yildirim

Yildiray Yildirim

Baruch College
Verified email at baruch.cuny.edu
Cited by 1653

Modeling credit risk with partial information

U Cetin, R Jarrow, P Protter, Y Yıldırım - 2004 - projecteuclid.org
This paper provides an alternative approach to Duffie and Lando [Econometrica 69 (2001)
633–664] for obtaining a reduced form credit risk model from a structural model. Duffie and …

Pricing treasury inflation protected securities and related derivatives using an HJM model

R Jarrow, Y Yildirim - Journal of Financial and Quantitative Analysis, 2003 - cambridge.org
This paper uses an HJM model to price TIPS and related derivative securities. First, using the
market prices of TIPS and ordinary US Treasury securities, both the real and nominal zero-…

Dynamic correlations among asset classes: REIT and stock returns

B Case, Y Yang, Y Yildirim - The Journal of Real Estate Finance and …, 2012 - Springer
We use the Dynamic Conditional Correlation model with Generalized Autoregressive
Conditional Heteroskedasticity (DCC-GARCH) developed by Engle (Journal of Business & …

Estimating expected losses and liquidity discounts implicit in debt prices

RA Jarrow, T Janosi, Y Yildirim - Journal of Risk, 2002 - papers.ssrn.com
This paper provides an empirical implementation of a reduced form credit risk model that
incorporates both liquidity risk and correlated defaults. Liquidity risk is modeled as a …

Price discovery in real estate markets: A dynamic analysis

A Yavas, Y Yildirim - The Journal of Real Estate Finance and Economics, 2011 - Springer
Although the correlation between the public and private market pricing of real estate has
generated considerable research effort, the methods utilized in previous studies have failed to …

Valuing Default Swaps Under Market and Credit Risk Correlation.

RA Jarrow, Y Yildirim - Journal of Fixed Income, 2002 - elibrary.ru
Valuing Default Swaps Under Market and Credit Risk Correlation. КОРЗИНА ПОИСК
НАВИГАТОР ЖУРНАЛЫ КНИГИ ПАТЕНТЫ ПОИСК АВТОРЫ ОРГАНИЗАЦИИ …

Efficiency of ozone therapy in a rat model of experimental uveitis

…, M Sonmez, T Kar, A Haholu, Y Yildirim… - Ocular immunology …, 2017 - Taylor & Francis
Purpose: To investigate efficiency of ozone therapy in uveitis. Methods: A total of 24 albino
Wistar rats were randomly assigned to four groups (n = 6); (a) control group; (b) sham group; (…

Evaluation of interpupillary distance in the Turkish population

Y Yildirim, I Sahbaz, T Kar, G Kagan… - Clinical …, 2015 - Taylor & Francis
Purpose The aim of this study was to report normative values and ranges of interpupillary
distance (IPD) in different age groups of a Turkish population. Methods A total of 756 healthy …

Distance to headquarter and real estate equity performance

S Milcheva, Y Yildirim, B Zhu - The Journal of Real Estate Finance and …, 2021 - Springer
We study the effect of geographic portfolio diversification of real estate firms on their investment
performance before and after the global financial crisis (GFC). In addition to previously …

The dynamics of operational loss clustering

A Chernobai, Y Yildirim - Journal of Banking & Finance, 2008 - Elsevier
This paper investigates the characteristics of the operational loss data formation mechanism
that takes place between the date of discovery of a new operational risk event and the final …