Jun Yang

Bank of Canada

234 Wellington Street

Ontario, Ottawa K1A 0G9

Canada

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 24,683

SSRN RANKINGS

Top 24,683

in Total Papers Downloads

2,686

SSRN CITATIONS
Rank 25,946

SSRN RANKINGS

Top 25,946

in Total Papers Citations

14

CROSSREF CITATIONS

22

Scholarly Papers (5)

Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads

Journal of Financial Economics, Forthcoming
Number of pages: 67 Posted: 21 Mar 2012 Last Revised: 27 Feb 2020
Hui Chen, Yu Xu and Jun Yang
Massachusetts Institute of Technology, University of Delaware and Bank of Canada
Downloads 1,554 (15,068)
Citation 5

Abstract:

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credit risk, term structure, business cycle, maturity dynamics, liquidity

Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads

NBER Working Paper No. w18367
Number of pages: 62 Posted: 08 Sep 2012 Last Revised: 09 Sep 2021
Hui Chen, Yu Xu and Jun Yang
Massachusetts Institute of Technology, University of Delaware and Bank of Canada
Downloads 26 (635,006)
Citation 7

Abstract:

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Default Risk, Idiosyncratic Coskewness and Equity Returns

Charles A. Dice Center Working Paper No. 2009-18 , Fisher College of Business Working Paper No. 2009-03-018
Number of pages: 50 Posted: 18 Mar 2009 Last Revised: 27 Sep 2010
Fousseni Chabi-Yo and Jun Yang
University of Massachusetts Amherst - Isenberg School of Management and Bank of Canada
Downloads 228 (173,873)

Abstract:

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Financial Distress, Higher Moment Returns, Default Risk, Idiosyncratic Coskewness Beta, Cross-Sectional Equity Returns

Default Risk, Idiosyncratic Coskewness and Equity Returns

Number of pages: 50 Posted: 17 Mar 2010
Fousseni Chabi-Yo and Jun Yang
University of Massachusetts Amherst - Isenberg School of Management and Bank of Canada
Downloads 202 (195,061)
Citation 2

Abstract:

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Financial distress, Higher moment returns

3.

Default Dependence: The Equity Default Relationship

EFA 2008 Athens Meetings Paper
Number of pages: 40 Posted: 31 Jan 2008
Stuart M. Turnbull and Jun Yang
University of Houston - C.T. Bauer College of Business and Bank of Canada
Downloads 402 (95,714)
Citation 2

Abstract:

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credit default swaps, default risk, structural models, jump

4.

A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate

Number of pages: 36 Posted: 27 Feb 2007 Last Revised: 17 Nov 2009
Jun Yang and Fousseni Chabi-Yo
Bank of Canada and University of Massachusetts Amherst - Isenberg School of Management
Downloads 153 (248,157)

Abstract:

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Exchange rates, Interest rates, Financial markets, Econometric and statistical methods

5.

Costly External Finance, Liquidity Risk, and Default Risk

Number of pages: 37 Posted: 18 Mar 2011
Jun Yang
Bank of Canada
Downloads 121 (297,475)

Abstract:

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default risk, liquidity risk, financial crisis, short-term debt, cash reserves