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Yildiray Yildirim

Michael Falcone Chair in Real Estate, Professor of Finance
Director, James D. Kuhn Real Estate Center

(315) 443-4885
Room: 120
yildiray@syr.edu

PhD (statistics and finance), Cornell University

Professor Yildirim’s research interests are 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. Professor Yildirim has published in Journal of Financial and Quantitative Analysis, Real Estate Economics, The Journal of Real Estate Finance and Economics, Journal of Fixed Income, and Annals of Applied Probability, among others. He is an Associate Editor for the Mathematical Finance Letters, ICFAI Journal of Financial Risk Management, Eurasian Journal of Business and Economics, Journal of Economic and Social Studies and Central Bank Review. He graduated from Yildiz Technical University with a BS in Computer Science and Engineering. He received both his Ph.D. in Statistics and MA in Economics at Cornell University.


Research Topics

  • Commercial real estate
  • Mortgage valuation
  • Securitization
  • REIT
  • Credit default swap
  • Inflation indexed securities

real estate finance, real estate capital market, case studies in real estate finance and investment, derivatives, fixed income securities

Selected Publications

  • "Government Policies, Residential Mortgage Defaults, and the Boom and Bust Cycle of Housing Prices ", Real Estate Economics, forthcoming, (with Marius Ascheberg, Robert Jarrow, Holger Kraft)
  • "Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance ", Real Estate Economics, forthcoming, (with Brad Case and Massimo Guidolin)
  • "Dynamic Correlations Among Asset Classes: REIT and Stock Returns", Journal of Real Estate Finance and Economics, Vol. 44, No. 3, 2012, ( with Case, B., and Wang, Y. )
  • "The Term Structure of Lease Rates with Endogenous Default Triggers and Tenant Capital Structure: Theory and Evidence", The Journal of Financial and Quantitative Analysis, Vol. 46, No. 2, 553-584, 2011, (with Agarwal, S., Ambrose, B., and Huang, H.)
  • "Price Discovery in Real Estate Markets: A Dynamic Analysis", The Journal of Real Estate Finance and Economics, Vol. 42, No. 1, 1-29, 2011, (with Yavas, A.)
  • "Estimating Default Probabilities Implicit in CMBS", Journal of Real Estate Finance and Economics, Vol. 39, No. 2, 2009, (with Kau, J., and Keenan, D.)
  • "Credit Risk and Term Structure of Lease Rates: A Reduced Form Model", The Journal of Real Estate Finance and Economics, Vol. 37, N0 3, pp. 281-29, 2008, (with Ambrose, B.)
  • "Estimating Default Probabilities of CMBS with Clustering and Heavy Censoring", The Journal of Real Estate Finance and Economics, Vol. 37, No. 2, pp. 93-11, 2008
  • "Commercial Mortgage Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information", Real Estate Economics, Vol. 36, No. 3, pp. 441-4, 2008, (with Christopoulos, A., Jarrow, R.)
  • "Modeling Default Risk with Partial Information", Annals of Applied Probability, Vol.14, No. 3, 1167-1178 , 2004, (with Cetin, U., Jarrow, R., Protter, P.)
  • "Pricing Treasury Inflation Protected Securities and Related Derivative Securities Using an HJM Model", Journal of Financial and Quantitative Analysis, Vol. 38, No. 2, 2003, (with Jarrow R. )

Leadership

  • Borsa Istanbul Review - Associate Editor
  • Mathematical Finance Letters - Associate Editor
  • Eurasian Journal of Business and Economics - Associate Editor
  • The ICFAI Journal of Financial Risk Management - Associate Editor
  • Journal of Economic and Social Studies - Associate Editor
  • Central Bank Review - Editorial Board