Yildiray Yildirim

Journal Articles

(2026). Iterated poisson processes for catastrophic risk modeling in ruin theory. Insurance: Mathematics and Economics, 126.

Lai, R. N., Li, Z., & Yildirim, Y. (2026). Under the radar: The role of subsidiaries in concealing political favor in Chinese land transactions. The Journal of Real Estate Finance and Economics,,

(2025). No-Arbitrage Valuation of Residential Real Estate: Evidence from Rent-to-Own Contracts.

Yildirim, Y., Zhang, J., & Zhu, B. (2025). Opioid Crisis and Local Economic Pain: Evidence from Commercial Real Estate Loan .

Yildirim, Y., & Zhu, B. (2025). Exploring Climate Risk, Risk Retention, and CMBS: Understanding their Interplay .

Chang, C., Ho, H., Huang, H., & Yildirim, Y. (2024). A Reduced-Form Model for Lease Contract Valuation with Embedded Option. Review of Quantitative Finance and Accounting, 62(2). 841-862.

(2024). RETurning to REITs. Journal of Real Estate Research,

Agarwal, S., Ambrose, B., Zhang, J., & Yildirim, Y. (2024). Risk Retention Rules and the Issuance of Commercial Mortgage Backed Securities. The Journal of Real Estate Finance and Economics, 68(4). 684-714.

Jarrow, R., & Yildirim, Y. (2023). Inflation-Adjusted Bonds, Swaps, and derivatives . Annual Review of Financial Economics, 15(1).

Agarwal, S., Hadzic, M., Song, C., & Yildirim, Y. (2023). Liquidity Constraints, Consumption, and Debt Repayment: Evidence from Macroprudential Policy in Turkey. The Review of Financial Studies, 36(10). 3953-3998.

Milcheva, S., Yildirim, Y., & Zhu, B. (2021). Distance to Headquarter and Real Estate Equity Performance. The Journal of Real Estate Finance and Economics, 63(3). 327-353.

Agarwal, S., Chomsisengphet, S., Zhang, J., & Yildirim, Y. (2021). Interest Rate Pass-Through and Consumption Response: the Deposit Channel. The Review of Economics and Statistics, 103(5). 922-938.

Emmerling, T. J., Yavas, A., & Yildirim, Y. (2021). To accept or not to accept: Optimal strategy for sellers in real estate. Real Estate Economics, 49(S1). 268-296.

Ambrose, B. W., Emmerling, T., Huang, H. H., & Yildirim, Y. (2019). Capital Structure and the Substitutability versus Complementarity Nature of Leases and Debt. Review of Finance, 23(3). 659.

Ambrose, B., Shafer, M., & Yildirim, Y. (2018). The Impact of Tenant Diversification on Spreads and Default Rates for Mortgages on Retail Properties. The Journal of Real Estate Finance and Economics, 56(1). 1-32.

Emmerling, T., Jarrow, R., & Yildirim, Y. (2018). Portfolio Balance Effects and the Fed’s Large-Scale Asset Purchases. Studies in Economics and Finance, 35(1). 2-24.

Yildirim, Y., & Coopchik, S. (2015). Drafting and Securitizing Participation Mortgages: a Re-Introduction. The Pepperdine Journal of Business, Entrepreneurship & the Law, 8(2). 468-497.

Satiroglu, S., Sener, E., Shafer, M., & Yildirim, Y. (2015). The Impact of Policy Decisions on Global Liquidity during the Recent Financial Crises. International Journal of Finance and Economics, 20(2). 178-189.

Ambrose, B., Agarwal, S., & Yildirim, Y. (2015). The Subprime Virus. Real Estate Economics, 43(4). 807-1054.

Yildirim, Y., & Varli, Y. (2015). Default and Prepayment Modelling in Participation Mortgages. Journal of Banking and Finance, 61(12). 81-88.

Ho, H., Huang, H. H., & Yildirim, Y. (2014). Affine Model of Inflation-Indexed Derivatives and Inflation Risk Premium . European Journal of Operational Research, 235(1). 159-169.

Ascheberg, M., Jarrow, R., Kraft, H., & Yildirim, Y. (2014). Government Policies, Residential Mortgage Defaults, and the Boom and Bust Cycle of Housing Prices . Real Estate Economics, 42(3). 627-661.

Case, B., Guidolin, M., & Yildirim, Y. (2014). Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance . Real Estate Economics, 42(2). 279-342.

Shafer, M., & Yildirim, Y. (2013). Operational Risk and Equity Prices . Finance Research Letters, 10(4). 157-168.

Case, B., Yang, Y., & Yildirim, Y. (2012). Dynamic Correlation Among Asset Classes: REIT and Stock Returns . The Journal of Real Estate Finance and Economics, 44(3).

Inaltekin, H., Jarrow, R., Saglam, M., & Yildirim, Y. (2011). Housing Prices and the Optimal Time-on-the-Market Decision . Finance Research Letters, 8(4). 171-226.

Yavas, A., & Yildirim, Y. (2011). Price Discovery in Real Estate Markets: A Dynamic Analysis of the REIT Premium. The Journal of Real Estate Finance and Economics, 42(1). 1-29.

Agarwal, S., Ambrose, B., Huang, H., & Yildirim, Y. (2011). The Term Structure of Lease Rates with Endogenous Default Triggers and Tenant Capital Structure: Theory and Evidence . Journal of Financial and Quantitative Analysis, 42(1). 1-29.

Jarrow, R., Oxman, J., & Yildirim, Y. (2010). The Cost of Operational Risk Loss Insurance . Review of Derivatives Research, 13(3). 273-295.

Kau, J., Keenan, D., & Yildirim, Y. (2009). Estimating default probabilities implicit in CMBS . The Journal of Real Estate Finance and Economics, 39(2). 107-117.

Huang, H., & Yildirim, Y. (2008). Valuing TIPS Bond Futures in Jarrow-Yildirim Model . Risk, 21(6).

Huang, H., & Yildirim, Y. (2008). Leverage, Option Liabilities and Corporate Bond Pricing . Review of Derivatives Research, 11(3). 245-276.

Ambrose, B., & Yildirim, Y. (2008).  Credit Risk and Term Structure of Lease Rates: A Reduced Form Model . The Journal of Real Estate Finance and Economics, 37(3). 281-298.

Yildirim, Y. (2008). Estimating Default Probabilities of CMBS with Clustering and Heavy Censoring. The Journal of Real Estate Finance and Economics, 37(2). 93-111.

Christopoulos, A., Jarrow, R., & Yildirim, Y. (2008). Commercial Mortgage Backed Securities (CMBS) and Market Efficiency with respect to Costly Information . Real Estate Economics, 36(3). 441-498.

Chernobai, A., & Yildirim, Y. (2008). The Dynamics of Operational Loss Clustering . Journal of Banking and Finance, 32(12). 2655-2666.

Yildirim, Y. (2006).  Modeling default risk: A new structural approach . Finance Research Letters, 3(3). 165-172.

Cetin, U., Jarrow, R., Protter, P., & Yildirim, Y. (2004). Modeling Default Risk with Partial Information. Annals of Applied Probability, 14(3). 1167-1178.

Jarrow, R., & Yildirim, Y. (2003). Pricing Treasury Inflation Protected Securities and Related Derivative securities using an HJM Model. Journal of Financial and Quantitative Analysis, 38(2). 337-358.

Janosi, T., Jarrow, R., & Yildirim, Y. (2003). Estimating Default Probabilities Implicit in Equity Prices. Journal of Investment Management, 1(1). 178-207.

Chatterjea, A., Jarrow, R., Neal, R., & Yildirim, Y. (2003). How Valuable is Credit Lending?. Journal of Derivatives, 11(2). 39-52.

Jarrow, R., & Yildirim, Y. (2002). Valuing Default Swaps Under Market and Credit Risk Correlation . Journal of Fixed Income, 11(4). 7-19.

Janosi, T., Jarrow, R., & Yildirim, Y. (2002). Estimating Expected LOsses and Liquidity Discounts Implicit in Debt Prices. Journal of Risk, 5(1). 1-38.

Patents and Intellectual Properties

Christopolous, A. D., Jarrow, R. A., Barratt, J. G., Chinchallkar, S., Coleman, T. F., Connelly, A. D., Ilut, D. C., Janosi, T., Kim, Y., & Yildirim, Y. (2014). Structural finance securities option pricing architecture and process with an application to commercial mortgage-backed securities (CMBS). Regular. United States.

Presentations

Jarrow, R., & Yildirim, Y. No-Arbitrage Valuation of Residential Real Estate: Evidence from Rent-to-Own Contracts. 2025 International Risk Management Conference.

Jarrow, R., & Yildirim, Y. No-Arbitrage Valuation of Residential Real Estate: Evidence from Rent-to-Own Contracts. 2025 National University of Singapore.

Hu, M., Jiang, Y., & Yildirim, Y. Paying More for Less: Racial Disparities in Rental Housing Quality. 2025 Jinan-SMU Conference on Urban and Regional Economics.

Hu, M., Yildirim, Y., & Yip, W. (2026, October 12). Cultural Proximity and Housing Investment . CUNY Marxe School of Public and International Affairs (MSPIA) Seminar Series.

Yildirim, Y., Zhang, J., & Zhu, B. Opioid Crisis and Local Economic Pain: Evidence from Commercial Real Estate Loan. 2024 Virginia Tech.

Yildirim, Y., & Zhu, B. Exploring Climate Risk, Risk Retention, and CMBS: Understanding their interplay. Cornell University.

Yildirim, Y., & Zhu, B. Exploring Climate Risk, Risk Retention, and CMBS: Understanding their interplay. Koc University.

Yildirim, Y., & Zhu, B. Exploring Climate Risk, Risk Retention, and CMBS: Understanding their interplay. Pre-WFA.

Yildirim, Y., & Zhu, B. Exploring Climate Risk, Risk Retention, and CMBS: Understanding their interplay. Imperial College.

Lee, E., & Yildirim, Y. (2018, April 14). Municipal Bond Financing for Affordable housing. American Real Estate Society Annual Meeting. Bonita Springs, FL

Yildirim, Y. (2018, January 6). The Hybrid Nature of Real Estate Trusts. Annual AREUEA. Philadelphia

Yildirim, Y., & Lee, E. Municipal Bond Financing for Affordable housing. American Real Estate Society (ARES) Annual Meeting.

Yildirim, Y. (2017, April 9). Portfolio Balance Effects and the Federal Reserve's Large-Scale Asset Purchases. European Financial Management Symposium 2017. Xieman, China

Yildirim, Y. (2017, July 4). The Hybrid Nature of Real Estate Trusts. International AREUEA. Amsterdam

Yildirim, Y. (2017, June 29). The Hybrid Nature of Real Estate Trusts. European Real Estate Society. Delft

Yildirim, Y. (2017, June 26). The Hybrid Nature of Real Estate Trusts. Multinational Finance Society 2017. Bucharest, Romania

Yildirim, Y. (2017, January 6). Simultaneous implication of credit risk and embedded options in lease contracts. AREUEA-ASSA Annual Meeting. Chicago

Yildirim, Y. (2016, March 15). Piety, Politics, and Portfolio Selection. KFUPM Islamic Banking and Finance Research Conference. Riyadh: KFUPM.

Yildirim, Y. (2015, October 1). organizing committee and session chair. BIFEC. Istanbul, Turkey: Borsa Istanbul.

Yildirim, Y. (2015, October 28). Consumption Response to Credit Tightening Policy: Evidence from Turkey. Brown Bag/Baruch College. Newman Hall: Baruch College.

Yildirim, Y. (2015, October 20). Consumption Response to Credit Tightening Policy: Evidence from Turkey. Pennsylvania State University. Pennsylvania State University

Research Currently in Progess

Li, W., Yildirim, Y., & Song, Z.(n.d.). Agency and Private-label Commercial Mortgage-Backed Securities. In Progress.

Ma, L., & Yildirim, Y.(n.d.). High Temperature, Climate Change and Real Estate Prices. In Progress.

Hu, M., Yildirim, Y., & Jiang, Y.(n.d.). Paying More for Less: Racial Disparities in Rental Housing Quality. In Progress.

Lee, E., & Yildirim, Y.(n.d.). Do Tax-Exempt Housing Bonds Reach Households? Evidence from Mortgage Revenue Bonds. In Progress.

Yildirim, Y.(n.d.). Monetary Credibility and Sovereign Yield-Curve Repricing: Evidence from Central Bank Governance Transition. In Progress.

Wang, P., & Yildirim, Y.(n.d.). Pricing Wildfire Risk in Residential Real Estate: An Ex Ante Ecological Approach. In Progress.

Wang, P., & Yildirim, Y.(n.d.). When Risk Becomes Real: Heterogenous Information and Post-Disaster Repricing after the 2018 Kilauea Eruption. In Progress.

Lee, E., & Yildirim, Y.(n.d.). Building Performance Standarts and CMBS Loan Outcomes: WhenCan we Detect Transition Risk in Commercial Mortgages?. In Progress.