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Yildiray Yildirim

William Newman Professor in Real Estate

Yildiray YildirimWilliam Newman Professor in Real Estate

(646) 660-6950
pdfCurriculum Vitae


Yildiz Technical University Computer Science and Engineering 1990
MS Cornell University Economics 1999
Cornell University Statistics 2001

Areas of Expertise:

Real estate, prepayment modeling and valuation of MBS, securitization, REIT, fixed income, inflation modeling, credit risk.

Selected Publications:

Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance (With Brad Case and Massimo Guidolin), Real Estate Economics, Vol 42, No. 2, pp. 279-342, 2014.

Government Policies, Residential Mortgage Defaults, and the Boom and Bust Cycle of Housing Prices (With Marius Ascheberg, Robert Jarrow and Holger Kraft), Real Estate Economics, Vol 42, No. 3, 627-661, 2014.

Affine Model of Inflation-Indexed Derivatives and Inflation Risk Premium (With Hsiao-Wei, Henry H. Huang), European Journal of Operational Research, Vol. 235, Issue 1, pg. 159-169, May 2014.

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, pp. 553-584, April 2011.

Commercial Mortgage Backed Securities (CMBS) and Market Efficiency with respect to Costly Information (With Andreas Christopoulos and Robert Jarrow), Real Estate Economics, Vol 36, No. 3, pp. 441-498, 2008.

Modeling Default Risk with Partial Information (With Umut Cetin, Robert Jarrow and Philip Protter), Annals of Applied Probability, Vol. 14, No. 3, pp. 1167-1178, 2004.

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.

Academic Activities:

Selected conference presentations

  • FMA Conference Committee Member (2015)
  • AREUEA- ASSA Conference Program Committee Member (2014)
  • AREUEA International Conference (2014)
  • AREUEA Annual Conference (2005, 2007, 2009, 2010, 2011, 2012, 2013, 2014, 2015)
  • AREUEA International Conference (2014)

Professional Activities:

Associate Editor: Real Estate Economics; Istanbul Borsa Review; Central Bank Review

Patent: Structural finance securities option pricing architecture and process with an application to commercial mortgage-backed securities (CMBS) (with Andreas Christopoulos, Robert Jarrow, et al.), 2014.

Awards, Honors, etc.:

Fellow of Weimer School of Advanced Studies in Real Estate and Land Economics, Homer Hoyt Institute, 2015.

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