Yalin Gündüz

Research Interests

  • Theoretical and empirical analysis with credit risk models
  • Pricing and liquidity of bonds and credit default swaps
  • Market microstructure of securities with credit risk
  • Central counterparty platforms
  • Banking regulation and sovereign risk

Refereed Publications

  • Dombret, A., Y. Gündüz, J. Rocholl (2019), Will German Banks earn their cost of capital?, Contemporary Economic Policy, Vol. 37(1), pp. 156-169.
  • Gündüz, G., and Y. Gündüz (2016), A Thermodynamical View on Asset Pricing, International Review of Financial Analysis, Vol. 47, pp. 310-327.
  • Gehde-Trapp, M., Y. Gündüz and J. Nasev (2015), The Liquidity Premium in CDS Transaction Prices: Do Frictions Matter?, Journal of Banking & Finance, Vol. 61, 184-205.
  • Memmel, C., Y. Gündüz and P. Raupach (2015), The Common Drivers of Default Risk, Journal of Financial Stability, Vol. 16, pp. 232-247.
  • Cici, G., S. Gibson, Y. Gündüz and J. J. Merrick Jr. (2015), Market Transparency and the Marking Precision of Bond Mutual Fund Managers, Journal of Portfolio Management, Vol. 41(2), 126-137.
  • Gündüz, Y. and O. Kaya (2014), Impacts of the Financial Crisis on Eurozone Sovereign CDS Spreads, Journal of International Money and Finance, Vol. 49, 425-442.
  • Gündüz, Y. and M. Uhrig-Homburg (2014), Does Modeling Framework Matter? A Comparative Study of Structural and Reduced-Form Models, Review of Derivatives Research, Vol. 17, pp. 39-78.
  • Gündüz, Y. and M. Uhrig-Homburg (2011), Predicting Credit Default Swap Prices with Financial and Pure Data-Driven Approaches, Quantitative Finance, Vol. 11, pp. 1709-1727.
  • Gündüz, G. and Y. Gündüz (2010), Viscoelastic Behavior of Stock Indices, Physica A, Vol. 389, pp. 5776-5784.
  • Gündüz, Y., T. Lüdecke and M. Uhrig-Homburg (2007), Trading Credit Default Swaps via Interdealer Brokers, Journal of Financial Services Research, Vol. 32, pp. 141-159.

Other Publications

  • Durand, P., Y. Gündüz and I. Thomazeau (2013), Estimating Endogenous Liquidity Using Transaction and Order Book Information, in: J. Batten, P. MacKay, N. Wagner (eds.), Advances in Financial Risk Management-Corporates, Intermediaries and Portfolios, Palgrave MacMillan.
  • Gündüz, Y. (2008), Credit Default Swap Markets and Credit Risk Pricing - A Comparative Study, Ph.D. Dissertation, University of Karlsruhe.
  • Gündüz, Y., D. Seese and M. Uhrig-Homburg (2006), Utilizing Financial Models in Market Design: The Search for a Benchmark Model, in: T. Dreier, R. Studer, C. Weinhardt (eds.), Information Management and Market Engineering, Universitätsverlag Karlsruhe, pp. 165-176.
  • Kunze, J. and Y. Gündüz (2006), Decision Patterns and Information Availability in the Beer Distribution Game, Proceedings of the 24th International System Dynamics Conference, Nijmegen, Netherlands.
  • Gündüz, Y. and A. Alsan (2004), A System Dynamics Approach to Modelling Business-to-Business Markets - Case of Siemens, Proceedings of the 22th International System Dynamics Conference, Oxford, England.