中文版
Jun Pan
Distinguished Professor of Finance,
Massachusetts Institute of Technology

junpan@mit.edu

CV

Support Staff: Yinli Xu ylxu@saif.sjtu.edu.cn

  • PROFILE
  • RESEARCH
  • TEACHING
Jun Pan is currently a Special-Term Professor at Shanghai Advanced Institute of Finance (SAIF), and a distinguished Professor of Finance at Sloan School of Management at MIT. Previously, she was the Mitsubishi Career Development Chair Associate Professor and the Zenon Zannetos Career Development Chair Assistant Professor of Finance at MIT.
 
Professor Pan’s research interests include derivatives markets, credit risk modeling, risk management, and the term structure of interest rates. She studies the impact of rare events on financial markets, as well as their implications for asset allocation. Her work has appeared in Econometrica, Journal of Finance,Review of Financial Studies,Journal of Financial Economics, among other leading academic journals. She has won the First Prize in Chicago Quantitative Alliance Annual Academic Competition (2003), Alumni Achievement Award in Western Illinois University (2001), etc.

Research Interests
Empirical Research of Asset Pricing, Financial Derivative Market, Credit Risk Model, Risk Management, Term Structure of Interest Rates

Journal Publications & Working Papers
1. Bao, Jack, and Jun Pan, 2013, Bond Illiquidity and Excess Volatility, Review of Financial Studies.
2. Hu, Xing, Jun Pan, and Jiang Wang, 2013, Noise as Information for Illiquidity, Journal of Finance.
3. Bao, Jack, and Jun Pan, 2012, Relating Equity and Credit Markets through Structural Models: Evidence from Volatilities, Review of Financial Studies.
4. Bao, Jack, Jun Pan, and Jiang Wang, 2011, The Illiquidity of Corporate Bonds, Journal of Finance.
5. Longstaff, Francis A., Jun Pan, Lasse H. Pedersen, and Kenneth J. Singleton, 2011, How Sovereign is Sovereign Credit Risk?, American Economic Journal.
6. Pan, Jun, and Kenneth Singleton, 2008, Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads, Journal of Finance.
7. Pan, Jun, Sophie Ni, and Allen Poteshman, 2008, Volatility Information Trading in the Option Market, Journal of Finance.
8. Pan, Jun, and Allen Poteshman, 2006, The Information in Option Volume for Future Stock Prices, Review of Financial Studies.
9. Pan, Jun, Jun Liu, and Tan Wang, 2005, An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks, Review of Financial Studies.
10. Pan, Jun, and Jun Liu, 2003, Dynamic Derivative Strategies, Journal of Financial Economics.
11. Pan, Jun, Jun Liu, and Francis Longstaf, 2003, Dynamic Asset Allocation with Event Risk, Journal of Finance.
12. Pan, Jun, 2003, The Jump-Risk Premia Implicit in Options: Evidence from an Integrated Time-Series Study, Journal of Financial Economics.
13. Pan, Jun, Sergio Pastorello, Valentin Patilea, and Eric Renault, 2003, Comment on “Iterative and Recursive Estimation in Structural Non-Adaptive Mod- els", Journal of Business and Economic Statistics.
14. Pan, Jun, and Darrell Duffie, 2001, An Overview of Value at Risk, Journal of Derivatives.
15. Pan, Jun, and Darrell Duffie, 2001, Analytical Value-At-Risk with Jumps and Credit Risk, Finance and Stochastics.
16. Pan, Jun, Darrell Duffie, and Kenneth Singleton, 2000, Transform Analysis and Asset Pricing for Affine Jump-Diffusions, Econometrica.
17. Jun Pan with Jiang Wang and Xing Hu, Early Peek Advantage?.
18. Jun Pan with Sophie Ni, Trading Puts and CDS on Stocks with Short Sale Ban.
19. Jun Pan with Jiang Wang and Xing Hu, Tri-Party Repo Pricing.

Teaching Interests
No current data at this time.

Current Courses
No current courses at this time.

Faculty & Research
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