Office
Information
Rauch Business Center Room 211
Tel: 610-417-8443
Email: rea204@lehigh.edu
Welcome to my home page! At this site, you can
find descriptions and updates of my research, professional experience,
teaching, and other fun stuff.
My research focuses on various aspects of
sovereign credit risk, spanning international finance and macroeconomic
theory as well as financial engineering applications.
About Me
I received my Ph.D. in Finance and Economics from Lehigh University in 2010 (May). I was lucky enough to work with two outstanding advisors,
Professor Nandu (Nandkumar) Nayar and Professor Geraldo Vasconcellos on my dissertation titled "Essays
on Sovereign Risk."
The first chapter of my dissertation evaluates
the effect of banking sector on sovereign credit ratings. In the second
chapter, I examine the long-run equilibrium relationship between sovereign
bond and credit default swap (CDS) markets. Specifically, I focus on the
2001 - 2007 period for 30 Emerging Markets. So far, I have presented my
research at Moody's KMV (2008), at Moody's Economy.com (2008), at the
Eastern Economic Association Annual Meetings (2009), at the Mid-Atlantic
Research Conference in Finance (2009), at the Eastern Finance Association
2009 Annual Meetings (2009), at the European Financial Management
Association Conference (2009), and at the Financial Management Association
Annual Meetings (2009). In a recent paper, I am exploring the dynamics of
stocks, bonds, credit default swaps, and foreign exchange markets to
measure sovereign risk. This study shows that there is strong evidence of
"reverse currency substitution" behavior in local markets.
My prospective research agenda includes
exploring the contingent claims approach to sovereign risk analysis. I am
particularly interested in addressing the weaknesses of Merton Modeling in
sovereign context. Furthermore, my article on public pension reform in
Turkey was just published at the Lehigh University Martindale Center's
annual publication, Perspectives
on Business and Economics.
Recently, I have also received a Master of
Science in Analytical Finance (MSAF) degree at Lehigh University. The MSAF
Program at Lehigh University combines key concepts in financial theory,
mathematical finance and engineering decision making. Throughout the
program, I was involved in a project to help PPL Corporation manage its
interest rate risk dynamically. You can find additional information about
this project and the MSAF program at Resolve,
Lehigh University's Engineering and Applied Science Magazine.
My most recent professional experience was
with HSBC Securities - Turkey, Istanbul office. At HSBC, I had a chance to
work with the chief economist and equity research group. Another noticeable
experience is the internship I had at Fitch Ratings Quantitative Financial
Research Group in New York City. The tasks I worked on included the
Sovereign Ratings Model, the Commercial Mortgage Backed Securities Model, and
the Chicago O’Hare Airport Revenue
Generating Bonds Rating Project. Previously, I also gained some noteworthy
experience in Turkey. During my internship at Deloitte, I learned the nuts
and bolts of auditing and financial reporting.
In terms of teaching, I enjoyed being a
teaching assistant for Introduction to Economics course with the
supervision of Professor Frank Gunter
and Professor Thomas
Hyclak, and Money & Banking course with
Professor Anthony
O'Brien. Moreover, I have been teaching Online Introduction to
Economics classes at Lehigh University as an instructor via myeconlab.com
over the summers. In the 2008-2010 academic years,
I taught Statistical Methods and Applied Microeconomics classes at Lehigh
University. In the fall 2010 semester, I taught Current Topics in Finance, and Money & Banking classes at Moravian College.
Currently, I am a Visiting Professor of Economics at Lehigh University and I also teach an online MBA class at Stevens Institute of Technology.
Last Update: April 1, 2011
For further information, please contact me
at rea204@lehigh.edu
