Faculty and Executive Leadership Directory
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Amnon
Levy
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Education
BA, Economics, UC Berkeley
PhD, Finance, Kellogg Graduate School of Management, Northwestern University
Positions Held
At Haas since 2010
2010 - present, Lecturer, Haas School of Business
2002 - present, Managing Director, Head of Portfolio Research, Moody's Analytics
Visiting Positions
2001 - 2002, Visiting Assistant Professor, Haas School of Buinsess
2000 - 2001, Visiting Assistant Professor, Stern School of Business, NYU
Current Research and Interests
- Portfolio risk measurement and management
- Debt markets
- Dynamics of credit quality and recovery
- Banking and insurance
Selected Papers and Publications
- "The relationship between default risk and interest rates: An empirical study," with Andrew Kaplin , Shisheng Qu, Danni Wang, Yashan Wang, and Jing Zhang. (2009).
- "Analyzing the impact of credit migration in a portfolio setting," with Yaakov Tsaig and Yashan Wang. Moody’s KMV Whitepaper (February 2010). (2nd round at Journal of Banking and Finance).
- "Modeling Correlation of Structured Instruments in a Portfolio Setting," with Tomer Yahalom and Andrew S. Kaplin, in Encyclopedia of Quantitative Finance. John Wiley & Sons, 2008.
- "Why does capital structure choice vary with macroeconomic conditions?" with Christopher A. Hennessy. Journal of Monetary Economics 54 (2007).
- "Testing Q theory with financial frictions," with Christopher A. Hennessy and Toni M. Whited. Journal of Financial Economics 83 (2007).
- "Capital structure choice: Macroeconomics and financial constraints," with Robert A. Korajczyk. Journal of Financial Economics 68 (2003).
Teaching
- Credit Risk Modeling
Faculty Directory: Alphabetical Listing
Faculty Directory: Listing by Department
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