עברית

Dr. Yael Eisenthal

Arison School of Business

Co-Head of MA in Financial Economics

Research and Teaching Expertise

  • Options and Derivative Financial Tools
  • Finance
  • Securities
  • Capital Markets
  • Quantitative Models
  • Consumer credit
  • Quantitative Finance
  • Dr. Yael Eisenthal-Berkovitz co-heads the MA program in Financial Economics , a joint program of the Arison School of Business and the Tiomkin School of Economics. She has been an adjunct Finance professor at the Business School at RU since 2015, lecturing on topics in Investment Theory, Fixed Income and Derivatives. Yael holds a PhD in Finance from Columbia Business School (with distinction) and has been working in both industry and academia for the past 15 years. Her PhD research in Credit Risk has been published in top finance journals.
    Yael’s professional experience in quantitative investing includes research and portfolio management roles at Goldman Sachs Asset Management and in Barclays’ Quantitative Portfolio Strategy group, where she focused on credit and fixed income strategies. She later worked at Eagle Trading Systems as a senior researcher, as well as a consultant for start-ups in trading & investing. More recently, she headed Investor Risk and Product at Pagaya, a FinTech focused on securitized products (ABS) in the Consumer Credit space.
    Yael holds a B.A. and an M.Sc. in Computer Science (with a focus on Machine Learning) from Tel-Aviv University and worked for several years at IBM R&D.

  • “Leveraged Buyouts and Bond Credit Spreads” (with Feldhutter, P. and Vig, V.), 2020, Journal of Financial Economics, 135(3), 577-601


    “Sovereign Risk Spillover into Euro Corporate Spreads” (with Hyman, J., Baldaque da Silva, A., El Khanjar, A., Maitra, A. and Polbennikov, S.), 2014, Journal of Fixed Income, Summer 2014, 24(1), 51-74


    “’Try and Hold’ Credit Investing” (with Hyman, J., A. Maitra and S. Polbennikov), Barclays Capital, 2014


    “Carry vs. Convexity: Butterfly Strategies using Curve-Implied Volatility Signals” (with Ben-Dor A., L. Dynkin and J. Hyman), Barclays Capital, 2012


    “ALERT (Algorithmic Evaluation of Returns): A Quantitative Framework for Analyzing the Performance of an Individual Hedge Fund vs. Its Peers” (with Ben-Dor A. and J. Xu), Barclays Capital, 2012


    “Investing in Fallen Angels: Capacity, Transaction Costs and the Bond-CDS Basis” (with Ben-Dor A. and J. Xu), Barclays Capital, 2012


    "Modeling Leveraged Buyout Risk in Corporate Spreads: Industry Patterns in Buyout Activity", Columbia Business School Working Paper, July 2009

     


    “Facial Attractiveness: Beauty and the Machine” (with Dror, G. and Ruppin, E.), 2006, Neural Computation, 18(1), 119-142 (cited in Forbes (Outfront) 7/24/06, NewScientist 8/12/06)