1. PhD students

Burcu Kapar

PhD student

Department of Economics


Thesis title: The effect of the 2007-2008 credit crisis on the financial markets (empirical investigations)

Supervisor: Dr Jose Olmo and Professor Giulia Iori

Overview and research interests

Burcu's current research is investigating the effect of the recent credit crisis on financial markets. The research has two main focuses. The first aspect is investigating the determinants of credit risk by analysing Credit Default Swap spreads considering potential structural breaks stemming from financial crisis and the default risk of CDS sellers, which is named as counterparty risk. The analysis indicates that the relation between credit spreads and their determinants is regime dependent and depends on the sector of economic activity. Counterparty risk has started to be priced in the CDS contracts on non-financial firms since the outset of the financial crisis, that is, CDS contracts written on the same reference entity are sold at different prices depending on the creditworthiness of the seller. Contrary to non-financial contracts, there is not any counterparty risk effect on financial contracts.

The second aspect of the research concentrates on interbank market transactions on the e-MID electronic market. The aim of the analysis is to assess the empirical validity of different theories on the functioning of the interbank money market. These theories are mainly 'Purchasing behavior of the Banks', 'Too-Big-To-Fail' and 'Market Integration'. The analyses are based on nonparametric conditional density estimations.

Research interests:

  • Financial economics
  • Empirical finance
  • Applied econometrics
  • Credit derivatives
  • Interbank market

Burcu has an MSc in Financial Economics (2008-2009) from City University London (Distinction), and a BSc in Management Engineering (1999-2004) from Istanbul Technical University, Turkey (Distinction).


Working papers

  • 'The Determinants of Credit Default Swap Spreads in the Presence of Structural Breaks and Counterparty Risk', with Jose Olmo
  • 'The Cross-Section of Interbank Rates: A Nonparametric Empirical Investigation', with Giulia Iori and Jose Olmo


  • 7th Bachelier Finance Society World Congress 2012 (Sydney, June 2012)
  • Society for Nonlinear Dynamics and Econometrics 20th Annual Symposium (Istanbul, April 2012)
  • The Econometric Society Asian Meeting (Seoul, August 2011)
  • 10th Annual EEFS International Conference (London, June 2011)
  • Cass Business School (May, 2011)


  • Cemmap - Panel Time Series by Ron Smith and Markus Eberhardt


  • Eviews Tutorial (2010-2011-2012)
  • Data Analysis Tutorial (2011)
  • Good Academic Practice (2010-2011)
  • Introduction to Microeconomics (2009-2010)