Anh Le

Color portrait of Anh Le

Assistant Professor of Finance

Office Address 336 Business Building
Phone Number 814-867-0068
Email Address

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Dr. Anh Le received his PhD from New York University's Stern School of Business, and his bachelor of commerce degree with first-class honors from the University of Queensland in Australia.


Fixed Income


Ph D, Finance (Fixed Income), New York University, 2008

Bachelor of Commerce (Honors), Finance, University of Queensland, 2001

Bachelor of Commerce, Accounting and Finance, Monash University, 2000

Courses Taught

FIN 408 – Financial Markets and Institutions (3)
Functional analysis of major credit institutions; sources and uses of funds; impact of government regulation.

FIN 581 – Fundamentals of Financial Markets (2)
Operation, structure of money, bond markets and concepts; and techniques used in evaluating and managing fixed income portfolios.

Selected Publications

Le A., Giglio S., Dew-Becker I., Rodriguez M., "The Price of Variance Risk." Journal of Financial Economics, 2017.
Le A., Jotikasthira P., Lundblad C., "Why Do Term Structures in Different Currencies Comove?." Journal of Financial Economics, vol. 115, no. 1, 2015, pp. 58-83.
Le A., "Separating the Components of Default Risk: A Derivative-Based Approach." Quarterly Journal of Finance, vol. 5, no. 1, 2015, pp. 1550005-1:48, Invited.
Le A., Singleton K., Joslin S., "Gaussian Macro-Finance Term Structure Models with Lags." Journal of Financial Econometrics, vol. 11, no. 4, 2013, pp. 581-609, Invited.
Le A., Singleton K., Joslin S., "Why Gaussian Macro-Finance Term Structure Models Are (Nearly) Unconstrained Factor-VARs." Journal of Financial Economics, vol. 109, no. 3, 2013, pp. 604-622.
Le A., Singleton K., "An Equilibrium Term Structure Model with Recursive Preferences." American Economic Review, vol. 100, no. 2, 2010, pp. 557-561.
Le A., Singleton K., Dai Q., "Discrete-time AffineQ Term Structure Models with Generalized Market Prices of Risk." Review of Financial Studies, vol. 23, no. 5, 2010, pp. 2184-2227.