CURRICULUM VITAE
Aslıhan Altay-Salih
1. PERSONAL DATA
1.1. Birth and date place :14 November 1966, Ankara
1.2. Address :Faculty of Business Administration
Bilkent University
06800 Bilkent
Ankara, Turkey
1.3. Phone :+90 - 312 - 290 2047
1.4. Fax : +90 - 312- 266 4958
1.5. E-mail :
2. ACADEMIC DEGREES
2.1. Ph.D. Business Administration (Finance) 1990 -1995
University of Massachusetts at Amherst
Amherst, Massachusetts, USA
2.2. M.B.A. Business Administration 1988-1994
Middle East Technical University
Ankara, Turkey
2.3. B.S. Electrical and Electronics Engineering 1984-1988
Middle East Technical University
Ankara, Turkey
3. EMPLOYMENT HISTORY
3.1. 6/2007 – Present Associate Professor,
Bilkent University, Faculty of Business Administration.
3.2. 6/2006 - Present Associate Dean,
Bilkent University, Faculty of Business Administration.
3.3. 8/2000 – 6/2007 Assistant Professor,
Bilkent University, Faculty of Business Administration.
3.4. 7/96 – 8/2000 Visiting Assistant Professor,
Bilkent University, Faculty of Business Administration.
3.5. 4/96 – 6/96 Consultant,
Interbank, Equity Research Department, Istanbul
3.6. 9/94 – 4/96 Senior Research Associate,
Equity Derivatives Research
Salomon Brothers Inc., New York, NY.
3.7. 9/93 – 8/94 Research Assistant, School of Business
University of Massachusetts at Amherst
3.8. 9/90 – 8/93 Teaching Assistant, School of Management
University of Massachusetts at Amherst
3.9. 6/92 – 8/92 Teaching Assistant, Harvard Business School
Boston, Massachusetts.
3.10. 6/87 – 8/90 Electronics Engineer, Telecommunications Research
ASELSAN, Ankara
5. HONORS, SCHOLARLY and PROFESSIONAL DUTIES and ACHIEVEMENTS
5.1. Referee for the following scholarly journals:
International Journal of Forecasting
Studies in Nonlinear Dynamics & Econometrics
Finance Research Letters
METU Studies in Development
5.2. Member of the Organizing Committee for the First Conference of Advanced Mathematical Methods for Finance funded by the European Science Foundation, Antalya, Turkey, April 2006
5.3. Member of the Organizing Committee for the Eleventh Annual Conference of Multinational Finance Society, Istanbul, Turkey, July 2004.
6. MEMBERSHIP
6.1. American Finance Association 1996 - Present
6.2. Econometric Society 1996 - Present
6.3. European Financial Management Association 2002 - Present
6.4. Multinational Finance Society 2004 - Present
6.5. Middle East Economic Association 1998 - 2000
6.4. Turkish Finance Club 1998 - Present
7. CONFERENCE PRESENTATIONS and INVITED TALKS
7.1.“Is Volatility Risk Priced in Securities Market: An Empirical Analysis,” (with Y.E. Arısoy, L. Akdeniz.) European Financial Management Association Meeting, Madrid, Spain, June 2006.
7.2.“Gains and Losses for Pricing and Hedging of Contingent Claims by Stochastic Programming,” (with M. Ç. Pınar) First Conference of Advanced Mathematical Methods for Finance (funded by the European Science Foundation), Antalya, Turkey, April 2006.
7.3. “Gains and Losses for Pricing and Hedging of Contingent Claims by Stochastic Programming,” (with M. Ç. Pınar) 16th (EC)2 Conference Econometrics of Financial and Insurance Risk, Istanbul, Turkey, December 2005.
7.4. “Quantifying Foreign Exchange Market Risk at Different Time Horizons,” (with R. Nekhili and S. Caner) Eleventh Annual Conference of Multinational Finance Society, Istanbul, Turkey, July 2004.
7.5. “Degree of Mispricing with Black-Scholes and Nonparametric Cures,”(with R. Gencay) Econometric Society North American Meeting, Washington, U.S.A., January 2003.
7.6. “Degree of Mispricing with Black-Scholes and Nonparametric Cures,” (with R. Gencay) 57th Econometric Society European Meeting, Venice, Italy, August 2002.
7.7. “Exploration of High Frequency Foreign Exchange Returns and its Implication to Risk Management,” (with R. Nekhili and R. Gencay) European Financial Management Doctorate Seminar, Lugano, Switzerland, June 2001.
7.8. “An Empirical Estimation of Time Varying Betas via Threshold Models,” (with M. Caner and L. Akdeniz) Midwest Finance Association 50th Annual Meeting, Cleveland, U.S.A., March 2001.
7.9. “A Reverse Engineering Methodology for the Interpretation of Stock Price Dynamics,” (with H.E. Kılıç, M. Güler) International Symposium on Soft Computing in Financial Markets , Rochester, N.Y., U.S.A., June 1999.
7.10. “The Impact of Stock Index Futures Introduction on the Distributional Characteristics of the Underlying Index: An International Perspective,” (with V. Kurtaş) Invited Speaker in Chicago Board of Trade European Research Symposium, Marseille, France, September 1998.
7.11. “The Performance of Implied Volatility in Market Timing Strategies,” (with T. Schneeweis) Financial Management Association, St. Louis, U.S.A., October 1994.
7.12. “Volatility Risk Premium of S&P 500 Index Options: An Empirical Investigation,” (with T. Schneeweis) Eastern Finance Association, Boston, U.S.A., March 1994.
7.13. “Information Impacts and Seasonality Effects in Futures and Options Markets,” (with T. Schneeweis ) Seminar on Derivative Securities, New York, U.S.A., October 1993.
7.14. “Financial Modeling in International Asset Allocation Strategies,” (with T. Schneeweis) TIMS-ORSA, Orlando, U.S.A, April 1992.
9. TEACHING
9.1. Graduate Courses:
MAN 518 Risk Management
MAN 525 Financial Economics
MAN 522 Corporate Finance
MAN 524 Investment Analysis
MAN 624 Derivatives Markets
MAN 683 Directed Readings in Management
9.2. Undergraduate Courses:
MAN 213 Principles of Financial Accounting
MAN 321 Corporate Finance
MAN 404 Investment Analysis
MAN 424 Risk Management
10. GRADUATE STUDENT SUPERVISION
10.1. Yakup Eser Arısoy, Ph.D. “Asset Pricing with Non-Negative Wealth Constraints,” 2002 - Present.
10.2. Yüsra Küçükbahçıvan, M.S. “Do Derivative Instruments Affect Firm Level Risk?” 2004 - Present.
10.3. Remzi Nekhili, Ph.D. “Exploration of USD-DEM Exchange Rate Returns at Different Time Horizons and Its Implication to Risk Management,” 1998 - 2002.
10.4. Öner Ayan, MBA, “Measuring the Performance of Technical Trading Systems in the Emerging Equity Markets,” 1997 - 1999
10.5. Ali Bora Yiğitbaşoğlu, M.S., “Formal GARCH Performance in a Computable Dynamic General Equilibrium Framework,” 1996 - 1998.
12. SCHOLARLY PUBLICATIONS
12.1. Ph.D. Dissertation
12.1.1. “Issues in the Use of Implied Volatility,” 1995, University of Massachusetts at Amherst.
12.6. Articles in refereed journals
12.6.1 “Are Stock Prices too Volatile to be Justified by the Dividend Discount Model? ” Physica A: Statistical Mechanics and Its Applications, 2007, 376, 433-444. Akdeniz, L., Altay-Salih, A., and Ok, S.T.
12.6.2. “Is Volatility Risk Priced in the Securities Market? Evidence from S&P 500 Index Options” Journal of Futures Market, 2007, 27(7), 617-642. Arısoy Y. E., A. Altay-Salih, and L. Akdeniz.
12.6.3. “A Behavioral Approach to Efficient Portfolio Formation” Journal of Behavioral Finance, 2005, Vol. 6, No 4, 202-212. Muradoğlu G., A. Salih, and M. Mercan.
12.6.4. “Degree of Mispricing with Black-Scholes and Nonparametric Cures” Annals of Economics and Finance, 2003, No. 4, 73-101. Gencay R, A. Salih.
12.6.5. “Constrained Nonlinear Programming for Volatility Estimation with GARCH Models,” SIAM Review, 2003, Vol 45, No. 3, 485-503. Altay-Salih A, M. Pınar, and S. Leyffer.
12.6.6. “Investment Horizon and Diversification in ISE,” İşletme ve Finans, 2003, Vol 18, No 213, 102-114. Altay-Salih A., L. Akdeniz, and A. Ece Ungan.
12.6.7. “Time Varying Betas Help in Asset Pricing: The Threshold CAPM,” Studies in Nonlinear Dynamics and Econometrics, 2003, Vol 6, Issue 4, 1-16. Akdeniz L, A. Altay-Salih, and M. Caner.
12.6.8. “Exploring Exchange Rate Returns at Different Time Horizons,” Physica A, 2002, No 313, 671-682. Nekhili R., A. Altay-Salih, and R. Gençay.
12.6.9. “Performance of the Efficient Frontier in an Emerging Market Setting,” Applied Economics Letters, 2002, Vol. 9, No 3.,177-183. Altay-Salih A., G. Muradoğlu, and M. Mercan.
12.6.10. “A Cross-Section of Expected Stock Returns on the Istanbul Stock Exchange,” Russian and East European Finance and Trade, 2000, Vol. 36, No. 5, 6-26. Akdeniz L, A. Altay-Salih, and K. Aydoğan.
12.8. Other Publications including Translations, Research Notes, Limited-Circulation Reports, etc.
12.8.1 .“Modeling the Volatility in Central Bank Reserves,” Turkish Republic Central Bank Discussion Papers, No. 9904, Salman F, and A. Altay-Salih.
12.8.2. “How to Model Volatility; Grappling with GARCH,” (with J. Mezrich, R. Engle) Derivatives Strategy Research Series, Salomon Brothers, September 1995.
12.10. Refereed Conference Proceedings
12.10.1. “The Impact of Stock Index Futures Introduction on the Distributional Characteristics of the Underlying Index: An International Perspective” Proceedings of the Eleventh Annual Chicago Board of Trade European Research Symposium, 1998, 127-143. Altay-Salih A., and V. Kurtaş.
12.10.2 “A Reverse Engineering Methodology for the Interpretation of Stock Price Dynamics,” Proceedings of the Computational Intelligence: Methods and Applications (CIMA'99), International Symposium on Soft Computing in Financial Markets, 1999. Kılıç H., M. Güler and A. Altay-Salih.
12.11. Published Conference Abstracts (or Extended Abstracts)
12.11.1. “Quantifying Foreign Exchange Market Risk at Different Time Horizons,” Conference Proceedings Eleventh Annual Conference of Multinational Finance Society, 2004, 111. Altay- Salih A., R. Nekhili and S. Caner.
12.11.2. “A Behavioural Approach to Efficient Portfolio Formation,” European Financial Management Association 2002 London Meetings Papers Social Science Research Network. Muradoğlu G., A. Altay- Salih and M.Mercan.
12.11.3. “Optimal Investment Horizon for Small Investors in ISE” Book of Abstracts for ERC/Metu International Conference on Economics IV, 2000, 176. Akdeniz L., A. Altay-Salih and E. Ungan.
12.11.4. “GARCH Models in Volatility Estimation for Stock Market Indices”, Book of Abstracts for Econometric Society European Meetings, 1996, 44. Altay-Salih A., R. Engle and J. Mezrich.
14. CURRENT RESEARCH INTERESTS
14.1. Risk Measurement (Volatility Forecasting Models)
14.2. Assessment of different risk measures on asset pricing
14.3. Hedging and pricing of derivatives
14.4. Asset Allocation and pricing with perceptional risk measures of Professionals
14.5. The impact of derivative instruments on the risk and pricing of the firms
17. CONTRIBUTION TO BILKENT UNIVERSITY
17.1. Associate Dean, Faculty of Business Administration, 2006 – Present.
17.2. Member of the Organizing Committee of the Mathematical Finance Seminar Series 2005 – Present.
17.3. Member of the Curriculum Committee of the Department of Management 2004 – 2005.
17.4. Member of the AACSB – Self Evaluation Report (SER)– Students Committee 2003 – 2004.
17.5. Member of the Executive MBA Program Development Committee – 2000-2002
17.6. Coordinator MAN 683 Directed Readings in Management Course, 2000 – 2004
17.7. Lecture Development on Global Venture Capital Industry and Business Plan Preparation to Bilkent University GE 401 Course, 2000 – 2005.
17.8. Undergraduate Student Advisor, 1996 – Present.
17.9. Participated in the undergraduate recruitment efforts by giving presentations about Bilkent University to students entering the University Entrance Exam 2000 - Present.
18. CONTRIBUTION TO SOCIETY AT LARGE
18.1. Executive Education Lecture to Vestel Inc., June 2006, İzmir
18.2. Training Seminars on Derivatives Markets, The Association of Capital Market Intermediary Institutions, November 2005, March 2006, May 2007.
18.3. Training Seminars on Risk Management, Social Aid and Solidarity Encouragement Fund, Prime Ministry of Republic of Turkey, sponsored by World Bank, July 2003, Ankara.
18.4. Thesis Supervisor to Serkan Aziz Oral, Banking Regulation and Supervisory Agency of Turkey, June 2003 – September 2004
18.5. Lectured in the Trainee Program on Derivative Securities, Capital Market Board Lecture, May 2003, Ankara.
18.6. Thesis Supervisor to Pınar Akan Güzel, Central Bank of Republic of Turkey, January 2003 – December 2004
18.7. Thesis Supervisor to Göknil Vural, Central Bank of Republic of Turkey, November 2002 – June 2003
18.8. Lectured in the Trainee Program on Risk and Return, Capital Market Board Lecture, April 2002, Ankara.
18.9. Lectured in the Trainee Program on Time Series Econometrics, Turkish Treasury, March 2002, Ankara.
18.10. Lectured in the Trainee Program on Options and Futures Markets, Capital Market Board Lecture, February 2002, Ankara.
18.11. Lectured in the Trainee Program on Effective Interest Rate Risk Management and Volatility Estimation, Turkish Development Bank, April 2000, Ankara.
18.12. Lectured in the Trainee Program on Derivatives Markets, Hedging and Risk Management, İzmir Cotton Exchange Market, March 1999, İzmir.
18.13. Lectured in the Trainee Program on Security Selection and Asset Allocation Through Markowitz Framework, Capital Market Board Lecture, February 1999, Ankara.
18.14. Lectured in the Trainee Program on Derivatives Markets and Pricing Issues, Capital Market Board Lecture, February 1999, Ankara.
18.15. Lectured in the Trainee Program on Relationship between Risk and Return, Capital Market Board Lecture, February 1999, Ankara.
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