Prof. Bryan Kelly Wins 2025 Graham and Dodd Award for Credit Risk Research
This past Monday, January 26 the CFA Institute, the global association of investment professionals, announced the winners of the 2025 Graham and Dodd Awards of Excellence, which recognizes the most outstanding research articles published in the CFA Institute Financial Analysts Journal during the year.
Named after Benjamin Graham and David L. Dodd, whose work laid the foundation for modern investment analysis, the Graham and Dodd Awards were created in 1960 to recognize excellence in research and financial writing. Articles go through a voting process to determine the winning papers. Eligible articles are first evaluated through a ranked vote by members of the Financial Analyst Journal Advisory Council and Editorial Board to create a shortlist, followed by a second-stage review by the Managing Editor of the shortlist. Lastly the Graham and Dodd judging panel collectively decides the award winners from the shortlist of nominees.
Each year a Top Award is presented to the authors of the most exceptional article, along with up to two Scroll Awards presented to authors of runner-up papers. Professor Bryan Kelly, the Frederick Frank ’54 and Mary C. Tanner Professor of Finance, is the recipient of the 2025 Graham and Dodd Awards of Excellence – Scroll Award for his paper, "Credit-Implied Volatility," Financial Analysts Journal, Vol 81, Issue 2, Pages 89-116.
The paper, written by Bryan Kelly, and co-authors Gerardo Manzo and Diogo Palhares, introduces a novel measure of credit-implied volatility, derived from credit default swap (CDS) spreads, to better understand risk pricing in corporate credit markets.
By constructing a volatility surface across firms and maturities, the authors identify key features of credit markets, including how credit risk responds to market shocks and how risk premia are determined. The research provides new insights into the conditional dynamics of credit markets, helping to explain patterns in credit spreads that traditional structural models struggle to capture.
The judging panel recognized the article as an innovative and important contribution to fixed-income research, highlighting its ability to balance theoretical depth with empirical clarity.
William Goetzmann, Executive Editor of the Financial Analysts Journal, comments:
“What distinguishes the winning papers is their ability to address real challenges faced by investment professionals using innovative but practical approaches. Both articles exemplify the Financial Analysts Journal’s mission to bridge academic and investment practice.”
