Anna Chernobai

Anna Chernobai is an Assistant Professor of Finance at the M.J. Whitman School of Management at Syracuse University. The focus of her research is operational risk, default risk, stochastic processes, and applied statistics and probability. She has published in top finance and related journals such as the Journal of Financial and Quantitative Analysis, Journal of Banking and Finance, Journal of Accounting Information Systems, and Real Estate Economics. She is also an author of the book “Operational Risk: A Guide to Basel II Capital Requirements, Models, and Analysis” published by Wiley Finance in 2007. In 2008, she won a selective FDIC research fellowship for her research on operational risk in financial institutions. In 2009, she collaborated with JP Morgan Chase and served as a Syracuse University - JP Morgan Chase Faculty Research Fellow. Also in 2009, her work in the area of operational risk received recognition from the industry and she was selected as one of the "Top 50 Faces of Operational Risk." In 2010, she received a university-wide Meredith Teaching Recognition Award from Syracuse University, and in 2012 she was awarded with Guttag Junior Faculty Award from the Whitman School of Management. Dr. Chernobai's teaching experience includes undergraduate and MBA courses, and PhD seminars in the areas of risk management, business statistics, and stochastic processes.

Biosketch:

• Joined Martin J. Whitman School of Management in August 2006
• PhD in Statistics and Applied Probability, University of California, Santa Barbara, 2006
• MA in Economics, University of California, Santa Barbara, 2002
• MSc in Economics and Finance, University of Warwick, UK, 2000
• BA in Economics, Jouchi Daigaku (Sophia University), Tokyo, Japan, 1999

Research Topics

• Risk management
• Operational risk
• Default risk
• Value-at-Risk
• Corporate finance
• Applications of probability and statistics in finance
• Stochastic processes.

Dr. Chernobai's teaching interests include business statistics, applied probability, and risk management. She has taught the following courses at the Whitman School of Management:

• Undergraduate Managerial Statistics [MAS 261]
• Undergraduate Risk Management [FIN 400]
• MBA Data Analysis and Decision Making [MBC 638]
• Graduate Risk Management: Credit Risk [FIN 741]
• Graduate Risk Managmeent: Operational Risk [FIN 742]
• PhD Finance Seminar [FIN 960]

Professor Chernobai’s research interests lie in the area of financial mathematics and applied statistics and probability. Her interests include modeling operational risk in light of the Basel II Capital Accord and integration of operational risk with credit and market risks. Her areas of interest include also insurance, financial economics, and stochastic processes.

A complete list of Dr. Chernobai's publications can be obtained from her personal homepage at http://myweb.whitman.syr.edu/annac/.

• "Disclosures of Material Weaknesses by Japanese Firms after the Passage of the 2006 Financial Instruments and Exchange Law", Journal of Banking and Finance, forthcoming, 2013, (with Yasuda, Y.)
• "Is Selection Bias Inherent in Housing Transactions? An Equilibrium Approach", Real Estate Economics, forthcoming, 2013, (with Chernobai, E.)
• "An Internal Control Perspective on the Market Value Consequences of IT Operational Risk and Its Subcategories", International Journal of Accounting Information Systems, 13(4), pp. 357-381, 2012, (with Benaroch, M., and Goldstein, J.)
• "An Event Study Analysis of the Economic Impact of IT Operational Risk and Its Subcategories", Journal of the Association for Information Systems, 12(9), pp. 606-631, 2011, (with Goldstein, J., and Benaroch, M.)
• "The Determinants of Operational Risk in U.S. Financial Institutions", Journal of Financial and Quantitative Analysis, 46(6), pp. 1683-1725, 2011, (with Jorion, P., and Yu, F.)
• "The Dynamics of Operational Loss Clustering", Journal of Banking and Finance, 32(12), pp. 2655-2666, 2008, (with Yildirim, Y.)
• "Operational Risk: A Guide to Basel II Capital Requirements, Models, and Analysis", John Wiley & Sons, ISBN #978-0-471-78051-9, 2007, (with Rachev, S.T., Fabozzi, F.J.)

Honors

• Guttag Junior Faculty Award, 2012
• Meredith Teaching Recognition Award, 2010
• JP Morgan Chase Faculty Research Fellow, 2009
• Elected as one of "The Top 50 Faces of Operational Risk," OpRisk & Compliance, 2009
• FDIC Research Fellow, 2008

• Journal of Operational Risk - Associate Editor

• Chernobai Quoted OpRisk & Compliance in Article on Operational Risk 4.15.09
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• Chernobai Quoted in OpRisk & Compliance Magazine 3.31.08