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Anna Chernobai

Anna Chernobai

Associate Professor of Finance

315-443-3357
Room: 609
annac@syr.edu

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Ph D, University of California at Santa Barbara (Statistics and Applied Probability)

Anna Chernobai is an Associate 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.

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 https://sites.google.com/a/g.syr.edu/anna-chernobai

Selected Publications

Awards and Honors

  • "Top 10% Authors on SSRN" by total new downloads within the last 12 months. Week of 12/18, 2017 - SSRN (2017)
  • New citations since 1/1/2017: a total of 130 (Google Scholar) (2017)
  • "Top 10% Authors on SSRN" by total new downloads within the last 12 months. Week of 11/27, 2017 - SSRN (2017)
  • "Top 10% Authors on SSRN" by total new downloads within the last 12 months. Week of 10/23, 2017 - SSRN (2017)
  • "Top 10% Authors on SSRN" by total new downloads within the last 12 months. Week of 9/28, 2017 - SSRN (2017)
  • "SSRN's Top Ten download list" (ERN: Regulation & Supervision), week of 8/18, 2017 - "Business Complexity and Risk Management: Evidence from Operational Risk Events in U.S. Bank Holding Companies" (2017)
  • "Top 10% Authors on SSRN" by total new downloads within the last 12 months. Week of 8/22, 2017 - SSRN (2017)
  • "SSRN's Top Ten download list" (ERN: Regulation & Supervision), week of 7/15, 2017 - "Business Complexity and Risk Management: Evidence from Operational Risk Events in U.S. Bank Holding Companies" (2017)
  • "Top 10% Authors on SSRN" by total new downloads within the last 12 months. Week of 7/25, 2017 - SSRN (2017)
  • "Top 10% Authors on SSRN" by total new downloads within the last 12 months. Week of 6/20, 2017 - SSRN (2017)
  • "Top 10% Authors on SSRN" by total new downloads within the last 12 months. Week of 5/22, 2017 - SSRN (2017)
  • "SSRN's Top Ten download list" (Econometric Modeling: Financial Markets Regulation eJournal), week of 1/1, 2017. - "Business Complexity and Risk Management: Evidence from Operational Risk Events in U.S. Bank Holding Companies" (2017)
  • "SSRN's Top Ten download list" (Econometric Modeling: Capital Markets -- Risk), 2nd week of December 2016 - "Business Complexity and Risk Management: Evidence from Operational Risk Events in U.S. Bank Holding Companies" (2016)
  • "SSRN's Top Ten download list" (Econometric Modeling: Financial Markets Regulation), 3rd week of December 2016 - "Business Complexity and Risk Management: Evidence from Operational Risk Events in U.S. Bank Holding Companies" (2016)
  • "SSRN's Top Ten download list" (Econometric Modeling: Financial Markets Regulation), 4th week of December 2016 - "Business Complexity and Risk Management: Evidence from Operational Risk Events in U.S. Bank Holding Companies" (2016)
  • "SSRN's Top Ten download list" (Econometric Studies of Government Regulation of Financial Markets), 1st week of December 2016 - "Business Complexity and Risk Management: Evidence from Operational Risk Events in U.S. Bank Holding Companies" (2016)
  • Citations in 2016: a total of 97 according to Google Scholar (2016)
  • "SSRN's Top Ten download list" (Monetary Economics: International Financial Flows, Financial Crises, Regulation & Supervision), 2nd week of April 2016 - "Business Complexity and Risk Management: Evidence from Operational Risk Events in U.S. Bank Holding Companies" (2016)
  • "SSRN's Top Ten download list" (Monetary Economics; Risk Management & Analysis in Financial Institutions), 1st week of April 2016 - "Business Complexity and Risk Management: Evidence from Operational Risk Events in U.S. Bank Holding Companies" (2016)
  • "SSRN's Top Ten download list" (Risk Management eJournal), 4th week of April 2016 - "Business Complexity and Risk Management: Evidence from Operational Risk Events in U.S. Bank Holding Companies" (2016)
  • "SSRN's Top Ten download list" (Monetary Economics: International Financial Flows, Financial Crises, Regulation & Supervision), end of March 2016 - "Business Complexity and Risk Management: Evidence from Operational Risk Events in U.S. Bank Holding Companies" (2016)
  • "SSRN's Top Ten download list" (Regulation & Supervision), beginning of March 2016 - "Business Complexity and Risk Management: Evidence from Operational Risk Events in U.S. Bank Holding Companies" (2016)
  • RESEARCH GRANT was awarded to support project “The Determinants and Consequences of Establishing Risk Management Committees,” with A. Barakat (University of Nottingham, UK) and M. Wahrenburg (University of Frankfurt, Germany). - British Academy (2016)
  • Student evaluations (MBC 638, Fall 2015): Selected student comments: "The instructor had great subject knowledge and is always supportive to people who want to learn. Clearly the best course I have taken up till now." "Extermely meticulous; Great notes; Clear explanations; Good motivator." "Helpful, and the importance given to understanding concepts. Very thorough knowledge of the field." "Very good at making sure every student in the class is keeping up with the material. Always open to help." - Whitman SOM (2015)
  • Textbook Adoption - City University of Hong Kong. My book (Chernobai/Rachev/Fabozzi 2007) was used in 2015 as primary reference in course “Operational Risk Management”, Department of Management Sciences. (2015)
  • Textbook Adoption - University College London, UK. My book (Chernobai/Rachev/Fabozzi 2007) was used in 2015 as primary reference in Masters course “Operational Risk Measurement for Financial Institutions.” Department of Computer Science. (2015)
  • Best Paper Award - Israel Association for Information Systems (ILAIS) 2015 conference. Best Paper Award for “Operational IT Failures and IT Governance,” (with Michel Benaroch). (2015)
  • Guttag Junior Faculty Award - Whitman School of Management, Syracuse University (2013)
  • Guttag Junior Faculty Award - Whitman School of Management, Syracuse University (2012)
  • Meredith Teaching Recognition Award - Syracuse University (university-wide) (2011)
  • Meredith Teaching Recognition Award - Syracuse University (university-wide) (2010)
  • Elected as one of The Top 50 Faces of Operational Risk - OpRisk & Compliance magazine (2009)
  • JP Morgan Chase-Syracuse University Faculty Research Fellow - JP Morgan Chase-Syracuse University (2009)
  • FDIC research fellow - FDIC Center for Financial Research (2008)
  • Nominated for Outstanding Teaching Assistant Award - UC-Santa Barbara (university-wide) (2005)
  • President's Study Award - UC-Santa Barbara (2004)
  • Award for Academic Excellence - Moritani Foundation (1999)
  • Award for Academic Excellence - Jouchi Daigaku (awarded annually to top 1% students) (1997)