
Anna Chernobai
Academic Director of Pedagogical Innovation
Associate Professor of Finance
315-443-3357
Room: 609
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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
Working Papers
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
Working Papers
- "WORKING PAPER “Correlated Operational Risk”", (with Yu, F.)
- "WORK IN PROGRESS “Operational Risk & Credit Derivatives”", (with Yu, F.)
- "WORK IN PROGRESS "Operational Risk Disclosures" ", (with Bhat, G., Ryan (NYU), S.)
- "WORK IN PROGRESS “Credit Risk in Supplier Networks”", (with Hekimoglu, M., Kazaz, B.)
- "ACCEPTED FOR PUBLICATION (Journal of Monetary Economics) "Business Complexity and Risk Management: Evidence from Operational Risk Events in U.S. Bank Holding Companies"", Journal of Monetary Economics, 117 (January 2021), 2020 (with Ozdagli (Federal Reserve Bank, Boston), A., Wang (UC Berkeley), J.)
- "ACCEPTED FOR PUBLICATION (European Journal of Finance) "How do Banking Analysts behave around Unanticipated News? Evidence from Operational Risk Event Announcements"", European Journal of Finance, 2020 (with Barakat (University of Nottingham), A., Gya (University of Nottingham), H., Amess (University of Nottingham), K.)
- "Operational IT Failures, IT Value-Destruction, and Board-Level IT Governance Changes", MIS Quarterly, 41(3), 729-762, 2017 (with Benaroch, M.)
- "Information asymmetry around operational risk announcements", Journal of Banking & Finance, 48, 152-179, 2014 (with Barakat, A., Wahrenburg, M.)
- "Disclosures of material weaknesses by Japanese firms after the passage of the 2006 Financial Instruments and Exchange Law", Journal of Banking & Finance, 37(5), 1524-1542, 2013 (with Yasuda, Y.)
- "Is Selection Bias Inherent in Housing Transactions? An Equilibrium Approach", Real Estate Economics, 41(4), 887-924, 2013 (with Chernobai, E.)
- "An internal control perspective on the market value consequences of IT operational risk events", International Journal of Accounting Information Systems, 13(4), 357-381, 2012 (with Benaroch, M., 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), 606-631, 2011 (with Goldstein, J., Benaroch, M.)
- "The determinants of operational risk in U.S. financial institutions", Journal of Financial and Quantitative Analysis, 46(6), 1683-1725, 2011 (with Jorion, P., Yu, F.)
- "The dynamics of operational loss clustering", Journal of Banking & Finance, 32(12), 2655-2666, 2008 (with Yildirim, Y.)
- "Aggregation issues in operational risk", Journal of Operational Risk, 3(3), 3-23, 2008 (with Giacometti, R., Rachev, S., Bertocchi, M.)
Awards and Honors
- Dean's Research Citation Award - Whitman School of Management, Syracuse University (2020)
- 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 (2012)
- 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)