Anna Chernobai

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.

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

• "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.)

Selected Publications

• "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.)