E-mail Address
Personal Website
In the News
Honors & Recognitions |
Anna Chernobai
Assistant Professor of Finance
(315) 443-3357
Room 609
Finance
Whitman School of Management
annac@syr.edu
Ph.D. (Statistics and Finance) University of California at Santa Barbara
Curriculum Vitae: CV-Chernobai.pdf
Research Interests
Professor Chernobai’s research interests lie in the area of financial mathematics and applied statistics/probability applied to the management and modeling of financial risks in banking institutions. Her interests include modeling operational risk in light of the Basel II Capital Accord and its integration with credit and market risks. Areas of interest include also insurance, financial economics, applied probability, and stochastic processes.
Selected Publications:
"The Dynamics of Operational Loss Clustering," (with Yildirim, Y.), forthcoming in Journal of Banking and Finance, 2008.
“Operational Risk: A Guide to Basel II Capital Requirements, Models, and Analysis,” (with S. T. Rachev and F. F. Fabozzi), John Wiley & Sons, 2007
“A Note on the Estimation of the Frequency and Severity Distribution of Operational Losses,” (with C. Menn, S. Trück, and S. T. Rachev), Mathematical Scientist: 30(2), 2006
“Modeling Catastrophe Claims with Left-Truncated Severity Distributions,” (with K. Burneçki, R. Weron, S. Trück, and S. T. Rachev), Computational Statistics: 3, 2006
|
