Mikhail Chernov

Professor of Finance; Warren C. Cordner Chair in Money and Financial Markets; Director, Master of Financial Engineering Program


Mikhail Chernov focuses on macro-based asset pricing, derivatives, fixed income and financial econometrics. His research can be characterized as measurement of various risks that financial markets are facing, and understanding how these risks could translate into expected returns. He studies the importance of market crashes, private and sovereign defaults, and unexpected changes in policy. His past work has practical applications in risk management at financial institutions because it increases awareness of and provides quantitative tools to gauge “how bad things can be.” This research helps interpret high average returns in asset management companies, because such returns are often associated with rare but massive losses.

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4 Articles

Illustration of a tightrope walker Research Brief / Investing

The Collective Wisdom of Options Trades as Interest Rate Predictor

Skewness, measuring the range of biases, strongly suggests rate moves

Different countries currencies in a collage format Research Brief / Bond Market

Out of the 1990s Asian Crisis, a New Bond Market Rises

Local currency sovereign bonds transfer risk from issuer to buyer

International flags and Euro sign Research Brief / Markets

One European Country Defaults: How Hard-Hit Is the Euro?

A predictive model employs credit default swaps across currencies

Illustration of a man and woman pushing grocery carts with equations and clouds as a background Research Brief / Home Mortgages

Mortgage Prepayments: Factors beyond Interest Rate Movements

A model estimates the impact of economic variables on the pricing of prepayment risk