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.
Skewness, measuring the range of biases, strongly suggests rate moves
Local currency sovereign bonds transfer risk from issuer to buyer
A predictive model employs credit default swaps across currencies
A model estimates the impact of economic variables on the pricing of prepayment risk