Mikhail Chernov

Biography

Professor of Finance Mikhail Chernov focuses on macro-based asset pricing, derivatives, fixed income and financial econometrics. “My research could be characterized as measurement of various risks that financial markets are facing, and understanding how these risks could translate into expected returns,” he says. “My particular focus is on the importance of market crashes, private and sovereign defaults, and unexpected changes in policy — events that may occur infrequently, but whose impact can be devastating on financial markets and on the economy overall.” Chernov’s academic publications have earned him numerous awards.

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. “Currently, I am interested in the changing nature of monetary policy and sovereign defaults, when a sovereign was historically viewed as an exceptionally high-quality borrower,” he says.

In the classroom, Chernov uses his vast knowledge of financial markets to tailor the learning experience to his students' interests. MBAs may have different needs than students pursuing a master’s in financial engineering or a doctoral degree, he says. “Finding the right balance between pure knowledge and knowledge they can use and build on in their work is what drives my approach to teaching.”

It was a certain restlessness that led Chernov to pursue an academic career. Tracked early into a Moscow high school with a math focus because he was bored with classes that felt remedial, Chernov later pursued a math degree in college. “I had no thoughts of a Ph.D. or teaching MBAs at that time,” he says. But, feeling the need for change, he applied to graduate school because it could be a “fast ticket” to the United States.

“I continued my studies toward a Ph.D. in statistics at Penn State, and only then I learned of finance as a subject of study and potential academic pursuit. As a result, I stumbled upon a job that I love.”

Chernov previously served on the faculty of the London School of Economics, London Business School and Columbia Business School. He has held positions at the Bank of England, Federal Reserve Board and the Oxford-Man Institute of Quantitative Finance, and has been a visiting scholar at the Wharton School and NYU Stern School of Business.

Chernov is a research associate at the National Bureau of Economic Research and a research fellow at the Center for Economic and Policy Research. He has served as associate editor of Journal of Business and Economic Statistics, Journal of Econometrics, Journal of Finance, Journal of Financial Econometrics and Journal of Financial and Quantitative Analysis. His professional interests lead him to international cross-disciplinary collaborations in statistics and macroeconomics. “I view my work as a never-ending pursuit of learning and discovering new things,” he says. “I try to pick co-authors from whom I can learn the most.”