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Bakhodir Ergashev

Bakhodir Ergashev picture

My research interests include financial econometrics, risk quantification and Bayesian inference. My recent work has focused on operational risk and stress testing risk models.

 

Professional Experience

My research interests include financial econometrics, risk quantification and Bayesian inference. My recent work has focused on operational risk and stress testing risk models. 

Education

Ph.D., Washington University, 2006
M.A., Washington University, 2001
Ph.D., Steklov Institute of Mathematics (Russia), 1992
M.S., Tashkent State University (Uzbekistan), 1986

Curriculum Vitae

A Theoretical Framework for Incorporating Scenarios into Operational Risk Modeling.” Journal of Financial Services Research (forthcoming).

Analysis of Multi-Factor Affine Yield Curve Models” (with Siddhartha Chib). Journal of the American Statistical Association 104, no. 488 (December 2009): 1324-1337.

Estimating the Lognormal-Gamma Model of Operational Risk Using the Markov Chain Monte Carlo Method.” The Journal of Operational Risk 4, no. 1 (2009): 23 pages.

Should Risk Managers Rely on Maximum Likelihood Estimation Method while Quantifying Operational Risk?The Journal of Operational Risk 3, no. 2 (2008): 63-86.

“Limit Theorems for the First Passage Time of an Autoregression Process over a Level” (with Alexander Novikov). In Proceedings of Steklov Institute of Mathematics 202, no. 4 (1994): 169-186.

"An Analytical Approach to the Calculation of Moving Average Characteristics" (with Alexander Novikov). Statistical Problems of Control, no. 83 (1988): 110-114.

“Asymptotic Independence of Some Functionals of the Trajectory of a Process with Independent Increments.” Asymptotic Methods in Probability and Mathematical Statistics, 1988, 208-216.

"Worst-case Scenarios as a Stress Testing Tool for Risk Models" (with Azamat Abdymomunov and Sharon Blei).   

 

The Bayesian Approach to Extreme Value Estimation in Operational Risk Modeling” (with Evangelos Sekeris and Stefan Mittnik).

"The Bayesian Approach in Financial Risk Management." FY2011 Seminar Series, Risk Analysis Division, Office of the Comptroller of the Currency, Washington, DC, Fall 2010.

"The Bayesian Approach to Extreme Value Estimation in Operational Risk Modeling." Stan Uryasev’s Quantitative Finance Seminar, University of Florida, Gainesville, FL, Fall 2009.

"Estimating the Lognormal-gamma Model of Operational Risk Using the MCMC Method." Quantitative Analysis Unit, Federal Reserve Bank of Boston, Boston, MA, Spring 2009.

“Some problems of the Sequential Statistical Analysis related to detecting a change point” [in Russian]. PhD diss., Steklov Institute of Mathematics of the Russian Academy of Sciences, 1992. 

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Bakhodir Ergashev
(704) 358-2514