Mikhail Chernov

About

Mikhail Chernov is a Professor of Finance and holds the Warren C. Cordner Chair in Money and Financial Markets at UCLA Anderson School of Management. His research focuses on macro-based asset pricing, derivatives, fixed income, and financial econometrics. He specializes in measuring various risks faced by financial markets and understanding how these risks translate into expected returns. His work emphasizes the importance of market crashes, private and sovereign defaults, and unexpected policy changes, especially events that occur infrequently but have devastating impacts on financial markets and the economy. Chernov's academic contributions have practical applications in risk management at financial institutions, providing quantitative tools to gauge potential losses and interpret high returns associated with rare but significant losses. He is particularly interested in the evolving nature of monetary policy and sovereign defaults, especially considering the historical view of sovereign borrowers as high-quality. With a background that includes faculty positions at the London School of Economics, London Business School, and Columbia Business School, as well as experience at the Bank of England, Federal Reserve Board, and Oxford-Man Institute of Quantitative Finance, Chernov is actively involved in international research collaborations. He is a research associate at the National Bureau of Economic Research and a research fellow at the Center for Economic and Policy…

Research topics

• Economics
• Monetary economics
• Macroeconomics
• Finance
• Financial economics
• Econometrics

Selected publications

• The Term Structure of Covered Interest Rate Parity Violations

  The Journal of Finance · 2024-03-31 · 15 citations

  articleOpen access

  ABSTRACT We quantify the impact of risk‐based and nonrisk‐based intermediary constraints (IC) on the term structure of covered interest rate parity (CIP) violations. Using a stochastic discount factor (SDF) inferred from interest rate swaps, we value currency derivatives. The wedge between model‐implied and observed derivative prices reflects the impact of nonrisk‐based IC because our SDF incorporates risk‐based IC. There is no wedge at short horizons, while the wedge accounts for 40% of long‐te…

  PublisherOA PDFDOI

• International Yield Curves and Currency Puzzles

  The Journal of Finance · 2022-11-16 · 13 citations

  article1st authorCorresponding

  ABSTRACT The currency depreciation rate is often computed as the ratio of foreign to domestic pricing kernels. Using bond prices alone to estimate these kernels leads to currency puzzles: the inability of models to match violations of uncovered interest parity and the volatility of exchange rates. This happens because of the FX bond disconnect , the inability of bonds to span exchange rates. Incorporating innovations to the pricing kernel that affect exchange rates but not bonds helps resolve th…

  PublisherDOI

• A Test of the Efficiency of a Given Portfolio in High Dimensions

  National Bureau of Economic Research · 2025-03-01 · 9 citations

  reportOpen access1st authorCorresponding

  We extend the Gibbons-Ross-Shanken test to high-dimensional cases, when the num-ber of test assets far exceeds the sample size and the return covariance matrix is ill-conditioned or singular, as inevitably occurs with large, richly specified test port-folios.In such cases, one must use a regularized (and therefore biased) estimator of the covariance matrix, which distorts the original GRS test statistic.We use Random Matrix Theory to correct for this bias and characterize the asymptotic power of…

  PublisherDOI

• What do Financial Markets say about the Exchange Rate?

  National Bureau of Economic Research · 2024-05-01 · 8 citations

  reportOpen access1st authorCorresponding

  We develop a general framework characterizing when exchange rates connect or disconnect from fundamentals across different financial market structures.International portfolio risk sharing governs how tightly exchange rates track households' stochastic discount factors.We introduce a tractable sufficient statistic for connect: the prevalence of globally-traded risks, the component of asset risks that households in both countries can trade through available financial instruments.When globally-trad…

  PublisherDOI

• International Yield Curves and Currency Puzzles

  2022-11-07 · 3 citations

  preprint1st authorCorresponding

  The depreciation rate is often computed as the ratio of foreign and domestic pricing kernels. Using bond prices alone to estimate these kernels leads to currency puzzles: the inability of models to match violations of uncovered interest parity and the volatility of exchange rates. That happens because of the FX bond disconnect, the inability of bonds to span exchange rates. This view of the puzzles is distinct from market incompleteness. Incorporating exchange rates into estimation of yield curv…

  PublisherDOI

Frequent coauthors

• Dongho Song

  Johns Hopkins University

  56 shared

• Irina Zviadadze

  51 shared

• Jeremy J. Graveline

  41 shared

• Lars A. Lochstoer

  Anderson University - South Carolina

  41 shared

• Patrick Augustin

  26 shared

• Éric Ghysels

  20 shared

• Ruslan Bikbov

  Merrill (United States)

  18 shared

• Lukas Schmid

  18 shared

Awards & honors

• Numerous Dean’s Fellowships, Department of Mechanics and Mat…
• Kenneth J. Carey Memorial Fellowship, Smeal College of Busin…
• Center for International Business Education (CIBE) at Columb…
• The 2001 Arnold Zellner Award for the best Ph.D. thesis deal…
• JFE All-Star paper in 2005 for “A Study Towards a Unified Ap…

Similar researchers at University of California, Los Angeles

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