Journal Publications

• “How do Banking Analysts Behave around Unanticipated News? Evidence from Operational Risk Event Announcements,” (with H. Gya, A. Barakat, and K. Amess), European Journal of Finance, 27(14), 1351-1391, 2021. 
• “Business Complexity and Risk Management: Evidence from Operational Risk Events in U.S. Bank Holding Companies ,” (with A. Ozdagli and J. Wang), Journal of Monetary Economics, 117, 418-440, 2021.
  • 2017 AFA meeting, Chicago
• “Operational IT Failures, IT Value-Destruction, and Board-Level IT Governance Changes,” (with M. Benaroch), MIS Quarterly, 41(3), 729-762, 2017.
  • Best Paper Award, Israel Association for Information Systems (ILAIS) conference 2015
• “Information Asymmetry around Operational Risk Announcements,” (with A. Barakat and M. Wahrenburg), Journal of Banking and Finance, 48, 152-179, 2014.
  • Semi-finalist for Best Paper Award in the Derivatives category, 2014 FMA meeting
• “Is Selection Bias Inherent in Housing Transactions? An Equilibrium Approach,” (with E. Chernobai), Real Estate Economics, 41(4), 887-924, 2013
• “Disclosures of Material Weaknesses by Japanese Firms after the Passage of the 2006 Financial Instruments and Exchange Law,” (with Y. Yasuda), Journal of Banking and Finance, 37(5), 1524-1542, 2013
• “An Internal Control Perspective on the Market Value Consequences of IT Operational Risk Events,” (with M. Benaroch and J. Goldstein), International Journal of Accounting Information Systems, 13(4), 357-381, 2012
• “An Event Study Analysis of the Economic Impact of IT Operational Risk and its Subcategories,” (with M. Benaroch and J. Goldstein), Journal of the Association for Information Systems, 12(9), 606-631, 2011
• “The Determinants of Operational Risk in U.S. Financial Institutions,” (with P. Jorion and F. Yu), Journal of Financial and Quantitative Analysis, 46(6), 1683-1725, 2011
  • Featured in CFA Digest, 42(3), 118-120, August 2012
  • Featured in Bloomberg Brief, July 2011
  • Featured in OpRisk & Compliance, March 2008
• “The Dynamics of Operational Loss Clustering,” (with Y. Yildirim), Journal of Banking and Finance, 32(12), 2655-2666), 2008
• “Aggregation Issues in Operational Risk,” (with R. Giacometti, S.T. Rachev, and M. Bertocchi), Journal of Operational Risk, 3(3), 3-23, 2008
  • Lead paper
• “Heavy-Tailed Distributional Model for Operational Losses,” (with R. Giacometti, S.T. Rachev, M. Bertocchi, and G. Consigli), Journal of Operational Risk, 2(1), 55-90, 2007
• “Modelling Catastrophe Claims with Left-Truncated Severity Distributions,” (with K. Burnecki, S.T. Rachev, S. Truck, and R. Weron), Computational Statistics, 21(3), 537-555, 2006
• “A Note on the Estimation of the Frequency and Severity Distribution of Operational Losses,” (with C. Menn, S.T. Rachev, and S. Truck), Mathematical Scientist, 30(2), 87-97, 2006
• “Applying Robust Methods to Operational Risk Modelling,” (with S.T. Rachev), Journal of Operational Risk, 1(1), 27-41, 2006
• “Treatment of Missing Data in the Field of Operational Risk: The Impacts on Parameter Estimates, EL and UL Figures,” (with M. Moscadelli and S.T. Rachev), Operational Risk, 6(6), 28-34, 2005