I like to teach courses of Investments, as I bring to class from my personal experience as a research analyst and a portfolio manager.

Dror Parnes, Ph.D.
Associate Professor of Finance

  • Faculty
Accounting and Finance
Contact Dror
Office
McDowell Administration 204
Related Department
Accounting and Finance

Doro Parnes earned a black belt in Taekwondo in 2019. As a child, he was also an award-winning semi-professional chess player.

A Conversation with Dr. Parnes

What has been your favorite course to teach?

“I like to teach courses of Investments, as I bring to class from my personal experience as a research analyst and a portfolio manager.”

Tell us about a project you are currently working on or recently completed.

““A Spline Hazard Model for Current Expected Credit Losses,” which presents a detailed framework for assisting lending banks in their CECL forthcoming computations (this new standard is about to replace the traditional Allowance for Loan and Lease Losses (ALLL) accounting system, and is considered the most comprehensive financial reporting transformation among financial institutions). The proposed framework contains multiple progressing steps including spline method for identifying optimal segments in the lifetimes of loans, Poisson regressions within each time interval for evaluating the explanatory variables, and hazard rate probes for gaining inferences towards the expected credit losses and their projected schedule.”

Educational Background

  • Ph.D., Finance, Baruch College, City University of New York, 2006
  • M.S., Finance, Baruch College, CUNY, 1999
  • B.S., Statistics, Operations Research and Computer Science, Tel-Aviv University, Israel, 1998

Research Interests

  • Credit Risk
  • Operational Risk
  • Systemic Risk
  • Sovereign Risk

Selected Publications

  • Parnes D. 2020. Exploring Economic Anomalies in the S&P 500 Index. The Quarterly Review of Economics and Finance (76): 292-309.
  • Parnes D., S. Nippani. 2019. The Integration of Mortgage and Capital Markets: A Tale of Two Administrations. Journal of Financial Economic Policy (11): 405-431.
  • Parnes D. M. Jacobs. 2019. A Generic Stress Testing Framework with Related Economic Shocks and Possible Regulatory Intervention. The Journal of Risk (21): 29-52.

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