Dr. 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.”
- Ph.D. in Finance, Baruch College, City University of New York, 2006
- MS, Finance, Baruch College, CUNY, 1999
- BS, Statistics, Operations Research and Computer Science, Tel-Aviv University, Israel, 1998
- Credit Risk
- Operational Risk
- Systemic Risk
- Sovereign Risk