Bakhodir Ergashev is a Senior Financial Economist in the Enterprise Risk Analysis Division within the Economics Department of the Office of the Comptroller of the Currency (OCC).
Dr. Ergashev’s current research interests include financial econometrics, risk quantification, and Bayesian inference. His recent work focused on systemic risk of joint failure, stress testing risk models, and operational risk modeling and benchmarking. Dr. Ergashev joined the OCC in 2013. Prior to that Dr. Ergashev was a Lead Financial Economist within the Supervision and Regulation Department of the Federal Reserve Bank of Richmond.
Dr. Ergashev received his doctorate in economics from Washington University. He also holds a candidate of science degree in mathematical statistics from Steklov Institute of Mathematics, Moscow, Russia.
Ergashev, Bakhodir, Konstantin Pavlikov, Stan Uryasev, and Evangelos Sekeris (2014) “Estimation of Truncated Data Samples in Operational Risk Modeling,” forthcoming Journal of Risk and Insurance.
Abdymomunov, Azamat, Sharon Blei, and Bakhodir Ergashev (2014) “Integrating Stress Scenarios into Risk Quantification Models,” forthcoming Journal of Financial Services Research.
Ergashev, Bakhodir, Stefan Mittnik, and Evangelos Sekeris (2013) “A Bayesian Approach to Extreme Value Estimation in Operational Risk Modeling,” Journal of Operational Risk, 2013, Vol. 8(4), 55-81, the paper of the year award.
Ergashev, Bakhodir (2012) “A Theoretical Framework for Incorporating Scenarios into Operational Risk Modeling,” Journal of Financial Services Research, 41(3), 145-161
Chib, Siddhartha and Bakhodir Ergashev (2009) “Analysis of Multi-Factor Affine Yield Curve Models,” Journal of the American Statistical Association, December 2009, Vol. 104, No. 488: 1324–1337.
Ergashev, Bakhodir (2009) “Estimating the Lognormal-gamma Model of Operational Risk using the MCMC Method,” Journal of Operational Risk, Vol. 4, No. 1, 2009.
Ergashev, Bakhodir (2008) “Should Risk Managers Rely on Maximum Likelihood Estimation Method while Quantifying Operational Risk?” Journal of Operational Risk, 3(2), 63-86.
Novikov, Alexander, and Bakhodir Ergashev (1994) “Limit Theorems for the First Passage Time of an Autoregression Process over a Level,” Proceedings of Steklov Institute of Mathematics, 202(4), 169-186. Providence, R.I.: American Mathematical Society.
Blei, Sharon and Bakhodir Ergashev (2013) “Asset Commonality and Systemic Risk among Large Banks in the U.S.”