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Masters in Business Administration:
Nonna Y. Sorokina, Ph.D.
Department of Finance, Kent State University
P.O. Box 5190, Kent, OH 44242-0001
(216) 926-4586, e-mail:email@example.com
Ø 2010-2014 Ph.D. in Finance, with a minor in Applied Statistics
Kent State University, Kent, OH
Ø 2005-2007 MBA, concentration in Finance
Cleveland State University, Cleveland, OH
Ø 1993-1998 Diploma of Specialist in Finance and Banking
Donetsk State University, Donetsk, Ukraine
Interests:capital structure, financial regulation, financial crises, derivatives, market liquidity, advanced quantitative analysis for Finance: regression methods robust to outliers and multicollinearity, change point analysis, forecasting models, variable selection, Bayesian statistics and simulation analysis
Dissertation: Bank Capital and Theory of Capital Structure. Defended: June 12, 2014
Doctoral Student Consortium atFMA European 2013
Ø Robust Methods in Event Studies: empirical evidence and theoretical implications. Nonna Y. Sorokina, David E. Booth and John H. Thornton, Jr., 2013. Journal of Data Science, Vol.11, No.3 (July), p.607-621.
Ø Price discovery for major equity indices: study of DAX and its futures liquidity. Nonna Y. Sorokina and David E. Booth, 2013. Presented at the EFA’14, MWDSI’14. MWDSI’14 Best Application Paper Award
Ø Cross-Industry and Cross-Country Reactions of Equity Markets to Recent Financial Reforms. Nonna Y. Sorokina and John H. Thornton, Jr., 2013. KSU School of Business Dean’s Best Paper 2012 Award. Presented at the MFA’12, FMA European’13, at the IFABS’13(invited paper in the special session organized by the Federal Reserve Bank of Cleveland), at the FMA International’13
Ø Bank Capital in General Capital Structure Framework with Competition, Diversification, and Liquidity. Nonna Y. Sorokina and John H. Thornton, Jr., 2014. Accepted at the FMA’14
Ø Bank Capital and Firm Capital, Nonna Y. Sorokina and John H. Thornton, Jr., 2014
Ø Bank Leverage Components. Nonna Y. Sorokina and John H. Thornton, Jr., 2014
Ø Long-term impact of Gramm-Leach-Bliley Act on the financial industry. Nonna Y. Sorokina, 2012
Presented at the EFA’13
Ø MBS prepayment speed and more: forecasting model based on pure rational behavior, quasi-simulation and empirical restrictions. Nonna Y. Sorokina, 2012. Presented at the EFA’13
Ø Analyst Optimism in the Automotive Industry: A post-bailout boost and methodological insights. Barry Hettler, Yertai Tanai, Nonna Sorokina and David Booth, 2013. Presented at the MWDSI’13
Work in progress:
Ø Non-depository activities and shareholder’s wealth in FDIC-assisted acquisitions, with Valentina Salotti
Ø Systemic risk change in the financial industry: early warning tools
Ø2014 FMA Annual Meeting, Nashville, TN (presenter, discussant)
Ø2014 EFA Annual Meeting, Pittsburgh, PA (presenter, discussant)
Ø2013 FMA Annual Meeting, Chicago, IL (presenter, discussant)
Ø2013 International Finance and Banking Society (IFABS) Conference “The Search for Financial Stability: Models, Policies and Prospects”, Nottingham, UK (presenter)
Ø2013 FMA European Doctoral Student Consortium, Luxembourg City, Luxembourg (presenter)
Ø2013 FMA European Annual Meeting, Luxembourg City, Luxembourg (presenter, discussant)
Ø2013 EFA Annual Meeting, St. Pete Beach, FL (presenter, discussant, session chair)
Ø2012 FMA Annual Meeting, Atlanta, GA (presenter, discussant)
Ø2012 Dean’s Best Paper Finalists, Kent, OH (presenter)
Ø2012 EFA Annual Meeting, Boston, MA (presenter, discussant)
Ø2012 MFA Annual Meeting, New Orleans, LA (presenter, discussant)
Ø2011 MFA Annual Meeting, Chicago, IL (discussant, session chair)
ØBank Capital and Theory of Capital Structure. April 2014, Department of Finance, KSU, Kent, OH
ØCross-Industry and Cross-Country Reactions of Equity Markets to Recent Financial Reforms.
April 2013, Department of Finance, KSU, Kent, OH
ØAnalyst optimism in the automotive Industry: a post-bailout boost and methodological insights. December 2012, Department of Management and Information Systems, KSU, Kent, OH
Interests:Corporate Finance, Financial Markets and Institutions, Investments, Quantitative Financial Analysis, Risk Management, International Finance, Financial Economics
ØFinancial Policy – writing intensive, Fall’14
ØInternational Business Finance, Fall’14
ØFinancial System, Spring’14
ØIndividual Investment Analysis, Fall’13
ØBusiness Finance (5 semesters), Fall’11, Spring‘12, Fall’12, Summer ‘13, Spring ‘13
ØAFA (American Finance Association)
ØFMA (Financial Management Association)
ØEFA (Eastern Finance Association)
ØMFA (Midwest Finance Association)
ØIFABS (International Finance and Banking Society)
Ø2014 MWDSI Best Application Paper Award
Ø2013 FMA European Doctoral Student Consortium
Ø2013 International Travel Grant (competitive)
Ø2012 KSU School of Business Dean’s Best Paper Award
Ø1998 Diploma of Specialist in Finance and Banking with Honors
Ø1993 High School Diploma with Honors
August’04 – May‘08 full time, since June’08 part-time: Quantitative Analyst (previously: Senior Business Analyst, Project Manager, Software Developer) Capital Markets – Secondary Marketing, NYCB Mortgage Company (former: AMTrust Mortgage banking, a Division of NYCB, AMTrust Bank, Ohio Savings Bank), Cleveland, OH
ØBased on knowledge of models and processes, identify areas for improvement, automation and general process optimization. Propose innovative solutions for greater efficiency aided by additional utilization of the software systems and business process optimization.
ØParticipate in all stages of project cycle: envisioning to implementation, including intra- and inter-departmental project management, pre- and post-development documentation, cost-benefit analysis, presentation to management, user training; support. New development, as well as system upgrades projects. Selected Projects: FNMA Reservation Pricing (flexible G-Fees), Integration of Loan Sales, Trading and Hedging systems; Loan Sales software enhancement and integration with BestX optimization model (recommendations for optimal loan and servicing sales); Mortgage Loan Lock Fallout Forecasting Model; Hedging Model Enhancements; Development of the universal price interpolation/extrapolation function; Data Mart – loan data warehouse; Servicing System Data Purge process; HELOC loans conversion from old servicing system to the new; new GSE and non-GSE loan securitization and sale processes, including FNMA, FHLMC, GNMA and private investors’ mortgage products implementation; P&L calculation enhancements; Infrastructure projects – MS Office XP Upgrade, MS Access 2002 upgrade and others.
ØConceptualize, design, enhance, optimize, test, and implement internal models enabling and supporting Capital Markets’ business functions.
ØFacilitate interaction with internal and external audit on selected models and processes, responsible for compliance with audit requirements. Participate in model validation activities.
ØProduce and maintained organizational charts and process documentation for the department.
ØEstablished project management ideology, structure and spirit within the Capital Markets Department. Created the database for project tracking and resources management, including customized reporting. Manage the departmental projects and participation of the department in companywide projects.
ØServed as a liaison and primary point of contact between Capital Markets and other departments, including IT. Provided IT with up-to-date business process knowledge. Coordinated IT requests, Help Desk Tickets and other related activities.
ØDeveloped and maintained system-related, model-specifics and end user documentation.
ØFor a few years, was responsible for business resumption and disaster recovery process development, improvement and testing. Maintained related documentation.
ØAccommodate introduction of new models and model enhancements to users by evaluating new products through extensive prototyping and testing.
ØManage testing of major software upgrades (MS Windows and MS Office new versions and service packs, etc.)
ØParticipated in development of the Capital Markets controlled environment for critical applications (a secure system of four servers – development, test, QA and production). Organized migration of the models to the controlled environment, including testing, troubleshooting, backup planning and user training.
April’03 – August’04: Programmer/Analyst, Dontec, Inc, Cleveland, OH
ØDeveloped a database and several user interface modules for company's customers and sales system.
ØDeveloped a database for the inventory system and inventory control reports.
ØDeveloped accounting system, connected to the sales and inventory systems.
ØDeveloped software for synchronizing local sales and customers database with web-based sales system, prepared several data processing components for web-based sales system.
June’01- April’03:Programmer/Analyst II, Charter One Bank, Cleveland, OH
ØParticipated in the upgrade of legacy mainframe secondary marketing software TSM to the newer SQL-Server system “FORUM”.
ØImplemented input interface for the web-based mortgage application.
ØRe-built reporting system for mortgage products and rates analysis.
ØDeveloped and maintained secondary mortgage marketing reports.
September’01- September’02:Programmer/Analyst (part-time), Ohio Savings Bank, Cleveland, OH
ØMaintained loan sales software.
ØSeparated Development and Production Environments. Created a mechanism for safe and convenient migrations between environments.
ØParticipated in upgrade of the legacy mortgage loan servicing system OMNI to the FiServ/MortgageServ.
ØPlanned, developed, tested and implemented enhancements to the loan sales software to accommodate new business requirements. Provided consulting and training to the new programmers and analysts.
December’99- June’01: Programmer/Analyst I, Ohio Savings Bank, Cleveland, OH
ØBuilt several modules for MBS and whole loan sale software to accommodate new business needs.
ØRebuilt hedging model in co-operation with financial analysts.
ØDeveloped/enhanced and maintained several analytical and reporting systems.
ØCreated procedures for software changes tracking, testing and implementation.
ØDeveloped documentation on existing analytical models.
ØProvided consulting and user training on existing software, basic report writing and querying.
ØOrganized Novell to NT network migration project.
September’96 – September’99: Programmer/Analyst, First Ukrainian Int’l Bank, Donetsk, Ukraine
ØDeveloped databases, analytical and reporting systems for various needs of debit/credit cards and ATM/POS operations.
ØCreated technical documentation and user's manuals for the above mentioned software.
ØProvided user training and support for the above mentioned software.
ØDeveloped the database, user interface and reporting system for the correspondent banking needs.
QUANTITATIVE METHODS (selected):
Øordinary least squares regression; (feasible) generalized least square regressions, seemingly unrelated regressions, logit and probit regressions; multinomial, conditional and mixed logit; robust (to outliers and high leverage points) regression; lasso regression; Heckman variable selection model; instrumental variables and proxies; Monte-Carlo simulations; bootstrap; MCMC; breakpoint analysis; Chow test; panel data estimation, including difference in differences estimation, fixed effects and random effects linear and logit models, Hausman test; censored and truncated regressions, including Tobit and hurdle model, count data models; autocorrelation treatment, Durbin-Watson statistics, Parks model, Arellano-Bond Estimator; White standard errors; clustered standard errors; change point identification; discriminant analysis; MANOVA; principal component analysis; factor analysis; completely randomized design; random block design; full factorial design; dummy variables.
SOFTWARE AND DEVELOPMENT TOOLS:
Development: VBA, Visual Basic 5-6, COBOL, RPG, C/C++, SQL, Power Builder, HTML
Research databases:CRSP, COMPUSTAT (via Research Insight), Bloomberg, WRDS, Bank Regulatory
Databases: DB2, MS SQL Server 7/2000, Oracle 8, FoxPro 6, Microsoft Access 2.0/97/2000/2003/2010
OS: OS400 for AS400; Windows 95/98/2000/XP/Vista/7
Reporting: Crystal Reports, Oracle Discoverer
General office software: MS Office, MS Projects, MS Visio
Bank-specific: Midas, FDR, OMNI, MTRS, FORUM, TCL, TSM, TMO, VISA PC Edit Package, FiServ/MortgageServ, QRM
Learning management: Blackboard, Connect