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Masters in Business Administration:
PhD CANDIDATE & TEACHING FELLOW -AUGUST 2010-2014 (EXPECTED)
Concentration: Finance (Major)/Statistics (Minor)
Research Interests: Financial Markets and Institutions, Risk, Corporate Finance, Real Estate, Banking Regulation
Expected Completion - Summer 2014
Dissertation Title: “Impact of Charter Values on Moral Hazard in Banking"
Dissertation Proposal defended - June 2013
Coursework Completed (GPA 3.9): Doctoral Seminars in Corporate Finance, Investment Theory, Research in Finance, International Financial Markets; Graduate level courses in Econometrics (I and II), Time Series Analysis, Financial Markets and Institutions, Mathematical Statistics, Non-Parametric Statistics, Multivariate Statistics
MASTER OF BUSINESS ADMINISTRATION – MAY 2008
Youngstown State University, Youngstown, OH
MASTER OF ARTS (ECONOMICS) – AUGUST 1997
Youngstown State University, Youngstown, OH
DIPLOMA OF SPECIALIST (MATHEMATICS) –JULY 1993
St.-Petersburg State University, St.-Petersburg, Russia
College Instructor Certification
Schenck, N. A. (2013). The Effects of Government Bailouts on Default Risk and Charter Values in Banking. Banking and Finance Review. Forthcoming.
Schenck, N. A. (2013). Distance-to-Default Measures and Determinants for Systemically Important Financial Institutions. Journal of Financial Regulation and Compliance. Forthcoming.
Schenck, N. A., & Wolf, F. M. (2010). Issues of Financial Statement Analysis of Small Homebuilders in Commercial Lending Decision Process in the U.S. International Journal of Business, Accounting, & Finance, 4(2), 33-44.
Volpe, R. P., & Schenck, N. A. (2008). Small Business Lending Environment in Emerging Economies: A Comparison of Brazil and Russia. Journal of International Business Research, 7(2), 13-30.
Salotti, V., Schenck, N.A. and Thornton, J. (2013) The Decline of Franchise Values during the 2008 Financial Crisis: Were Thrifts the Biggest Losers? Working paper.
Schenck, N. and Thornton, J. (2012). The Dynamic Study of Non-Performing Loans and Business Lending Standards: Bank Size Effect. Working paper.
Schenck, N. A (2012). Understanding Information Flow Between Interconnected Markets: Generalized Langevin Process Approach. Working paper.
- Southern Finance Association Conference in Puerto Rico, November, 2013 (accepted)
- FMA Conference in Chicago, IL, October, 2013 (accepted)
- Eastern Finance Association Conference, St-Pete Beach, FL, April, 2013
- Midwest Finance Association Conference, Chicago, IL, March, 2013
- FMA Conference in Atlanta, GA. October, 2012
- Midwest Finance Association Conference, New Orleans, LA, February, 2012
- Finalist for the Dean's Best Paper Award, Kent State University, 2012 and 2013
Scholarly, Creative & Professional Activities
Kent State University, Kent, OHFIN36053 Business Finance (5 semesters)
FIN36053 Business Finance /Honors (2 semesters)
FIN36059 Investments (1 semester)
Youngstown State University, Youngstown, OHECON2610 Principles of Microeconomics (5 semesters)
ECON2630 Principles of Macroeconomics (2 semesters)
ECON6900 Basic Economic Analysis/MBA (2 semesters)
FIN3720 Business Finance (1 semester)
St.-Petersburg Naval Engineering College, St-Petersburg, RussiaCalculus, Algebra, Statistics/Probability Theory (4 semesters)
LOAN REVIEW SPECIALIST (CG-11-TERM) - JUNE 2010-AUGUST 2010
Federal Deposit Insurance Corporation, Columbus, OH, Field Office
Review commercial loan portfolio and assign loan risk ratings during bank examinations
PORTFOLIO MANAGER- NOVEMBER 2006-JUNE 2010
First Place Bank, Business Financial Services, Warren, OH
Conduct Large Commercial Relationship reviews
Commercial Real Estate and Commercial and Industrial loan portfolios
Transition to Special Assets or Collections; Troubled Debt Restructuring
Portfolio reports, commercial property inspections
SENIOR CREDIT ANALYST- NOVEMBER 2005- NOVEMBER 2006
First Place Bank, Business Financial Services, Boardman, OH
Evaluated the credit risks of commercial clients through financial statement analysis, industry analysis, collateral valuations, cash flow and debt service
PORTFOLIO SPECIALIST – FEBRUARY 1999-NOVEMBER 2005
Mahoning Valley Economic Development Corporation, Youngstown, OH
Managed business loan portfolio with over $30 million in total assets
Annual, quarterly and monthly reporting to Federal, State and local governmental agencies
Developed and maintained business loan portfolio database
1.Schenck, N. A. (2013). The Effects of Government Bailouts on Default Risk and Charter Values in Banking. Banking and Finance Review. Forthcoming.
JOB MARKET PAPER 1
ABSTRACT: This paper examines the impact of the Troubled Asset Relief Program/Capital Purchase Program (TARP/CPP) participation and early repayments on the disciplinary role of bank charter values following the 2008 financial crisis. I find that the disciplinary role of bank charter value has been significantly impacted by the bailouts. TARP/CPP participants exhibit lower sensitivity of the market-based default risk to the changes in charter values compared to non-participants indicating the presence of moral hazard. The effect is most significant for the strongest banks that were able to repay the TARP/CPP funds early with private equity. This study contributes to the literature on the disciplinary role of bank charter values by focusing on the effects of the government bailouts.
2. Schenck, N. A. (2013). Distance-to-Default Measures and Determinants for Systemically Important Financial Institutions. Journal of Financial Regulation and Compliance. Forthcoming.
ABSTRACT: Most of the market based distance-to-default measures are not appropriate for banks due to their unique debt structure. In this study I compare two Merton (1974) distance-to-default methods that are suitable for financial institutions: data-transformed maximum likelihood estimation (MLE) method by Duan (1994, 2000) and “naïve” method introduced by Byström (2006). I examine the links between these measures and asset size, Tier 1 and Tier 2 capital ratios, nonperforming assets and operating efficiency and introduce an alternative default risk measure. I compare two distance-to-default measures and identify their accounting determinants using Pearson correlation and regressions with clustered standard errors. The sample of the U.S. based systemically important financial institutions (SIFIs) covers period from 2000 to 2010. Nonperforming assets and operating efficiency are found to be statistically and economically significant determinants of both distance-to-default measures. Tier 1 capital ratio is not a significant indicator of default risk. The results emphasize the importance of using a combination of market based default risk measures and accounting ratios in default prediction models for the financial institutions.
3. Schenck, N. A., & Wolf, F. M. (2010). Issues of Financial Statement Analysis of Small Homebuilders in Commercial Lending Decision Process in the U.S. International Journal of Business, Accounting, & Finance, 4(2), 33-44.
4. Volpe, R. P., & Schenck, N. A. (2008). Small Business Lending Environment in Emerging Economies: A Comparison of Brazil and Russia. Journal of International Business Research, 7(2), 13-30.
5. Salotti, V., Schenck, N.A. and Thornton, J. (2013) The Decline of Franchise Values during the 2008 Financial Crisis: Were Thrifts the Biggest Losers? Working paper.
JOB MARKET PAPER 2
ABSTRACT: We investigate the perceived inferiority of the thrift institutions by comparing their performance to the commercial banks during the period of 2000-2011. We focus on franchise values and their “traditional” determinants such as deposits, loan portfolio mix and asset quality. At the beginning of the sample period, commercial bank franchise values were on average higher than those of thrifts. Even though franchise values of both commercial banks and thrifts declined during the financial crisis of 2008, we find, contrary to expectations, that commercial banks experienced a significantly steeper decline than thrifts. By the end of the financial crisis there is essentially no difference, either statistically or economically, between the two charters. While asset quality remains the most important loan related determinant of franchise value for banks and thrifts throughout our sampling period, during the crisis the exposure to real estate lending significantly affected the decline in value for banks but not for thrifts.
6. Schenck, N. and Thornton, J. (2012). The Dynamic Study of Non-Performing Loans and Business Lending Standards: Bank Size Effect. Working paper.
ABSTRACT: This paper examines the dynamic interactions between real GDP growth rate, lending standards and three financial institution loan quality metrics - the ratios of non-current loans, net charge-offs and allocation for loan losses. A vector autoregression (VAR) technique with the Cholesky decomposition is used to evaluate the reaction of these variables to shocks to business lending standards, changes in business cycles and changes in non-current assets for banks and thrifts in different asset size groups. The sample uses aggregate data for all FDIC insured depository institutions, banks and thrifts from 1990.Q3 to 2011.Q4. We find that mid-size and small financial institutions delay loss allowance recognition compared to the largest banks (assets over $10 billion). The largest banks react to an increase in the level of non-current assets by tightening their lending standards. However, as the lending standards change, the impact on the level of non-current assets is not statistically significant for all but the smallest institutions (assets under $100 million).