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My research and  teaching interests lie in better understanding of

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  1. implicit financial (i.e.  volatility, credit, liquidity, systemic and other ) risks and risk premia

  2. market structure and impact of underlying economic forces,  and

  3. role of financial intermediation 

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in the context of financial (i.e fixed income, credit, derivative and equity) markets.

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Students & scholars interested in such research topics & projects can contact me.  

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  • I  have  been appointed by  the Faculty of Graduate Studies  as  an approved

graduate research advisor since Feb 2004.

 

  • So far, the total number of my graduate and undergraduate student supervisions and project examinations is  over 40 (described below)

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PhD committees and Research Supervision (2 students):

  • I was the PhD Supervisor for Laleh Samarbaksh for her dissertation titled “Three Essays       in Default risk” Laleh successfully defended in May, 2015 and is currently placed as Assistant Professor (tenure-track) at Rogers School of Management, Ryerson University, and Toronto.

  • I am currently on the Ph.D. committee of  Lazlo Nagy and Di Meng .

 

External Ph.D. examiner (7 students):

  • “The Role of Financial Institutions in India’s Industrial Development with Special Reference to Small Scale Industries”; Ph.D. Candidate: Annapurna Dixit, (2003), Indian Institute of Technology (Banaras Hindu University), IIT (BHU), India.

  • “Three Essays on Pricing Credit and Commodity Derivatives”; Ph.D. Candidate:  Xuhui (Nick) Pan, (April, 2012), Desautels Faculty of Management, McGill University.

  • “Credit Risk, Fraud Risk, and Corporate Bond Spreads”; PhD candidate: Qi Zhang (April. 2013), Queen’s University.

  • “Stock Return Prediction with Hidden Order Mapping”, PhD Candidate: Varsha Mamidi (October, 2016), Monash University.

  • “Liquidity Risk in Emerging Asia”, PhD Candidate: Suraj Kumar (Jan, 2019),  Indian Institute of Technology (IIT) Madras.

  • Upcoming: “Essays on interest-rate derivatives: model risk, exercise strategies and credit risk protection “, PhD Candidate: Mohamed Ali Akari (May, 2020), HEC Montreal.

 

External M.PHIL (Masters in Philosophy) examiner (1 student):

  • “Analysis of intra-day data for Indian markets” (2005), IGIDR, Bombay India. IGIDIR is a top notch economics research institute set up by the Reserve Bank of India in 1991.

 

External MSc examiner (2 students-both from Laurier Math finance program):

  • “Applications of first passage times for multivariate jump-diffusion processes in credit risk”, (Di, Zhang, Winter 2007).

  • “Modelling Asset Prices under Regime Switching Diffusions via First Passage Time”, (Xiaojing Xi, Winter 2008).

 

 Masters in Finance (MFin) students (8 students):

  • “Understanding the risks in Municipal bond markets” (Zeng, (Cecelia) Xiaosu, Winter 2011).

  •  “CDO markets: Pricing and applications” (Ping Zhang, Winter 2013).

  • “Designing Datastream Modules” (Rax Yi Hao, Winter 2013).

  • Measuring and Regulating Systemic Risk, (Yuan Cai), Spring 2015).

  • “SME Credit Risk Analytics” (Eric Bergeron, Winter, 2016).

  • “Closed-End Funds” (Yiheng Cai, Winter, 2017).

  • “Credit risk in Canadian provincial debt” (Puneet Bhatti, Spring 2017).

  • “Predicting CDS term strctures using machine learning methods” (Jordan Chan, Winter, 2019)

 

 Master’s in Business Economics (MABE) students (4 students):

  • “Volatility in gold markets” (Zhen Dong, Spring 2013).

  • “Effect of M & A on underlying credit risk” (Yuyao (Kate) Luo, Spring 2017).

  • “Impact of Growing Mortgage Vs. Non-Mortgage Debt on Bank Balance Sheets: Evidence from Canadian Chartered Banks (John Pehar, Fall, 2018)

  • “Effect of policy uncertainty on financial markets: Evidence from the NAFTA crisis”  (Ajay Bandu, Fall, 2018).

 

 MBA students (course title: BU690) (10 students):

  • “Applications of Real-Options in the real world.” (Ryan McEachern, Spring 2001).

  •  “CDO Pricing” (Eric Lam, Spring 2005).

  • “Enterprise Risk Management: A review” (Ken Ng, Spring 2007).

  • “Synthetic and Structured Assets” (Steven Choi, Spring 2007).

  • “Regulation of CDS markets” (Patrick Harnett, Winter, 2009).

  •   “Economic Capital” (Arthur Kwok, Spring, 2010).

  •  “Euro-financial crisis” (Adam Russell, Fall 2012).

  • “Risk management in Pork bellies market”, (Jacob Simpson, Spring 2013).

  •  “Understanding Canadian Real Estate Market” (Ada Wang, Winter 2017).

  • “Modeling M & As. ” (Israel Odi, Spring, 2018)

 

MBA student Research Projects (4 students):

  • “Biases in convertible debt pricing” (Dennis Loyola, Winter 2003).

  • “Unconventional Policies and Their Effects on Financial Markets” ((Shane Obata, Winter 2016)

  • “Explaining ETF returns” Shane Obata, Winter 2017).

  • “Foreign exchange rate determination in emerging markets” (Stephanie Wang, Spring 2017).

 

Undergrad BBA and double-degree students (course title: BU480) (3 students)

  • “Issues in Sovereign debt crisis” (Luara Chelaru, Spring 2010).

  •  “Impact of Quantitative Easing on Financial Markets” (Bolun Yang, Spring 2013).

  • “Volker rule and Impact of Commodity trading on banking stocks”, (AvijitBandyopadhyay, Winter, 2014).

 

STUDENT SUPERVISION

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