My research and  teaching interests lie in better understanding of (a) implicit risks and risk premia  (i.e.  credit, liquidity, systemic  and other risks), (b) market structure and impact of underlying economic forces ,  and (c) role of financial intermediation in the context of fixed income, credit, derivative and equity markets.

 

Students interested in such research topics can contact me.  

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 for a 4th year PhD student Lazlo Nagy.

 

External Ph.D. examiner (5 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.

 

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) (9 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 (3 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