1 citations · 1 across the 4 of their papers we have counts for
4 papers
Loan portfolio management and Liquidity Risk: The impact of limited liability and haircut
Deb Narayan Barik, Siddhartha P. Chakrabarty
In this article, we consider the problem of a bank's loan portfolio in the context of liquidity risk, while allowing for the limited liability protection enjoyed by the bank. Accor…
Green portfolio optimization: A scenario analysis and stress testing based novel approach for sustainable investing in the paradigm Indian markets
Shashwat Mishra, Rishabh Raj, Siddhartha P. Chakrabarty
In this article, we present a novel approach for the construction of an environment-friendly green portfolio using the ESG ratings, and application of the modern portfolio theory t…
Multilevel Richardson-Romberg and Importance Sampling in Derivative Pricing
Devang Sinha, Siddhartha P. Chakrabarty
In this paper, we propose and analyze a novel combination of multilevel Richardson-Romberg (ML2R) and importance sampling algorithm, with the aim of reducing the overall computatio…
Studying the age of onset and detection of Chronic Myeloid Leukemia using a three-stage stochastic model
Suryadeepto Nag, Ananda Shikhara Bhat, Siddhartha P. Chakrabarty
Chronic Myeloid Leukemia (CML) is a biphasic malignant clonal disorder that progresses, first with a chronic phase, where the cells have enhanced proliferation only, and then to a…