8 citations · 20 across the 25 of their papers we have counts for
6 papers · 1 filter
Machine Learning Based Stress Testing Framework for Indian Financial Market Portfolios
Vidya Sagar G, Shifat Ali, Siddhartha P. Chakrabarty
This paper presents a machine learning driven framework for sectoral stress testing in the Indian financial market, focusing on financial services, information technology, energy,…
Dynamic loan portfolio management in a three time step model
Deb Narayan Barik, Siddhartha P. Chakrabarty
This paper studies the bank dynamic decision problem in the intermediate time step for a discrete-time setup. We have considered a three-time-step model. Initially, the banks raise…
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…
Classification based credit risk analysis: The case of Lending Club
Aadi Gupta, Priya Gulati, Siddhartha P. Chakrabarty
In this paper, we performs a credit risk analysis, on the data of past loan applicants of a company named Lending Club. The calculation required the use of exploratory data analysi…
Leverage Ratio: An empirical study of the European banking system
Jatin Dhingra, Kartikeya Singh, Siddhartha P. Chakrabarty
This paper empirically analyzes a dataset published by the European Banking Authority. Our main aim was to study how the Leverage Ratio is affected by adverse financial scenarios.…
Single Event Transition Risk: A Measure for Long Term Carbon Exposure
Suryadeepto Nag, Siddhartha P. Chakrabarty, Sankarshan Basu
Although there is a growing consensus that a low-carbon transition will be necessary to mitigate the accelerated climate change, the magnitude of transition-risk for investors is d…