8 citations · 20 across the 25 of their papers we have counts for
7 papers · 1 filter
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…
Multilevel Monte Carlo and its Applications in Financial Engineering
Devang Sinha, Siddhartha P. Chakrabarty
In this article, we present a review of the recent developments on the topic of Multilevel Monte Carlo (MLMC) algorithm, in the paradigm of applications in financial engineering. W…
Does limited liability reduce leveraged risk?: The case of loan portfolio management
Deb Narayan Barik, Siddhartha P. Chakrabarty
Return-risk models are the two pillars of modern portfolio theory, which are widely used to make decisions in choosing the loan portfolio of a bank. Banks and other financial insti…
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…
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.…