8 citations · 20 across the 25 of their papers we have counts for
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q-fin.RM2023
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…
q-fin.PM2023
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…