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Prof. PANKAJ SINHA
Financial engineering, Econometrics, Forecasting, Risk Management and Investment Analysis
About Me:

Dr. Pankaj Sinha is a Professor at  Faculty of Management Studies. He received his Ph.D. degree in Bayesian Econometrics from the University of Delhi. Dr. Sinha’s research, professional and teaching interests revolve around the areas of Bayesian econometrics, financial forecasting, financial engineering, financial mathematics, financial risk management,  investment analysis and computational finance. He has published papers in leading academic international journals as well as in international conferences.

He teaches financial modeling and forecasting, financial derivatives and financial engineering, quantitative analysis of financial decisions, financial risk management  and Statistics to students of MBA at Faculty of Management Studies. He teaches Quantitative Economics to probationers of Indian Economics Service at Institute of Economic Growth.

Over the years, he has delivered lectures on financial econometrics, computational finance, advanced quantitative methods, and advanced forecasting in India, USA and Europe. He has been regularly invited as a key speaker at IIM Lucknow, MDI, Gurgaon, National Labour Institute, National Academy of Customs Excise & Narcotics, National Academy of Direct Taxes, GAIL and National Institute of Criminology and Forensic Science. Dr. Sinha also has expertise in the area of Bayesian evaluation of forensic evidence and Probability of guilt. He is associated with the various training programmes for higher judicial officers, forensic scientists and police officers conducted by NICFSc, Ministry of Home affairs.

http://econpapers.repec.org/RAS/psi282.htm

Courses taught by Dr. Sinha:

  • Financial modeling, Forecasting and Quantitative Analysis of Financial   Decisions to MBA (II year) students.
  • Financial Derivatives and Financial Engineering to MBA (II year) students.
  •  Probability Theory and Statistical Methods to MBA (I year) students.
  • Financial Risk Management to MBA (II year) students
  • Econometrics and Research Methodology to Ph.D. students.
  • Quantitative Economics, Statistical Decision Making and Forecasting to Probationers of Indian Economics Service at Institute of Economic Growth.
  •  

    Education:
    Ph.D. in Bayesian Econometrics (1986-1992): University of Delhi
    Thesis title: Robustness of Statistical Prediction to Non Normal Prior Distributions
    Thesis Advisors: Prof. Ashok k Bansal
    Thesis Examiners: Prof. Seymour Geisser, University of Minnesota; Prof. Arjun Gupta, Bowling Green State University; Prof. S. K. Bhattacharya, University of Allahabad.
    M.Sc. (1982-84) in Statistics: Department of Mathematics and Statistics, University of Gorakhpur, specialisation in Econometrics and Mathematical Economics.
    First Position in the University.
    Qualified UGC(NET) Examination 1987 in Econometrics.
    Computational proficiency in C-programming, Matlab,EViewes, Stata, SPSS, SAS and WinBUGS.
    Areas of Interest/Specialisation:
    Bayesian econometrics, forecasting, financial econometrics, financial engineering, financial markets, financial mathematics, computational finance, financial risk management and investment analysis.
    Conferences/Seminars/Presentations:

    Participated in Case Writing and Course Development Seminar organized by Harvard Business School at Mumbai, March 12-15, 2012 Mumbai, India

    Participated in Harvard Business School's Global Colloquium on Participant-Centered Learning (GCPCL) held at Harvard Business School, Boston, July 24- July31, 2011, Boston USA.

    Sinha, Pankaj,(2010), Hedging Greeks for a portfolio of options using linear and quadratic programming. Paper presented at the International Symposium of Forecasting, June 19 - 23, 2010, San Diego, California.

    Sinha, Pankaj,(2007), Hierarchical Bayes prediction in Ray Fair’s Presidential Vote Model. Paper presented at the International Symposium of Forecasting,, June 24-27, 2007, New York.

    Sinha, Pankaj,(2007),Hierarchical Bayes Approach to Prediction in a Regression Model. Paper presented at the 43rd Annual Conference of the Indian Econometric society, January 5-7, 2007, IIT Bombay.

    Sinha, Pankaj,(2006),Hierarchical Bayes Approach to Prediction. Paper presented at the International Symposium on Economic Theory, Policy and Applications, August 21-23, 2006, Athens, Greece.

    Sinha, Pankaj, (1996), Bayes Estimates for Inverse Gaussian Distribution with Truncated Edgeworth Prior. Paper presented at the National Seminar on Bayesian Statistics and its Applications, April 6- 8, 1996, B.H.U., Varansi.

    Sinha, Pankaj,(1991),Sensitivity of Optimum Treatment Allocation To a Non-Normal Prior. Paper presented at the Fourth Valencia International Meeting on Bayesian Statistics, April 15-20, 1991, Peniscola, Spain.

    Other Professional Experience:
    Memberships of Professional Bodies:
    International Institute of Forecasters, New York
    Indian Society of Probability and Statistics
    Indian Econometrics Society
    Research Papers/Projects:

    1. Sinha Pankaj, Agnihotri Shalini, (2016), Investigating Impact of Volatility Persistence and Information Inflow on Volatility of Stock Indices Using Bivariate GJR-GARCH”, Global Business Review, 17(5) 1–17.

    2. Sinha, Pankaj & Sharma, Sakshi, 2016. "Determinants of bank profits and its persistence in Indian Banks: A study in a dynamic panel data framework," Journal of System Assurance Engineering and Management, DOI 10.1007/s13198-015-0388-9. (Springer)

    3. Sinha, Pankaj & Sharma, Sakshi & Sondhi, Kriti, ,(2016), "Market Valuation and Risk Assessment of Indian Banks using Black-Scholes -Merton Model”, Finance India Vol. XXX No 1, 65-84.

    4. Sinha Pankaj & Sharma Sakshi,(2016). “Operational risk : Impact Assessment of the revised standardized approach on Indian Banks, Journal of Operational Risk, vol. 11, No 2, 1-12.

    5. Vardhan, Harsh & Sinha, Pankaj, (2016). “Influence of Foreign Institutional Investments (FIIs) on the Indian Stock Market: An Insight by VAR Models”, Journal of Emerging Market Finance 15(1) 1–35.

    6. Sinha Pankaj, Agnihotri Shalini, 2015. "Impact of non-normal return and market capitalization on estimation of VaR", Journal of Indian Business Research, Vol. 7 Iss: 3, pp.222 – 242.

    7. Sinha, Pankaj & Mathur, Kritika, 2015. "Price, Return and Volatility Linkages of Base Metal Futures traded in India," International Research Journal of Finance and Economics, Issue 130.April 2015, 35-54.

    8. Vardhan, Harsh, Sinha, Pankaj and Vij, Madhu. 2015. Behavior of Indian sectoral stock price indices in the post-subprime crisis period”, Journal of Advances in Management Research, Vol. 12 Issue 1 pp. 15 – 29.

    9. Sinha, Pankaj & Kohli, Deepti. 2015, "Modeling exchange rate dynamics in India using stock market indices and macroeconomic variable, A. Global Business Review. PP 1-15.

    10. Sinha, Pankaj & Chandwani, Abhishek & Sinha, Tanmay. 2015. "Algorithm of construction of Optimum Portfolio of stocks using Genetic Algorithm,” International Journal of System Assurance Engineering and Management, vol6,issue 4, 447-465.

    11. Sinha, Pankaj & Mathur, Kritika, (2014). "Efficient Indian Commodity Markets – Need for Comprehensive Warehousing System," 'Agricultural Situation in India' Vol. LXXI No 8, 1-1

    12. Sinha, Pankaj & Mathur, Kritika (2013) Securities Transaction Tax and Stock Market - An Indian Experience " Finance India, Vol. xxvii, No 2, pp 441-452

    13. Sinha, Pankaj & Bansal, Vishakha (2013) Capital structure puzzle: the interrelationship between leverage, taxes and other microeconomic factors, International Research Journal of Finance and Economics, Issue 116 32-48.

    14. Sinha, Pankaj & Bansal, Vishakha (2013), “Role of personal taxes in capital structure decisions: Evidence from India”, Business and Economic Horizons, Volume 9 (3), November, 41-55.

    15. Sinha, Pankaj & Mathur, Kritika (2012), Evolution of Security Transaction Tax in India, International Journal of Intelligent Technologies and Applied Statistics, Vol.5, No.4, pp..405-422.

    16. Sinha, Pankaj, Sharma, Aastha & Singh, Harsh Vardhan (2012)Prediction for the 2012 United States Presidential election using multiple regression model, The Journal of Prediction Markets, 6 2, 78-98.

    17. Sinha, Pankaj & Goel, Lavleen (2012) Algorithm for construction of portfolio of stocks using Treynor’s ratio, Journal of Applied Research in Finance, Volume IV, Issue 1(7), 56-63.

    18. Sinha Pankaj, Gupta Sushant & Randev Nakul, (2011), Modeling & Forecasting Of Macro-Economic Variables Of India: Before, During & After Recession, Journal of Applied Economic Sciences, 6(1(15)/ Sp), pages 43-60.

    19. Sinha, Pankaj & Dutta, Dipanwita, 2011. "Modelling profitability of Indian banks," Research Journal of Social Sciences and Management, vol. 1. Number 4, 1-14.

    20. Sinha Pankaj , Gupta Akshay & Mudgal Hemant , (2010), Active Hedging Greeks of an Options Portfolio Integrating Churning and Minimization of Cost of Hedging Using Quadratic & Linear Programing, Journal of Prediction Markets, University of Buckingham Press, vol. 4(2), pages 1-14.

    21. Sinha, Pankaj and Johar, Archit,(2010), Hedging Greeks for a portfolio of options using linear and quadratic programming, Journal of Prediction Markets, 4(1),p;17-26.

    22. Sinha, Pankaj and Prabha, Jayaraman,(2010), Bayes reliability measures of Lognormal and inverse Gaussian distributions under ML-II -contaminated class of prior distributions, Defence Science Journal,60(4),21-29.

    23. Manjrekar, R. and Sinha, Pankaj,(2010), Myopic investment view of the Indian mutual fund industry, Economic and Political Weekly, XLV(26&27),13-17.

    24. Sinha, Pankaj, V Singh and V Gothi,(2010),Evaluation of riskiness of Indian Banks and probability of book value insolvency, International Research Journal of Finance and Economics,(38),p7-12.

    25. Sinha, Pankaj and Johar, Archit,(2009), Algorithm for payoff calculation for option trading strategies using vector terminology, Journal of Applied Economic Sciences, 4(2)p;273-281.

    26. Sinha, Pankaj and Bansal, Ashok,(2008), Bayesian Optimization Analysis with MLII -Contaminated Prior, Journal of Applied Statistics,35(3),p;203-211.

    27. Sinha, Pankaj and Bansal, Ashok,(2008), Hierarchical Bayes Prediction for the 2008 US Presidential Election, Journal of Prediction Markets,2(3),p 47-59.

    28. Bansal, Ashok and Sinha, Pankaj,(1993),Robustness of Predictive Density and Optimal Treatment Allocation to Non-Normal Prior for the Mean, Journal of the Korean Statistical Society,22(2),p235-247.

    29. Bansal, Ashok and Sinha, Pankaj,(1992), Sensitivity of Bayesian Sampling Inspection Schemes to a Non-Normal Prior Distribution, Journal of Applied Statistics, 19(1),p103-109.

    30. Bansal, Ashok and Sinha, Pankaj,(1992), Sensitivity of Bayes Estimates of Reliability and Reliable Life to a Non-Standard Prior, Defence Science Journal,42(2), p121-125.

    Work in Progress/Assignment Undertaken:

    1. Sinha, Pankaj & Mathur, Kritika, 2016. "Impact of Global Financial Crisis and Implied Volatility in the Equity Market on Gold Futures Traded on Multi Commodity Exchange, India," MPRA Paper 72966, University Library of Munich, Germany.

    2. Sinha, Pankaj & Sharma, Sakshi, 2016. "Relationship of financial stability and risk with market structure and competition: evidence from Indian banking sector," MPRA Paper 72247, University Library of Munich, Germany.

    3. Sinha, Pankaj & Mathur, Kritika, 2016. "Empirical Analysis of Developments in the Day Ahead Electricity Markets in India," MPRA Paper 72969, University Library of Munich, Germany.

    4. Sinha, Pankaj & Sharma, Sakshi, 2016. "Derivative use and its impact on Systematic Risk of Indian Banks: Evidence using Tobit model," MPRA Paper 72251, University Library of Munich, Germany.

    5. Sinha, Pankaj & Mathur, Kritika, 2016. "Linkages between Gold Futures Traded in Indian Commodity Futures Market and International Commodity Futures Market," MPRA Paper 72967, University Library of Munich, Germany.

    6. Sinha, Pankaj & Agnihotri, Shalini, 2015. "Macroeconomic risk and firms financing decision: An empirical panel data investigation using system GMM," MPRA Paper 67088, University Library of Munich, Germany, revised 30 Sep 2015.

    7. Sinha, Pankaj & Sharma, Sakshi & Ghosh, Sayan, 2015. "An empirical analysis of competition in the Indian Banking Sector in dynamic panel framework," MPRA Paper 68556, University Library of Munich, Germany, revised 28 Dec 2015.

    8. Vardhan, Harsh & Sinha, Pankaj, 2015. "Influence of Macroeconomic Variable on Indian Stock Movement: Cointegration Approach," MPRA Paper 64369, University Library of Munich, Germany, revised 10 May 2015

    9. Sinha, Pankaj & Mathur, Kritika, 2015. "Impact of Commodities Transaction Tax on Indian Commodity Futures," MPRA Paper 63677, University Library of Munich, Germany.

    10. Vardhan, Harsh & Sinha, Pankaj, 2015. "Influence of Macroeconomic Variable on Indian Stock Movement: Cointegration Approach,"MPRA Paper 64369, University Library of Munich, Germany, revised 10 May 2015

    11. Sinha, Pankaj & Agnihotri, Shalini, 2014. "Investigating impact of volatility persistence, market asymmetry and information inflow on volatility of stock indices using bivariate GJR-GARCH," MPRA Paper 58303, University Library of
    Munich, Germany.

    12. .Sinha, Pankaj & Bansal, Vishakha, 2014. "Interrelationship between taxes, capital structure decisions and value of the firm: A panel data study on Indian manufacturing firms," MPRA Paper 58310, University Library of Munich, Germany, revised 30 Jul 2014.

    13. Sinha, Pankaj & Sharma, Sakshi, 2014. "Determinants of bank profits and its persistence in Indian Banks: A study in a dynamic panel data framework," MPRA Paper 61379, University Library of Munich, Germany, revised 16 Jan 2015.

    14. Sinha, Pankaj & Agnihotri, Shalini, 2014. "Sensitivity of Value at Risk estimation to NonNormality of returns and Market capitalization," MPRA Paper 56307, University Library of Munich, Germany, revised 26 May 2014.

    15. Vardhan, Harsh & Sinha, Pankaj, 2014. "Influence of Foreign Institutional Investments (FIIs) on the Indian stock market," MPRA Paper 53611, University Library of Munich, Germany.

    16. Sinha, Pankaj & Singhal, Anushree, 2013. "FDI in Retail in India: An Empirical Analysis," MPRA Paper 46833, University Library of Munich, Germany.

    17. Sinha, Pankaj & Mathur, Kritika, 2013. "A study on the Price Behavior of Base Metals traded in India," MPRA Paper 47028, University Library of Munich, Germany.

    18. Sinha, Pankaj & Mathur, Kritika, 2013. "Price, Return and Volatility Linkages of Base Metal Futures traded in India," MPRA Paper 47864, University Library of Munich, Germany.

    19. Sinha, Pankaj & Sharma, Sakshi & Sondhi, Kriti, 2013. "Market Valuation and Risk Assessment of Indian Banks using Black -Scholes -Merton Model," MPRA Paper 47442, University Library of Munich, Germany.

    20. Sinha, Pankaj & Singhal, Anushree & Sondhi, Kriti, 2012. "Economic scenario of United States of America before and after 2012 U.S. Presidential Election," MPRA Paper 41886, University Library of Munich, Germany.

    21. Sinha, Pankaj & Thomas, Ashley Rose & Ranjan, Varun, 2012. "Forecasting 2012 United States Presidential election using Factor Analysis, Logit and Probit Models," MPRA Paper 42062, University Library of Munich, Germany.

    22. Sinha, Pankaj & Goyal, Lavleen, 2012. "Algorithm for construction of portfolio of stocks using Treynor’s ratio," MPRA Paper 40134, University Library of Munich, Germany.

    23. Sinha, Pankaj & Bansal, Vishakha, 2012. "Algorithm for calculating corporate marginal tax rate using Monte Carlo simulation," MPRA Paper 40811, University Library of Munich, Germany.

    24. Sinha, Pankaj & Jayaraman, Prabha, 2012. "[Empirical Analysis of the Forecast Error Impact of Classical and Bayesian Beta Adjustment Techn," MPRA Paper 37662, University Library of Munich, Germany.

    25. Sinha, Pankaj & Arya, Deepshikha & Singh, Shuchi, 2012. "Evolution of Financing Needs in Indian Infrastructure," MPRA Paper 38741, University Library of Munich, Germany.

    26. Sinha, Pankaj & Arora, Varun & Bansal, Vishakha, 2011. "Determinants of Public Debt for middle income and high income group countries using Panel Data regression," MPRA Paper 32079, University Library of Munich, Germany.

    27. Sinha, Pankaj & Gupta, Sushant, 2011. "Mergers and Acquisitions: A pre-post analysis for the Indian financial services sector," MPRA Paper 31253, University Library of Munich, Germany.

    28. Sinha, Pankaj & Gupta, Akshay, 2011. "Analysis of WIMAX/BWA Licensing in India: A real option approach," MPRA Paper 31280, University Library of Munich, Germany.

    29. Sinha, Pankaj & Sharma, Gopalakrishna & Shah, Akash & Singh, Abhijeet, 2011. "Algorithms for merging tick data and data analysis for Indian financial market," MPRA Paper 32058, University Library of Munich, Germany.

    30. Sinha, Pankaj & Mudgal, Hemant, 2011. "Valuation of 3G spectrum license in India: A real option approach," MPRA Paper 31281, University Library of Munich, Germany.

    31. Sinha, Pankaj & Sinha, Gyanesh, 2010. "Volatility Spillover in India, USA and Japan Investigation of Recession Effects," MPRA Paper 21873, University Library of Munich, Germany.

    32. Sinha, Pankaj, Chandwani, Abhishek&Sinha, Tanmay, 2013. "Algorithm of construction of Optimum Portfolio of stocks using Genetic Algorithm," MPRA Paper 48204, University Library of Munich, Germany.

    33. Sinha, Pankaj&Mathur, Kritika, 2013. "A study on the Price Behavior of Base Metals traded in India," MPRA Paper 47028, University Library of Munich, Germany.

    Projects Supervised

    Name of Student Course Title of Project

    Pooja Kapoor, MBA(FT), Exchange rate modeling and forecasting: a perspective on emerging economies of Brazil, India and China.

    Nikhil Bhiwapurkar, MBA(FT), Equity Research on Banking sector stocks in India.

    Deepika Karpurapu, MBA(FT), Modeling and forecasting the spot prices of the commodity natural gas in the Indian context

    Seema Rao, MBA(FT), Modeling and forecasting interest rates in India

    Amrit Pal Singh, MBA(FT),To analyze the impact of India’s trade liberalization policy on the manufacturing sector through improvements in productivity.

    Arvind Padmanabhan, MBA(FT), Carbon Trading: Industry analysis and trends.

    Dhruv Gadh, MBA(FT), Modeling and forecasting of stock market volatility: a comparative study of the BRIC economies.

    Ahana Namburi, MBA(FT), Forecasting Oil price volatility.

    Aditi Jasia, MBA(FT), To assess the relationship between FDI inflow and GDP of Indian economy.

    Rishi Gadia, MBA(FT), The misconceptions, approaches and methodologies used in the valuation

    Vishal Gupta, MBA(FT),Valuation of Companies in the emerging market.

    Nikhil Burange, MBA(FT), Style analysis of Indian mutual funds.

    Anuk Manchanda, MBA(FT), Volatility: forecasting, application and mitigation

    Ritika Rana, MBA(FT), The best way to mitigate volatility

    Aniket Deshkar, MBA(FT), List parameters for portfolio construction and construct a portfolio of Indian stocks

    Nimisha Srivastava, MBA(FT),Modeling and forecasting stock market volatility of S&P CNX Nifty index and informational Efficiency of the options market.

    Karan Achpal, MBA(FT), A study of the impact of macro-economic variables on Indian stock index returns
    Shubha Acharya, MBA(FT),Futures trading- comparison of portfolio hedging effectiveness using Nifty and individual stock futures

    Shashi Shankar, MBA(FT),Interest rate modelling

    Nikhil Aggarwal, MBA(FT), Evaluating technical analysis as a successful tool for equity investment

    Presnjit Paik, MBA(FT), Valuation of stocks and bonds

    Prashant Maheshwari, MBA(FT), Modelling the relationship between crude oil spot and future prices

    Kaushik Kishore, MBA(FT),Impact of crude oil prices on S&P CNX 500 index

    Vartika Nijhawan, MBA(FT), Relationship between exchange rate and stock prices in India

    Barnali Saha, MBA(FT), Hedging effectiveness of currency futures

    Pooja Makhija, MBA(FT), (1)Yield curve forecasting (2) Stock market and exchange rate correlation in India

    Binay Kumar Singh, MBA(PT), Merger and Acquisition in telecom industry: a financial perspective

    Pulak Neog, MBA(PT), A Study of a techno-economic model for hydrocarbon exploration investments opportunities evaluation and exploration project portfolio optimization

    Vimal kumar Malviya, MBA(PT), A study of feasibility of public private partnership (PPP) projects

    Yeshwant Andurkar, MBA(PT), Modelling and forecasting rupee-dollar exchange rate time series, with reference to inflation indices in India and USA

    Gyanesh Sinha, MBA(FT), "Volatility Spillover in India, USA and Japan Investigation of Recession Effects”

    Namrata Saigal, MBA(FT),“Performance Evaluation Research and Risk Analysis of Indian Banks”

    Sushil Pasricha, MBA(FT),“Analysis and testing of multi factor models on Indian stock markets”

    Arup Kumar Das, MBA(FT), Analyzing the risk-taking behavior of the hedge fund industry in relation with financial derivatives

    Rahul Kallepalli, MBA(FT),“Real options Valuation for Strategic Decision Analysis”

    Min Hyuk Lim, MBA(FT), “The impact of Macroeconomic variables on Stock market Indices in Korea”

    Vidhi Srivastav, MBA(FT),“India in the great recession – Study of impact on macroeconomic variables and indications for the future”

    Poonam Bhat, MBA(FT), “Impact of inflation on stock market volatility in India”

    Madhukar Jha, MBA(FT), "Modeling and Forecasting Interest rate of India and China”

    Sougata Roy, MBA(FT), “Credit Derivatives – Trend opportunities and challenges in India”
    Siddharth Singh, MBA(FT), “Quantitative Analysis of Merger and Acquisition Deals “

    Rajeev Kumar Singh, MBA(PT), “Project Finance Structuring and Feasibility for a Renewable power plant (Wind Energy) to be set up under a Public Private Partnership framework”

    Amit Jain, MBA(PT), "Forecasting of Interurban Travel Demand”

    Anokha Sharma, MBA(PT), “Study of Effects of Macro Economic Variables on Stock Markets in India”

    Prem Prakash, MBA(PT), “Financial restructuring and revenue modeling of downstream power companies”