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BIO-SKETCH
Dr. Pankaj Sinha is an Associate Professor at Faculty of Management Studies. He received his Ph.D. degree in Bayesian Econometrics from University of Delhi. Dr. Sinha’s research, professional and teaching interests revolve around the areas of Bayesian econometrics, financial forecasting, financial engineering, financial mathematics, 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 and Statistics to the students of MBA at the Faculty of Management Studies. He teaches Quantitative Economics to probationers of Indian Economics Service at the 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, 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.
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.
Marks 72.3%, First Position in the University.
Qualified UGC(NET) Examination 1987 in Econometrics.
Computational proficiency in C-programming, EViewes, Stata, SPSS, SAS and WinBUGS.
CURRENT JOB PROFILE
Associate Professor, Faculty of Management Studies, University of Delhi since July 2007.
Job description:
- Teaching Financial modeling, Forecasting and Quantitative Analysis of Financial Decisions to MBA (II year) students.
- Teaching Financial Derivatives and Financial Engineering to MBA (II year) students.
- Teaching Probability Theory and Statistical Methods to MBA (I year) students.
- Teaching Econometrics and Forecasting to Ph.D. students.
- Teaching Quantitative Economics, Statistical Decision Making and Forecasting to Probationers of Indian Economics Service at Institute of Economic Growth since 2004.
- Delivers series of lectures on Quantitative Analysis for Management at IIM, Lucknow (Noida campus).
- Key speaker on Derivatives pricing and Trading Strategy in Quality Improvement Programmes (QIP) for Management Teachers conducted by MDI Gurgaon.
- Key speaker on Quantitative Analysis of Managerial Decisions at MDPs conducted by FMS for GAIL, NACEN and postal Department.
- Key speaker on Quantitative Techniques in Labour Research in various refresher courses at V.V. Giri National Labour Institute, Noida.
PAST WORK EXPERIENCE
Reader (Associate Professor), 2002-2007 Department of Statistics, Kirori Mal College, University of Delhi..
Job description:
- Taught Probability Theory, Linear Models, Statistical Methods and programming in C to B.Sc.(Hons.) Statistics students at Kirori Mal College.
- Taught Econometrics and Forecasting to M. Phil and Master of Business Economics Students at Department of Business Economics, University of Delhi (south campus) since 2004.
- Taught Statistical Decision Making and Forecasting to Probationers of Indian Economics Service at Institute of Economic Growth since 2004.
- Taught Bayesian Approach to Evaluation of Evidence, Discriminatory Power, Probability of guilt, Value of evidence and Transfer of evidence to forensic scientists, police officers and Judges at National Institute of Criminology and Forensic Science since 2004.
- Key speaker on Quantitative Techniques in Labour Research in various Refresher courses at V.V. Giri National Labour Institute, Noida since 2004
Senior Lecturer, 1998-2002, Kirori Mal college, University of Delhi
Lecture, 1992-1998 Kirori Mal College, University of Delhi, India
Senior Research Fellow (UGC), 1989-1992, Department of Statistics, University of Delhi, India
Junior Research Fellow (UGC), 1987-1989, Department of
Statistics, University of Delhi, India
Lecturer 1984-1986 Department of Mathematics and Statistics, University of Gorakhpur, India
AWARDS
Gold Medal for First Position in the University in M.Sc. (Statistics) Examination.
Junior and Senior Research Fellowship of UGC 1987-1992
MAJOR AREAS OF RESEARCH
Bayesian econometrics, financial econometrics and financial forecasting, financial mathematics and computational finance.
PAPERS PUBLISHED IN REFERRED INTERNATIONAL JOURNALS
- Sinha, Pankaj and Johar Archit. 2010. Hedging Greeks for a portfolio of options using linear and quadratic programming. Journal of Prediction Markets. 4(1):17 -26.
- Sinha, Pankaj and Prabha, Jayaraman. 2010. Bayes reliability measures of Lognormal and inverse Gaussian distributions under ML-II ε-contaminated class of prior distributions. Defence Science Journal. 60(4): 4421-450.
- Manjrekar, R. and Sinha, Pankaj. 2010. Myopic investment view of the Indian mutual fund industry. Economic and Political Weekly.XLV,NOS 26&27:13.
- Sinha, Pankaj, Singh, V. and Gothi, V. 2010. Evaluation of riskiness of Indian Banks and probability of book value insolvency. International Research Journal of Finance and Economics. 5(4,issue 38):7-12.
- Sinha, Pankaj and Johar, Archit. 2009. Algorithm for payoff calculation for option trading strategies using vector terminology. Journal of Applied Economic Sciences. 4(2): 273-281.
- Sinha, Pankaj and Bansal, Ashok. 2008. Bayesian Optimization Analysis with ML II Î -Contaminated Prior. Journal of Applied Statistics. 35(3): 203-211.
- Sinha, Pankaj and Bansal, Ashok. 2008. Hierarchical Bayes Prediction for the 2008 US Presidential Election. Journal of Prediction Markets. 2(3): 47-59.
- 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): 235-247.
- Bansal, Ashok and Sinha, Pankaj. 1992. Sensitivity of Bayesian Sampling Inspection Schemes to a Non Normal Prior Distribution. Journal of Applied Statistics. 19(1): 103-109.
- 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): 121-125.
Working Papers
- Sinha, Pankaj & Jayaraman, Prabha, 2009. "Bayes reliability measures of Lognormal and inverse Gaussian distributions under ML-II ε-contaminated class of prior distributions," MPRA Paper 16528, University Library of Munich, Germany.
- Sinha, Pankaj & Jayaraman, Prabha, 2009. "Robustness of Bayesian results for Inverse Gaussian distribution under ML-II ε-contaminated and Edgeworth Series class of prior distributions," MPRA Paper 15396, University Library of Munich, Germany.
- Sinha, Pankaj & Bansal, Ashok, 2008. "Hierarchical Bayes prediction for the 2008 US Presidential election," MPRA Paper 10470, University Library of Munich, Germany.
- Sinha , Pankaj & Johar, Archit, 2009. "Algorithm for payoff calculation for option trading strategies using vector terminology," MPRA Paper 15264, University Library of Munich, Germany.
Conference Presentations
- Sensitivity of Optimum Treatment Allocation To a Non-Normal Prior, at Fourth Valencia International Meeting on Bayesian Statistics, Peniscola, Spain 15-20 April, 1991.
- Bayes Estimates for Inverse Gaussian Distribution with Truncated Edgeworth Prior, at National Seminar on Bayesian Statistics and its Applications, B.H.U., Varansi, 6- 8 April, 1996.
- Hierarchical Bayes Approach to Prediction at International Symposium on Economic Theory, Policy and Applications, Athens, Greece on 21-23 August 2006.
- Hierarchical Bayes prediction in Ray Fair’s Presidential Vote Model at 43rd Annual Conference of the Indian Econometric society, IIT Bombay 5-7 January 2007
- Hierarchical Bayes Approach to Prediction in a Regression Model at International Symposium of Forecasting held at New York on June 24-27, 2007.
- 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
OTHER ATTENDED INTERNATIONAL CONFERENCES
- Raj Chandra Bose Symposium on Probability, Statistics and Design of Experiments, organised by ISI, University of Delhi and ISRI. Delhi December 27-30, 1988.
- Recent Developments in Probability and Statistics, ISI and Delhi University, December 22-24, 1990.
- Seventh International Conference on Multivariate Analysis and Workshop on Generalized Inverse, ISI and University of Delhi December 11-16, 1992
- International Conference on Teaching and Research in Statistics for 21st Century. Organised by University of Akron (USA), ISI, Delhi and Delhi University, January8-10, 2000
SOFTWARE
Developed an algorithm and software to graph and calculate the payoff of investment positions in the option market involving various sophisticated option strategies. The program is written in visual C and implemented on .NET (communicating for patent)
BOOKS
- An Introduction to Financial Econometrics and Forecasting using Eviews and SAS (under writing stage)
- An Introduction to Stochastic Finance and options: strategies, pricing and hedging (under writing Stage)
PROJECTS
UGC Research Project: “Bayesian approach to Prediction”
2007-2009 Working on forecasting unemployment rate, Inflation rate and exchange rate in Bayesian Setup.
MEMBERSHIP
- Indian society of Probability and Statistics
- Indian Econometrics Society
- International Institute of Forecasters, New York
LIST OF 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
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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”
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Prem Prakash |
MBA(PT) |
“Financial restructuring and revenue modeling of downstream power companies” |
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FACULTY
