Browsing by Author "Virmani, Vineet"
Now showing items 1-20 of 62
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Analysis of select hedge fund strategies: key drivers and risk management
Katiyar, Rishabh; Rawat, Siddharth (Indian Institute of Management Ahmedabad, 2016) -
Are investors ethics agnostic?
Jaikumar, Saravana; Pingali, Viswanath; Virmani, Vineet (Indian Institute of Management Ahmedabad, 2015)In this paper we ask if the perception investors have regarding ethical nature of the management per se influences their action. In order to check for rent seeking behaviour that could arise when there is negative perception ... -
Assessing NSE’s Daily Zero Coupon Yield Curve Estimates: A Comparison with Few Competing Alternatives
Virmani, Vineet (2009-09-01)This study assesses and compares, on select criteria of evaluation, the time series of daily term structure estimates provided by the National Stock Exchange (NSE) [using the Nelson-Siegel (1987; NS) methodology] with ... -
Attitudes towards risk of forest dependent communities evidence from Andhra Pradesh
Sundar, B.; Virmani, Vineet (Indian Institute of Management Ahmedabad, 2013)This study is an attempt to generate empirical evidence on attitude towards risk of forest dependent communities (FDCs). The FDCs covered in the study include two different geographical regions from the Indian state of ... -
Behavioural determinants behind health insurance purchase
Garg, Rahul K.; Jand, Rahul (Indian Institute of Management Ahmedabad, 2012-09-27) -
Catastrophe risk financing
R., Indu (Indian Institute of Management Ahmedabad, 2016)Given the increasing number of catastrophes and scale of loss as a result of these catastrophes, Catastrophe Insurance has gained significance in the last two decades. The traditional catastrophe risk transfer market, ... -
Characterizing nse's nifty returns, volatility and vix: statistical properties and stylized facts
Teotia, Gaurav Singh; Prakash, Jay; Mathankar, Prasad; Garhwal, Rohit (Indian Institute of Management Ahmedabad, 2012-08-22) -
Comparing corporate bankruptcies: Bhushan steel & Bethlehem steel
S., Sriram; Rahul, Jeldi Ratan (Indian Institute of Management Ahmedabad, 2019)Under the new IBC, many firms are going through bankruptcy process. This code has gone through major amendments based on market response to bankruptcies. Hence a comparison of this process with a mature bankruptcy process ... -
Computational finance using QuantLib-Python
Varma, Jayanth R.; Virmani, Vineet (IEEE Computer Society, 2016)Given the complexity of over-the-counter derivatives and structured products, almost all derivatives pricing today is based on numerical methods. Large financial institutions typically have their own teams of developers ... -
Construction of hypothetical scenarios for central counterparty stress tests using vine copulas
Bhanu, Aniket; Virmani, Vineet (Infopro Digital Services, 2023-09-04)Central counterparties carry out stress tests using historical and hypothetical stress scenarios to assess the adequacy of their default management resources. Parametric models for the construction of hypothetical stress ... -
Derivatives pricing using QuantLib: an introduction
Varma, Jayanth R.; Virmani, Vineet (Indian Institute of Management Ahmedabad, 2015)Given the complexity of over-the-counter derivatives and structured products, al- most all of derivatives pricing today is based on numerical methods. While large fi- nancial institutions typically have their own team of ... -
Distribution of Cross-Section of Price Changes and Measurement of Inflation
Virmani, Vineet (2009-09-02)In this study we look at the statistical properties of components forming the Wholesale Price Index (WPI), the headline inflation index for the Indian economy. We find that not only is the distribution of price changes at ... -
Do low risk stocks give higher returns in Indian market?
Lathi, Vinay (Indian Institute of Management Ahmedabad, 2017)Since, the advent of ‘Capital Asset Pricing Model (CAPM)’ in 1965, factor theory has been the most widely accepted framework of understanding return on financial assets. As rightly explained by Andrew Ang in his book on ... -
Dynamics of the volatility surface
Kushwah, Aseem; Seth, Gunjan (Indian Institute of Management Ahmedabad, 2016)Our project aims to analyze the volatility surface observed in options market. The intricacies of the volatility surface have challenged the traders and academicians across the world for the last 25 years. In our project, ... -
Effect of monetary policy on stock markets and vice-versa: Issues and evidences
Prateek, Pranay (Indian Institute of Management Ahmedabad, 2012-09-12) -
EQ-IR Hybrid Models For Pricing Autocallable Structures
Nag, Rohan; Garg, Sameer (Indian Institute of Management Ahmedabad, 2013)This project investigates the effect of EQ-IR correlation in pricing autocallable structures. We implement a hybrid Hull- White model to empirically demonstrate and quantify the effect of such a correlation on the price ... -
Estimating output gap for the Indian economy: comparing results from unobserved - components models and the Hodrick - Prescott filter
Virmani, Vineet (2010-03-31)Output gap estimates are constructed for India using unobserved components model (UCM) approach on the lines of Watson (1986) and Kuttner (1994). Results from UCMs are not found to be any less sensitive to data revisions ... -
Examination of the credit channel of monetary transmission in India : results from response of commercial bank' balance sheet to a monetary policy stock
Virmani, Vineet (2009-12-12)In this study I present some evidence on the credit channel of monetary transmission in India. Using the set up of Bernanke and Blinder (1992) it is found that loans, investments and deposits of commercial banking system ... -
Fan charts as useful "maps" for an inflation - targeting central bank: an illustration of the Sveriges Riksbankszs method for presenting density forecasts of inflation
Virmani, Vineet (2010-03-31)In this study I illustrate the usefulness of Fan Charts for a central bank and show how they can be used to present its viewpoint on likely paths of future inflation. Exploiting a bivariate unobserved components model, ... -
Finance without spreadsheets
Virmani, Vineet (2016-03-14)