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Academics

Academic Background:

B. Tech. (IIT Kharagpur), Ph.D. (IIM Ahmedabad)

Courses Taught:

IIM Kozhikode: 2020-21 Corporate Finance Financial Markets Fixed Income Securities Security Analysis & Portfolio Management Financial Econometrics Financial Modeling

Experience

Work Experience:

Research

Journal Publications:

• Kumar, S., Agarwalla, S. K., Varma, J. R., & Virmani, V. (2023). Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach. The Journal of Futures Markets, 43, 1615–1644. https://doi.org/10.1002/fut.22450

   

• Kumar, S., & Virmani, V. (2021). Term structure estimation with liquidity-adjusted Affine Nelson Siegel model: A nonlinear state space approach applied to the Indian bond market. Applied Economics, 1-22. 
   
• Kumar, S., Bansal, A., Chakrabarti, A.S. Ripples on financial networks. The European Journal of Finance 2020a;0(0):1–22. URL: https://doi.org/10.1080/1351847X.2020.1835686. 
   
• Kumar, S., Di Matteo, T., Chakrabarti, A.S. Disentangling shock diffusion on complex networks: identification through graph planarity. Journal of Complex Networks 2020b;8(3). URL: https://doi.org/10.1093/comnet/cnaa023. 
   
• Chakrabarti, A.S., Kumar, S. A computational algorithm to analyze unobserved sequential reactions of the central banks: 
  inference on complex lead–lag relationship in evolution of policy stances. Journal of Computational Social Science 2020;3(1):33–54. URL: https://link.springer.com/article/10.1007/s42001-019-00052-w

Research Interests:

Fixed Income, Macro-Finance, Financial Network, Quantitative Finance, Derivative