RESUME OF ANINDYA CHAKRABARTY

www.linkedin.com/Anindya Chakrabarty www.facebook.com/ Anindya Chakrabarty www.researchgate.in/Anindya Chakrabarty

Anindya Chakrabarty

C-1102, Rohan Lehar , Baner

Pune-411045, Maharashtra,

India.

(+91)9923447128

[email protected]/

[email protected]

RESEARCH METRICS

Citation

Indices All Since 2010

Citations 40 40

h-index 4 4

Source: Google Scholar

TESTIMONIAL

“I know Anindya Chakrabarty as a

good colleague, co-author of

several articles, a brilliant teacher

and most important is that he is

highly ethical in his approach. If

Anindya is well motivated and

directed then he can do wonder. I

remember when he was initially

reluctant to write a review paper.

But when I persuaded him and then

he did wonderful work. Rest

everybody knows that the review

paper got published in reputable

Physica journal”

Dr. Rameshwar Dubey,

Associate Professor-Research at

Symbiosis International University Source: www.linkedin.com/Anindya

Chakrabarty

Dr. ANINDYA

CHAKRABARTY PhD. Quantitative Finance.

Lead Quantitative Analyst, Department of

Quantitative Research,CRISIL Global Research &

Analytics SUMMARY

An accomplished Quantitative Analyst, Researcher and Academician,

with over 10 years of rich experience in Financial Econometric, Financial

Engineering, Banking and Academics. Currently working as Lead

Quantitative Analyst at CRISIL-Global Research and Analytics, Pune. Last

stint before CRISIL was with Symbiosis Institute of Business Management,

Pune. Conducted a series of MDPs on Financial Engineering and

Analytics for employees of Credit Suisse, Pune and had been invited to

chair a session at India Finance Conference at Indian Institute of

Management, Bangalore.

PROJECT EXPERIENCE AT CRISIL

MARKET RISK MODEL VALIDATION (In New York, USA) ( Sept-2016- Dec-2016)

Managed a team of 3 members in a project involving validation of Value-

at-Risk model for a multinational investment bank in New York, USA. The

project encompasses the validation of the PnL vectors (developed using

Partial-revaluation, Full-revaluation and Sensitivity based approach),

Validation of VaR/SVaR implementation, review of model governance, VaR

backtesting, development of validation document in line with SR-11-7

requirements.

MARKET RISK MODEL DEVELOPMENT (Mar-2015 – Sept-2016)

Involved in the Scenario Remediation Project for a reputable multinational

Investment bank since March-2015 wherein my responsibility was to develop

Macro Factor Based Econometric Forecasting Models for Risk-Factors like

Interest Rates, Credit Spread, VIX, Foreign Exchange rates, Equity prices etc.

The objective was to develop reliable models, based upon sound economic

principles, which can successfully map the macroeconomic variations to

the movements of the risk factors. The models will be used to generate

scenarios for stressed testing in line with the Comprehensive Capital Analysis

and Review (CCAR) guidelines. The models that have been explored

include Multiple Linear Regressions, Vector Error Correction Models, Kernel

Regression, Auto-Regressive Distributed Lag Model (ARDL) and Markov-

Regime Switching Models. Further a non-linear and non-parametric

cointegration and VECM framework had been developed during the

project work using the kernel density estimation techniques. This framework

provides optimal solution in situations where the absence of linear

cointegrating relationship among the variables prevented the usage of

error correction mechanism. An exhaustive framework for acceptance

criteria had been developed in-house to examine the validity, stability and

mailto:[email protected]

http://www.linkedin.com/Anindya


CORPORATE AWARDS

CRISILites Award for

Performance (MAY-2015)

“Anindya has used his expertise

in statistics to carry out scenario

generation model building

exercise in a very efficient

manner, particularly the R –

programs that he has

developed and also the

comprehensive research he

carried out for the project.

Client has appreciated his

insight in multiple linear

regression models and

associated concepts. He has

performed his duties well and

also risen to the challenging

deadlines for this project.”

CRISIL Award Citation

(MAY 2015)

CRISIL Award for Analytical

Excellence ,Q3,2015 (NOV-2015)

“Anindya has used his expertise

in Statistics to carry out scenario

generation model building

exercise in a very efficient

manner. He has made critical

contributions to the project,

bringing his expert knowledge

and understanding of

advanced statistics to much use

in the model development

process. He has quickly gained

recognition and trust of the

client for his analytical prowess.

He has performed his duties well

and also risen to the challenging

deadlines for this project.

Anindya embodies the CRSIL

spirit of constant discovery,

reliable analysis and insightful

dialogues.”


(NOV 2015)

reliability of the developed models. The framework includes -out-of-the

sample performance analysis(using RMSE, RRMSE, MAPE as performance

metrics), the development of random-block stationary bootstrapped

confidence intervals for the model parameters & performance metrics,

rigorous full cross validation (in line with the K-fold cross validation principle),

Quandt Andrew’s test ( Rolling Chow’s test) for detection of structural

breaks, stressed testing ,sensitivity analysis, Johansen’s test and Engle

Granger test for Cointegration, etc.

RESEARCH ARTICLES PUBLISHED

1. “Investment horizon heterogeneity and wavelet: Overview and further

research directions”. Physica A: Statistical Mechanics and its Applications

[ELSEVIER], 429, 45-61. Impact Factor: 1.732.

2. “A theoretical model of Jump Diffusion-Mean Reversion –Constant

Proportion Portfolio Insurance strategy under the presence of transaction

cost and stochastic floor”, Accepted for publication at Business Process

Management Journal, [EMERALD], Indexed in ESCI (Thomson Reuters), ABS,

and ABDC.

3. “A flexible approach towards multi-frequency re-engineering of the

moving average convergence divergence indicator”, Global Journal of

Flexible System Management, Volume 15, Issue 3, pp 219-234 [SPRINGER].

4. An Excursion towards Multi-frequency-Prediction Based Flexible Asset

Allocation System. Global Journal of Flexible Systems Management,

[SPRINGER] 16(2), 173-190.

5. " A wavelet based MRA-EDCC-GARCH methodology for the detection of

news and volatility spillover across sectoral indices - evidence from the

Indian financial market”, Global Business Review, 16(1), 35-49 [SAGE].

6. “Horizon Heterogeneity, Institutional Constraint and Managerial Myopia: A

Multi-frequency perspective on ELSS”, International Journal of Business

Excellence, 9(1), 18-47. [INDERSCIENCE U.K].

7.“Role of Innovative Supply Chain Practices and Total Quality

Management (TQM) on performance of Indian cement manufacturing firms

-An Empirical study”, Polish Journal of Management Studies, Volume-4, 2011.

8. “Promotional mix and corporate performance-An empirical analysis of

Indian firm”, Paradigm, volume XIV, No.1, January-June, 2010, [SAGE].

9. Ubiquitous Manufacturing: Overview, Framework and Further Research

Directions, International Journal of Computer Integrated Manufacturing,

DOI: 10.1080/0951192X.2014.1003411. [TAYLOR & FRANCIS], Impact Factor:

1.012.

10. World Class Sustainable Manufacturing: Framework and a Performance

Measurement System, International Journal of Production Research, 53(17),

5207-5223. [TAYLOR & FRANCIS], Impact Factor: 1.477.

11. “Long run financial market co integration and its effect on International

portfolio diversification”, Indian Journal of Finance, Volume 5, Number-4,

April, 2011.


CRISIL Corporate Award for

Customer Delight ,Q3, 2016

(Team award)

“Scenario Generation Expansion

team worked on a critical client

project which extended over a

period of 20 months. This team

carried out cutting edge model

development work for the client

which passed client's internal

validation process with no

significant caveats. The work

done by the team has been

appreciated by the client on

multiple occasions and led to

increase in scope of work for the

team. Additional work on

Systemic Risk Analysis, Scenario

Design, Automation tools for

planning within Risk Appetite

Framework was successfully

completed within a short time

span and with much accolades

received from the client. This

team completed the stipulated

work and did a successful

handover to the client's team at

the end of the project cycle.

Client has shared positive

feedback and shown interest in

recruiting our teams for future

work”.


(NOV 2016)

PhD. TOPIC

Wavelet based multi-horizon

investment analysis in an

economy dominated by

heterogeneous agents

REVIEWER International Journal of Computer

Integrated Manufacturing, TAYLOR

& FRANCIS.

European Journal of Operation

Research, ELSIVIER.

Global Journal of Flexible System

Management, SPRINGER.

12. “Empirical analysis of the borrowing behavior of Indian firms on the

backdrop of the pecking order model”, Indian Journal of Finance, Volume

5, Number-12, and December, 2011.

CONFERENCE PUBLICATION

1. Presented paper titled “Designing and valuation of option based capital

protection fund using Monte-Carlo Simulation” at India Finance

Conference, 2011, conducted jointly by IIM, Bangalore and IIM, Calcutta.

Invited to chair a session at the India Finance Conference, 2011 at IIM

Bangalore.

WORKSHOPS ATTENDED

1. Optimizations Methods & Risk Analysis: Applications in Finance- Workshop

conducted jointly by IIM Calcutta and Brunel University, U.K.

2. “School in Mathematical Finance” at Tata Institute of Fundamental

Research (TIFR), Department of Atomic Energy, Govt. of India, sponsored by

International Centre for Theoretical Science.

3. 5th International Workshop in Quantitative Finance, jointly conducted by

IDRBT,IGIDR, IITK, Lally School of Management, Rensselaer Polytechnic

Institute, USA and Symbiosis School of Banking and Finance (SSBF) under

Symbiosis International University (SIU) , INDIA.

WORK EXPERIENCES

CRISIL Global Research & Analytics (APR 2016 – PRESENT)

Lead Analyst (Quantitative Research)

Key Result Areas

To Review, test and independently implement capital and stress test

models, such as Comprehensive Capital Analysis and Review

(CCAR) models.

To produce written model review reports in line with the guidance on

Model Risk Management (SR 11-7)

To conduct on-demand analyses of model performance

To participate in the model control and model risk management

processes for Multinational banks.

CRISIL Global Research & Analytics (JAN 2015 – APR 2016)

Senior Quantitative Analyst

Key Result Areas

To Review, test and independently implement capital and stress test

models, such as Comprehensive Capital Analysis and Review

(CCAR) models.

To produce written model review reports in line with the guidance on

Model Risk Management (SR 11-7)

To conduct on-demand analyses of model performance

To participate in the model control and model risk management

processes for Multinational banks.


QUANTITATIVE SKILLS

Econometrics, Statistics and

Machine Learning with special

emphasis on ARIMA, ARIMAX,

Vector-Auto Regression(VAR),Co-

integration, VECM, Multivariate

GARCH (EDCC,BEKK,VECH etc.),

Generalized Regression Modeling ,

Logistic Regression, Beta Regression,

CART, Random Forest, NARX, Neural

Network Modeling of Time Series,

Wavelet based Multi-Resolution

Analysis(MRA),Principal Component

Analysis(PCA),Cluster analysis,

Discriminant Analysis etc. Have a

fair understanding of numerical

computation techniques like

Monte-Carlo Simulation, Finite

Difference Approximation (for

solving PDE), and Interpolation

techniques.

FINANCE RELATED SKILLS

Possess knowledge in multiple areas

of finance including Operation Risk

Modeling (LDA), Credit Risk

Modeling (PD,LGD, EAD estimation

and CVaR modeling), Financial

Engineering, Stochastic processes in

Finance, Corporate Finance,

International Finance, Option

pricing & Hedging , Security

Analysis, Fixed Income Analysis and

Valuation Modeling.

COMPUTING SKILLS

Proficient in model development

and model validation using R, F#,

MATLAB, GRETL, E-Views and SAS.

PROFESSIONAL

MEMBERSHIP Life Member, Global Institute of

Flexible System Management.

REFERENCE Dr. Rameshwar Dubey,

Associate Professor-Research,

Symbiosis International

University, Pune, Gram: Lavale

Tal: Mulshi, Dist.-Pune

Pin: 412115.

E-mail:

[email protected]

Symbiosis Inst. of Business Mgt., Pune (JULY 2014 – JAN 2015)

Faculty Member

Teaching Expanse

Corporate Finance, Security Analysis & Portfolio Management, Financial

Derivatives, Financial Engineering and Analytics & Financial Econometrics.

Achievements

Designed and implemented the following 3-credit papers for all

management institutions under Symbiosis International University

1. Financial Engineering and Analytics

2. Financial Econometrics

3. Financial Risk Management

4. Financial Modeling

Symbiosis Inst. of Operation Mgt. (JUN 2013 – JUN 2014)

Faculty Member

Teaching Expanse

Business Statistics, Corporate Finance, Security Analysis & Portfolio

Management, Financial Derivatives, Financial Engineering and Analytics &

Financial Econometrics.

NSHM Knowledge Campus (OCT 2009 – JUNE 2013)

Assistant Professor

Teaching Expanse

Corporate Finance, Security Analysis & Portfolio Management, Derivatives,

HDFC Bank Ltd. (JUN 2008 – JULY 2009)

Executive Trainee

West Bengal Power Dev. Corp Ltd. (MAR 2004 – MAR 2006)

Assistant Manager (Power Station)

ACADEMIA

Examination Year of

Passing

Institution/ University Percentage Class

PhD.(Quantitative

Finance)

2016 National Institute of

Technology-Durgapur

85 A Grade

MBA (Finance) 2008 Indian Institute of

Social Welfare and

Business Management

under Calcutta

University

69.12 First Class

B.E. (Electrical

Engineering)

2003 Burdwan University 77.50 First Class with

Distinction

Higher Secondary

Examination

1999 Bidhan Chandra

Institution for Boys

(Durgapur) under

WBCHSE

78.60 First Class with

Distinction

Secondary

Examination

1997 M.A.M.C boys high

School (Durgapur)

under WBBSE

88.25 First Class with

Distinction.

Ranked 51th

within State

RESUME OF ANINDYA CHAKRABARTY

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