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November 22, 2009
About Debashis Dutta
Dr. Debashis Dutta holds a PH.D. with the dissertation on "Risk Management in Indian Financial Markets" from Jadavpur University,India. His work includes Basel II & specially empirical works on different models of Value at Risk, Back testing, Validation of Credit Rating Model, and Peaks over Threshold (POT) Model of Extreme Value Theory(EVT), used mostly with MATLAB software. He is also an MBA (Finance) from Jadavpur University,India, with project paper on Market Risk Management.
Presently he is working with KPMG, Bahrain Qatar as Manager, Financial Risk Management practice (Disclaimer: The views and opinions expressed in the blog are those of the author and do not necessarily represent the views and opinions of KPMG , Qatar. The information contained is of a general nature and is not intended to address the circumstances of any particular individual or entity). On his consulting assignments, he has consulted internationally active banks in GCC regions for Basel II implementation and validation of VaR models for internal model approach of Basel II. He has also consulted internationally active banks banks in Jordan for Basel II implementation in his assignment with his previous employer, another consulting company.
His publication includes "Extremal Index and clustering in the Extreme Values: A study on NSE CNX Nifty"(co-author Dr Basabi Bhattacharya), published in the ICFAI Journal of Applied Finance, issue September 2006 . He has also presented papers at various seminars like "A Bootstrapped Historical Simulation Value at Risk Approach to S&P CNX Nifty" (co-author Dr Basabi Bhattacharya) at National Conference on Money and Banking, Indira Gandhi Institute of Development Research(IGIDR), held at Mumbai,India,2008, "Modelling Extremal Behaviour of S&P CNX NIFTY : An EVT approach"(co-author Dr Basabi Bhattacharya) at National Conference on Money and Banking by Indira Gandhi Institute of Development Research(IGIDR), held at Mumbai,India,2005, "Value at Risk: A study on Indian Financial Market" (co-author Dr Basabi Bhattacharya)at National Conference on Finance and Economics, ICFAI Business School, held at Bangalore, India, 2004, and "Managing Market Risk in the India Context - An assessment of Alternative VaR methods" (co-author Dr Basabi Bhattacharya) as Working Paper Series, Department of Economics; Jadavpur University, Kolkata, India.
His strength is risk modeling as he believes in being a Quant is a to quantify and manage the Omnipresent Risk Demon in financial world, untill the God turn the Dice:)
Posted by ddutta7 at November 22, 2009 12:20 AM
