Sanjay Basu

National Institute of Bank Management

Kondhwe Khurd, NIBM P.O.

Pune, WY Maharashtra 411048

India

SCHOLARLY PAPERS

6

DOWNLOADS
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Top 17,638

in Total Papers Downloads

3,785

SSRN CITATIONS

0

CROSSREF CITATIONS

3

Scholarly Papers (6)

1.

Stress Testing for Market Risk: A Comparison of VAR Methods

Number of pages: 24 Posted: 01 Apr 2009
Sanjay Basu
National Institute of Bank Management
Downloads 1,824 (11,899)
Citation 1

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Volatility updation, Age-weighted simulation, diversification, Fat tails, nonparametric methods

2.

Stress Testing with Volatility-Weighted Historical Simulation: A Comparison of HS Methods

Number of pages: 17 Posted: 05 Jun 2008
Sanjay Basu
National Institute of Bank Management
Downloads 745 (44,316)

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Extreme Losses, Volatility updation, diversification, Fat tails, nonparametric methods

3.

The Impact of Stress Scenarios on VaR and Expected Shortfall

Number of pages: 15 Posted: 08 Feb 2008
Sanjay Basu
National Institute of Bank Management
Downloads 663 (51,726)
Citation 3

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Extreme Losses,Volatility, Correlation, Normality, Simulation

4.

Rent a Womb: Surrogate Selection, Investment Incentives and Contracting

Number of pages: 41 Posted: 02 Apr 2006
Swapnendu Banerjee and Sanjay Basu
Jadavpur University, Department of Economics and National Institute of Bank Management
Downloads 316 (125,122)
Citation 1

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Surrogate, Intended parents, Noncontractibility, Under-investment

5.

Banking Competition, Moral Hazard and Leverage

Number of pages: 25 Posted: 31 Mar 2012
Sanjay Basu
National Institute of Bank Management
Downloads 120 (299,111)

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Risk monitoring, market share, lending booms, financial crisis.

6.

Integrated Stress Testing: Impact on Liquidity and Solvency

Number of pages: 15 Posted: 15 Apr 2013 Last Revised: 28 Apr 2013
Sanjay Basu
National Institute of Bank Management
Downloads 117 (304,568)

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Liquidity Risk, simulation models, Risk interactions, Capital adequacy