Area of expertise:
Computational modelling, Financial Analytics, Risk Management, Derivatives valuation, Model validation, Bank infrastructure, Innovation in the analytics domain
Professor Puniyani has many years of experience in the banking analytics domain, working in the quantitative risk management divisions of several top tier investment banks. He began his career working at Lehman Brothers, New York moving to Standard Chartered Bank Singapore and eventually to Nomura Mumbai which had been acquired from Lehman Brothers. He also worked in senior level positions at Credit Suisse, Mumbai and Deutsche Bank.
Research & Publications:
- Expected Shortfall and VaR: Cracking the Marginal Allocations. RISK, May 2016, A. Shende et. al.