Ranjan R. Chakravarty
(Graduate School of Business, Columbia University, New York, NY.
- Post-Doctoral Fellow/Visiting Scholar - 1992-1993
- Department of Finance
- Research: Market microstructure.
- Published in Journal of Banking and Finance (accepted 1993, published 1995).
- Published in Ciencia Ergo Sum (accepted 1993, published 1996)
- Conference Presentation: Eastern Finance Association, 1992, with T.H. McInish and F.H.B. Harris “An Empirical Investigation of the Quote Revision Behavior of NYSE Specialists.”
University of Texas at Arlington, Arlington, TX
- Ph.D. in Business Administration (Finance)- 1986-1991
- Fields: Finance and Management Science
- Chair: Thomas H. McInish.
- Committee: P. E, Swanson, F.H. B. Harris (Economics).
- Dissertation: “Non-Walrasian market microstructure: theory and tests.”
- Research paradigm: High frequency algorithms, information arbitrage and uncertainty measures using tick by tick ISSM data, queuing theory and the microeconomics of exchanges.
Syracuse University, Maxwell School of Citizenship and Public Affairs, Syracuse, NY
- M.A. in Economics- 1983- 1986
- Advisor: A. Dale Tussing
- Thesis: Econometric estimation of the demand for public goods.
- Omicron Delta Epsilon, international honor society in Economics
The University of Akron, Akron, OH
- M.A. in Urban Studies – Urban Planning -1981-1983
- Advisors: James F. Richardson.
- Thesis: Economic analysis of revenue bonds for mid-sized U.S. municipalities.
St. Xavier's College, University of Mumbai, Mumbai, India
- B.A. (Hons) in Economics--1977-1980
- First Class Hons. Ranked 1st in St. Xavier’s College.li>
Department of Finance, School of Business Management, Narsee Monjee Institute of Management Studies (NMIMS), Mumbai, India
Senior Professor (Scholar-Practitioner)-Dec 2015 – Present
Research: Areas—Market Microstructure and Risk Management.
Published in Journal of Banking and Finance (1995) and Macroeconomics and Finance in Emerging Economies (2011).
National University of Singapore Business School, Centre for Asset Management Research and Investments (CAMRI), Singapore
Research Consultant-April 2014 – October 2015
Advisor and co-author for papers and case studies in specialized asset class related topics.
Singapore Mercantile Exchange (SMX) and Clearing Corporation (SMXCC), Singapore Chief Risk Officer - Aug 2011 – April 2014
Asset Classes:Commodity and Currency Derivatives – Precious Metals, Base Metals, Energy, Agricultural Commodities, Indices, Major Currencies.
Counterparty Credit Risk Management
- Delivered Margin Efficiencies across the board:
- Upto 80% reduction in selected intercommodity spreads.
- Unique, distribution free, historical simulation based: Cutting edge, Global Best Practice. Methodology audited and approved by MAS: No need for fresh approvals per contract.
- Established methodology for the Settlement Guarantee Fund
- Stress test methodology approved by MAS.
- Stress tests operational - conducted daily and results reported to MAS with monthly and greater frequency.
- Established the methodology and remediation processes for a fidelity fund for events of defalcation and a living will in case of default. Ensured the alignment of defalcation, default and stress assessment methodologies and pre and post-event processes.
- Ensured the waterfall structures were transparent and benchmarked to CPSS-IOSCO- PFMI best practices.
Operational Risk Management
- Developed and executed comprehensive end to end operational risk assessment and remediation methodology across all units of the exchange and clearing corporation.
- Ensured that the industry wide standards of the CPSS-IOSCO principles for financial market infrastructure (PFMI) were achieved, maintained and endured in repeated audits.
- Operational risk remediation methodologies were tried, tested, approved by MAS.
- A comprehensive business continuity planning (BCP) exercise with Industry wide participation was conducted for 8 quarters with statistics reaching the industry wide PFMI benchmark.
- The Disaster Recovery (DR) site was selected and processes actioned based on the methodology.
Market Risk Management
- Intraday trading risk management:
- Established pre-margining in real time with no potential for under-margining. Delivered multiple automatic recalculations intraday with automatic square- offs.
Multi Commodities Exchange (MCX) Group, Mumbai, India -June 2007 – June 2011
Multi Commodities Exchange Stock Exchange (MCX-SX), Mumbai, India Head, Risk, Research and Product Development June 2009 – June 2011
Asset Classes: Equity, Index and Currency Derivatives.
Leading member of Chief Executive’s strategy and execution Team.
Negotiated with both Indian regulators Reserve Bank of India (RBI) and Securities and Exchange Board of India (SEBI) for introducing an array of futures and options for the, including hybrid securities.
Developed ETFs and the FTSE-MCX-SX Equity Index, scheduled to compete with the Nifty 50
Multi Commodities Exchange Credit Market Services Limited (CMSL), Mumbai, India Head of Strategy and Products-June 2007 – June 2009
Asset Classes: Fixed Income and Credit Derivatives
Leading member of the team in building India’s first corporate credit exchange.
Negotiated with ratings agencies (S&P, Moody’s and Fitch) and regulators (RBI and SEBI) developing and delivering all aspects of a USD 1 Trillion Corporate Loan Trading Market.
As part of the strategy, built a boutique risk consulting firm, which has since been spun off into an independent business with its own valuation.
Orthien Consulting Pte Ltd, Singapore
Co-Founder and CEO -Sept 2005 – May 2007
Launched boutique risk management consulting firm based on a proprietary methodology for implementation of processes to achieve Basel II compliance.
Development Bank of Singapore (DBS Bank), Singapore July 2004 – August 2005
Managing Director and Head, Global Capital Markets Business Unit Control
Established a business unit control group responsible for all end to end valuation and business control processes for all global capital markets desks for the global treasury of DBS Bank. Built the function from scratch, growing to a 40 professional outfit within a year. The repeated success of the SPARR methodology led to decision to launch own Operational Risk consulting firm
Private Investor, Singapore - March 2002 – June 2004
Launched, selected and managed a global fixed income portfolio of investment grade corporate bonds and credit linked notes.
Hypovereinsbank Group, Singapore
Managing Director and Head of Risk Management, Asia Pacific-May 1999 – March 2002
Head of risk management and capital markets valuation, Asia, and Member of Asia core management committee. Created Risk Control function in Asia and managed group across Japan (2 units), Hong Kong and Singapore.
Responsible for the Risk of US$18 billion balance sheet covering operational risk, counterparty credit risk, mark to market valuation and market risk.
Successfully architected, developed and executed an operational risk management methodology. Was directly responsible for Hypovereinsbank Asia achieving Basel II compliance after audits by the Federal Regulator in Germany, the state regulator in Bavaria, the Monetary Authority of Singapore, the Hong Kong Monetary Authority and the Financial Services Agency in Japan. The comprehensive assessment resulted in Hypovereinsbank achieving Basel II compliance and resulted in a reduction of Capital Adequacy Ratio from 19% to 11%.
GE Capital - Capital Markets Services, Stamford, Connecticut, U.S.A. Senior Vice President - Risk Management - Nov1997 - April 1999
Focus: High Yield Preferred Equity Portfolio and Structured products.
Bank of Boston, Boston, MA, U.S.A.
Vice President - Global Financial Risk Management -Nov 1995 - Nov 1997
Focus: Emerging Markets Fixed Income products and High Yield Debt.
Bankers Trust, New York, NY, U.S.A.
Associate, Global Risk Management -April 1994 - Oct 1995
Focus: Structured Hybrid Transactions.
Millennium Partners, New York, NY, U.S.A.
FX Trader -Apr 1993 – March 1994
35 currency portfolio including Turkish Lira during the devaluation crisis of 1994.
PREVIOUS UNIVERSITY TEACHING EXPERIENCE – USA-Fall 1983 - Summer 1991
Teaching Assistant, Syracuse University, Syracuse, NY -Fall 1983 – Summer 1986
- Microeconomics, ECON 201.
- Macroeconomics, ECON 202.
Lecturer, Department of Finance, College of Business Administration, University of Texas at Arlington, Arlington, TX. - Fall 1986 – Summer 1990
- Financial Analysis, FINA 5315
- Financial Institutions and Markets, FINA 5316.
- Financial Institutions and Markets, FINA 3312.
- Securities Analysis, FINA 3316.
Lecturer, College of Business, Amber University, Garland, TX -Fall 1990 – Summer 1991
- Financial Analysis FIN 601.
- Corporate Finance FIN 602.
- Securities Analysis, FIN 610.
- Portfolio Management FIN 612.
- Financial Institutions and Markets FIN 618.
- Business Finance, FIN 101.
- Investments, FIN 201
- Securities Analysis, FIN 210.
MEDIA APPEARANCES and INTERVIEWS - HIGHLIGHTS
- Panel discussant with Jim Rogers on investing in Asian equities and commodities, BLOOMBERG Television, June 2010.
- Chair, ICM financial services industry conference on profiting from credit risk in emerging markets, New York, August 1997.
- Quoted in Derivatives Strategy magazine, New York, June 1997 on Risk Models.
Courses Teaching and Taught:
- Futures and Options.
- Fixed Income Securities.
- Commodity Markets.
- Financial Risk Management
- Futures, Options and Risk Management (PTMBA).
- Risk and Insurance (PTMBA)
EXPERTISE AND RESEARCH INTEREST:
CAPITAL MARKETS, MARKET MICROSTRUCTURE and DERIVATIVES
SELECTED RESEARCH: REFEREED PUBLICATIONS, BOOK CHAPTERS, MONOGRAPHS and WORKING PAPERS
I. REFEREED PUBLICATIONS
- Chakravarty, R.R., and Pani, S.S., “A Data Paradigm to Operationalise Expanded Filtration: Realized Volatilities and Kernels from Non-Synchronous NASDAQ Quotes and Trades” (2020). Under review at Category A journal.
- 2) F.H.B. Harris, T.H. McInish and R.R. Chakravarty, “Bids and Asks in Disequilibrium Market Microstructure”, Journal of Banking and Finance (Elsevier), 1995, Vol 19, no. 2, pp 323-345.
- Journal of Finance, 1998 (by M.J. Aitken, A. Frino, M.S. McCorry, P.L. Swan).
- Journal of Financial and Quantitative Analysis, 2000 (by T. J. Finucane).
- International Economic Review, 2002 (by M. Sattinger).
- Journal of Banking & Finance, 2004 (by J.W. Cooney, R.W. Sias).
- Journal of Financial Research, 2005 (by F. Heflin, K.W. Shaw).
- Computational Statistics & Data Analysis, Elsevier, 2006 (by B. Frijns, P.C. Schotman).
- Pacific-Basin Finance Journal, Elsevier, 2009 (by H.N. Duong, P.S. Kalev, C. Krishnamurti).
- International Journal of Economics and Finance, 2009 (by Y. Xu).
- F. Huq, Z. Huq, R. R. Chakravarty, M. Z. Shariff, “The demand for public goods in India: an empirical test of Wagner's Law.” Ciencia Ergo Sum (Universidad Autónoma del Estado de México), vol 3, no. 1, 1996, pp. 19-24.
- Chakravarty, R. R., and D.G. Praveen, “Exchange traded currency derivatives markets in India: the road ahead”, Macroeconomics and Finance in Emerging Market Economies (Routledge), Vol. 3, no. 1, 2010, pp, 139-146.
International Journal of Research in Finance and Marketing, Vol. 5, No.1, 2015 (by A. Srivastava and M. Singh)
CONFERENCE PRESENTATIONS, CONFERENCES and WORKSHOPS
- Chakravarty, R. R., and Pani, S.S., 'A Data Paradigm for Robustification of Parametric Estimation: Realized Volatilities and Kernels from Non-Synchronous NASDAQ Quotes', presented at FRG-IIM Udaipur-IGIDR Market Microstructure Field Workshop, Feb 2020, IGIDR Mumbai.
- NSE-NYU Conference on Indian Financial Markets, Dec 2019, Mumbai.
- IGIDR, The Emerging Markets Finance conference, Dec 2019, Mumbai.
- Chakravarty, R. R., and D.G. Praveen, “Exchange traded currency derivatives markets in India: the road ahead”, in Goyal A., ed., Macroeconomics and Markets in India: Good Luck or Good Policy? Routledge, New York, 2012, Chapter 9, pp 110-117.
- Chakravarty, R.R., and A. Kumar, “Alternative Investment Market: An Indian Exchange Perspective”, FICCI Banking and Finance Digest, Federation of Indian Chambers of Commerce and Industry, Issue No. 5, Jan 2011, Chapter 3, pp.7-11
- Chakravarty, R.R., Benefits of Trading in Exchange Traded Futures, MCX Stock Exchange, Mumbai, India, January 2011.
- Chakravarty, R.R., et al, Indian Equity Investor Survey 2010, with A. C. Nielsen Company, MCX Stock Exchange, Mumbai, India, October 2010.
CURRENT WORKING PAPERS
- Chakravarty R.R. and Pani, S.S., Broken Exchanges: An Analysis of Market Quality in NSE and Welfare Concerns (2019), http://ssrn.com/abstract=3330989.
- Chakravarty, R.R. and Pani, S.S., Non-Microstructure Noise (2018). Available at SSRN: http://dx.doi.org/10.2139/ssrn.3222147
- Chakravarty RR. and Pani, S.S., Liquidity, Durations and Bid-ask Spread in Limit Order Markets (2018), https://ssrn.com/abstract=3296798
EARLIER WORKING PAPERS
- Chakravarty, R.R., and J.C. Cherian, “Rudiments of Infrastructure Finance Series No. 1”, Centre for Asset Management Research and Investments (CAMRI) Research Paper, National University of Singapore (NUS) Business School, Singapore, September 2015.
- Chakravarty, R.R., and J.C. Cherian, “Safeguarding India’s Growth Prospects: A Macrofinance Perspective”, Centre for Asset Management Research and Investments (CAMRI) Research Paper, National University of Singapore (NUS) Business School, Singapore, July 2014.
- Chakravarty, R.R., and J.C. Cherian, “The Nagging Eurozone Crisis and Its Implications”, Centre for Asset Management Research and Investments (CAMRI) Research Paper, National University of Singapore (NUS) Business School, Singapore, November 2011.
- “Equity research, pricing and valuation: Toyota hybrid share issue (2015)”, Centre for Asset Management Research and Investments (CAMRI) Case Teaching Note, NUS Business School, Sept 2015, National University of Singapore.
MEDIA: SELECTED INTERNATIONAL PRESS ARTICLES
- “The state of the asset management industry in Asia; seeking relevance in a shrinking sandbox II” (working title), Asia Asset Management, Oct 2016.
- Chakravarty, R.R., and J.C. Cherian, “Infrastructure finance: the case for Singapore,” The EDGE Business Weekly, Singapore, Jan 2017.
- Chakravarty, R.R., and J.C. Cherian, “Asia’s Resilience Will See it Through Euro Crisis”, June 5, 2012 in China Daily Weekly, Hong Kong, July 5, 2012, TODAY (Online and Print), Singapore, July 5, 2012, The Malaysian Insider, Kuala Lumpur.
- 1) Established and Chaired the Bloomberg Finance Lab, Widely serving the SVKM community. 2016 – Present.
- Faculty Mentor for students involved in Corporate Social Responsibility projects.
- Thought Leadership: Widely published in Economic Times and Financial Express on RBI Policy, Foreign Exchange, Equity and Fixed Income Markets.
- Current Faculty/Student Mentoring: Chairman of Ph.D. Thesis Advisory Committee of Sudhanshu Pani, expected completion, September 2020. “Essays in Market Microstructure: On the Information Content of Quotes.” Sudhanshu Pani is Assistant Professor of Finance at NMIMS since 2019.
- Chairman of Master’s Thesis Advisory Committees of:
- Puneet Kaushal (2017) – Interest Rate Policy
- Ajit Chaudhary (2018) – Fixed Income Strategy
- Khushboo Jain (2019) – Equity Research.
- Chetan Jain (2020) –Portfolio Selection.
- Significant Contributor to Student Internship Mentoring for Capital Markets placements. Internship to Offer conversion rate at institutions including Goldman Sachs, JP Morgan and Nomura over 80% in 2016 -2020.