Anand Shah

Tata Consultancy Services Ltd.

TRDDC

54 B Hadapsar Industrial Estate

Pune, Maharashtra 411013

India

SCHOLARLY PAPERS

12

DOWNLOADS

1,059

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (12)

1.

Pricing and Risk Mitigation Analysis of a Cyber Liability Insurance using Gaussian, t and Gumbel Copulas – A Case for Cyber Risk Index

CANADIAN ECONOMICS ASSOCIATION (CEA) 2016 Ottawa meetings paper
Number of pages: 24 Posted: 11 May 2016 Last Revised: 02 May 2017
Anand Shah
Tata Consultancy Services Ltd.
Downloads 256 (165,658)

Abstract:

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Interplay between finance and Insurance, cyber risk index, cyber liability insurance pricing, Gaussian, t and Gumbel copulas, operational risk, value at risk (VaR), conditional tail expectation (CTE), BASEL regulations, pricing of contingent claims in incomplete markets, Monte Carlo simulations

2.

Valuation of Loyalty Tokens

Number of pages: 18 Posted: 15 Feb 2022 Last Revised: 22 Feb 2022
Anand Shah
Tata Consultancy Services Ltd.
Downloads 174 (236,157)

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Tokenomics, Cryptocurrency, Initial Coin Offering (ICO), Blockchain applications, Bass Model, Option pricing with Bass Model parameters

3.

Bitcoin an Asset Class – Market Risk Assessment for Indian Investors

Number of pages: 37 Posted: 12 Feb 2018 Last Revised: 18 Feb 2018
Anand Shah and Anu Bahri
Tata Consultancy Services Ltd. and Tata Consultancy Services Ltd.
Downloads 113 (330,276)

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Bitcoin, Crypto-currencies, Sharpe Ratio, Sortino Ratio, Value at Risk, Expected Shortfall, Extreme Value Theory, Asymmetric GARCH models, GARCH in Mean models

4.

Pricing of Rainfall Derivatives by Modelling Multivariate Monsoon Rainfall Distribution using Gaussian and t Copulas

International Agricultural Risk, Finance and Insurance Conference (IARFIC) 2017 Paris meetings paper, 90th Agricultural Economics Society (AES) 2016 Warwick meetings paper
Number of pages: 23 Posted: 11 May 2016 Last Revised: 02 Sep 2017
Anand Shah
Tata Consultancy Services Ltd.
Downloads 109 (338,547)
Citation 2

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Weather derivatives, rainfall insurance in India, pricing in incomplete markets, Gaussian and t Copulas, agriculture yields, Monte Carlo simulations

5.

Hedging of a Portfolio of Rainfall Insurances using Rainfall Bonds and European Call Options (Bull Spread)

Southwestern Finance Association (SWFA) 2017 Little Rock Meetings Paper
Number of pages: 29 Posted: 12 May 2016 Last Revised: 02 Sep 2017
Anand Shah
Tata Consultancy Services Ltd.
Downloads 104 (349,504)
Citation 2

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Securitization, weather derivatives, rainfall insurance in India, CAT bonds, rainfall call options, t Copulas, Monte Carlo simulations, value at risk (VaR), optimization, pricing in incomplete markets

6.

Pricing of Rainfall Derivatives Using Generalized Linear Models of the Daily Rainfall Process

International Agricultural Risk, Finance and Insurance Conference (IARFIC) 2017 Paris meetings paper
Number of pages: 22 Posted: 02 Jun 2017 Last Revised: 02 Sep 2017
Anand Shah
Tata Consultancy Services Ltd.
Downloads 96 (368,089)

Abstract:

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Weather derivatives, rainfall insurance in India, generalized linear models, gamma GLM, quasi-likelihood GLM, modelling of daily rainfall process. Monte Carlo simulations

7.

Are Stock Markets Adaptive? Evidence from US, Hong Kong and India

Number of pages: 36 Posted: 22 Jan 2019
Anand Shah and Anu Bahri
Tata Consultancy Services Ltd. and Tata Consultancy Services Ltd.
Downloads 63 (467,027)

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Adaptive Market Hypothesis, Efficient Market Hypothesis, Rolling Variance Ratio Tests, Indian Stock Market

8.

Asymmetric and Symmetric Volatility Models for Exchange Rates in India – The Impact of the Net Purchase of US Dollars by the Central Bank and Net Inflows by Foreign Institutional Investors

Number of pages: 38 Posted: 16 Feb 2017 Last Revised: 21 Dec 2017
Anand Shah and Anu Bahri
Tata Consultancy Services Ltd. and Tata Consultancy Services Ltd.
Downloads 52 (510,339)
Citation 1

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Asymmetric GARCH models, GJR-GARCH, EGARCH, Exchange Rates, Central Bank Interventions

9.

Dynamics of Correlation and Volatility in New Age Technology (Industry 4.0) Sectoral Indices and Traditional Sectoral Indices in US and India

Number of pages: 107 Posted: 22 Apr 2021 Last Revised: 01 Jun 2021
Anand Shah and Anu Bahri
Tata Consultancy Services Ltd. and Tata Consultancy Services Ltd.
Downloads 38 (576,750)

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Asymmetric Dynamic Conditional Correlation, Volatility, Portfolio Diversification, GARCH Models, COVID-19 Crisis, Sub-prime Mortgage Crisis, NASDAQ Sectors, Nifty Sectors, Fourth Industrial Revolution, Industry 4.0, VaR, Expected Shortfall, Extreme Value Theory

10.

Did COVID-19 Pandemic Affect the Sentiments expressed in the Financial Statements? - A study of New Age Technology and Nifty IT Firms

Number of pages: 79 Posted: 23 Aug 2021 Last Revised: 08 Apr 2022
Anand Shah and Anu Bahri
Tata Consultancy Services Ltd. and Tata Consultancy Services Ltd.
Downloads 37 (582,135)

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textual analysis; sentiment analysis; COVID-19; Form 10-K; financial constraints; complexity; Industry 4.0

11.
Downloads 17 (716,872)

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Patents, Intellectual Property

12.

Valuing Data Security and Privacy Using Cyber Insurance

Posted: 10 Sep 2015
Anand Shah, Shishir Dahake and Sri Hari J
Tata Consultancy Services Ltd., Tata Consultancy Services (TCS) and Tata Consultancy Services (TCS)

Abstract:

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Cyber insurance pricing, data security, data privacy, utility principle, operational risk, value at risk, Basel regulations, pricing of contingent claims in incomplete markets, Monte Carlo simulations