Sandeep Juneja

Tata Institute of Fundamental Research (TIFR)

School of Technology and Computer Science

SCHOLARLY PAPERS

5

DOWNLOADS

622

CITATIONS
Rank 24,168

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Top 24,168

in Total Papers Citations

11

Scholarly Papers (5)

1.

Portfolio Credit Risk with Extremal Dependence

Number of pages: 31 Posted: 15 Jul 2005
Achal Bassamboo, Sandeep Juneja and Assaf Zeevi
Northwestern University - Department of Managerial Economics and Decision Sciences (MEDS), Tata Institute of Fundamental Research (TIFR) and Columbia Business School - Decision Risk and Operations
Downloads 239 (105,129)
Citation 2

Abstract:

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Portfolio, credit, asymptotics, simulation, importance sampling, rare events, risk management

2.

Nested Simulation in Portfolio Risk Measurement

Management Science, Vol. 56, No. 10, October 2010, FEDS Working Paper No. 2008-21
Number of pages: 33 Posted: 29 Jan 2011
Michael B. Gordy and Sandeep Juneja
Board of Governors of the Federal Reserve and Tata Institute of Fundamental Research (TIFR)
Downloads 120 (154,512)
Citation 7

Abstract:

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nested simulation, loss distribution, value-at-risk, expected shortfall, jackknife estimator, dynamic allocation

3.

Entropy Approach to Incorporate Fat Tailed Constraints in Financial Models

Number of pages: 36 Posted: 26 Jul 2010
Santanu Dey and Sandeep Juneja
Tata Institute of Fundamental Research (TIFR) and Tata Institute of Fundamental Research (TIFR)
Downloads 95 (195,335)
Citation 2

Abstract:

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Entropy, Tsallis Entropy, Fat Tail, Option pricing, Calibration, Portfolio Theory

4.

American Options Under Stochastic Volatility: Control Variates, Maturity Randomization & Multiscale Asymptotics

Number of pages: 26 Posted: 09 Nov 2014 Last Revised: 13 Apr 2015
Ankush Agarwal, Sandeep Juneja and Ronnie Sircar
CMAP, École Polytechnique and CNRS, Université Paris-Saclay, Tata Institute of Fundamental Research (TIFR) and Princeton University - Department of Operations Research and Financial Engineering
Downloads 33 (332,358)

Abstract:

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Stochastic volatility, American option, maturity randomization, singular perturbation theory, regular perturbation theory, Monte Carlo, control variate

5.

Calibration of Credit Default Probabilities in Discrete Default Intensity and Logit Models

Number of pages: 39 Posted: 19 Jun 2017
Anand Deo, Sandeep Juneja and Aakash Kalyani
Tata Institute of Fundamental Research (TIFR), Tata Institute of Fundamental Research (TIFR) and Boston University
Downloads 0 (408,726)

Abstract:

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credit risk, default probabilities, calibration, Logit models, Default intensity model, maximum likelihood estimator